refactor structs to records, add new classes for financial calculations, implement EMA and SMA with circular buffer. Generate random financial data using GBM model. Also, test the SMA calculation with sample data.

2026-08-21 12:08:05 +00:00 · 2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
@@ -18,65 +18,74 @@ Remark:

 </summary> */

-public class SSDEV_Series : TSeries {
-	private readonly System.Collections.Generic.List<double> _buffer = new();
-	protected readonly int _period;
-	protected readonly bool _NaN;
-	protected readonly TSeries _data;
+public class SSDEV_Series : TSeries
+{
+    private readonly System.Collections.Generic.List<double> _buffer = new();
+    protected readonly int _period;
+    protected readonly bool _NaN;
+    protected readonly TSeries _data;

-	//core constructors
-	public SSDEV_Series(int period, bool useNaN) {
-		_period = period;
-		_NaN = useNaN;
-		Name = $"SSDEV({period})";
-	}
-	public SSDEV_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) {
-		_data = source;
-		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
-		_data.Pub += Sub;
-		Add(_data);
-	}
-	public SSDEV_Series() : this(period: 0, useNaN: false) { }
-	public SSDEV_Series(int period) : this(period: period, useNaN: false) { }
-	public SSDEV_Series(TBars source) : this(source.Close, 0, false) { }
-	public SSDEV_Series(TBars source, int period) : this(source.Close, period, false) { }
-	public SSDEV_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
-	public SSDEV_Series(TSeries source) : this(source, 0, false) { }
-	public SSDEV_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
+    //core constructors
+    public SSDEV_Series(int period, bool useNaN)
+    {
+        _period = period;
+        _NaN = useNaN;
+        Name = $"SSDEV({period})";
+    }
+    public SSDEV_Series(TSeries source, int period, bool useNaN) : this(period, useNaN)
+    {
+        _data = source;
+        Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+        _data.Pub += Sub;
+        Add(_data);
+    }
+    public SSDEV_Series() : this(period: 0, useNaN: false) { }
+    public SSDEV_Series(int period) : this(period: period, useNaN: false) { }
+    public SSDEV_Series(TBars source) : this(source.Close, 0, false) { }
+    public SSDEV_Series(TBars source, int period) : this(source.Close, period, false) { }
+    public SSDEV_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
+    public SSDEV_Series(TSeries source) : this(source, 0, false) { }
+    public SSDEV_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }

-	//////////////////
-	// core Add() algo
-	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
-		BufferTrim(buffer:_buffer, value:TValue.v, period:_period, update: update);
+    //////////////////
+    // core Add() algo
+    public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
+    {
+        BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);

-		double _sma = _buffer.Average();
+        double _sma = _buffer.Average();

-		double _svar = 0;
-		for (int i = 0; i < this._buffer.Count; i++) { _svar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
-		_svar /= (_buffer.Count > 1) ? _buffer.Count - 1 : 1; // Bessel's correction
-		double _ssdev = Math.Sqrt(_svar);
+        double _svar = 0;
+        for (int i = 0; i < this._buffer.Count; i++) { _svar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
+        _svar /= (_buffer.Count > 1) ? _buffer.Count - 1 : 1; // Bessel's correction
+        double _ssdev = Math.Sqrt(_svar);

-		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _ssdev);
-		return base.Add(res, update);
-	}
+        var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _ssdev);
+        return base.Add(res, update);
+    }

-	public override (DateTime t, double v) Add(TSeries data) {
-		if (data == null) { return (DateTime.Today, Double.NaN); }
-		foreach (var item in data) { Add(item, false); }
-		return _data.Last;
-	}
-	public (DateTime t, double v) Add(bool update) {
-		return this.Add(TValue: _data.Last, update: update);
-	}
-	public (DateTime t, double v) Add() {
-		return Add(TValue: _data.Last, update: false);
-	}
-	private new void Sub(object source, TSeriesEventArgs e) {
-		Add(TValue: _data.Last, update: e.update);
-	}
+    public override (DateTime t, double v) Add(TSeries data)
+    {
+        if (data == null) { return (DateTime.Today, Double.NaN); }
+        foreach (var item in data) { Add(item, false); }
+        return _data.Last;
+    }
+    public (DateTime t, double v) Add(bool update)
+    {
+        return this.Add(TValue: _data.Last, update: update);
+    }
+    public (DateTime t, double v) Add()
+    {
+        return Add(TValue: _data.Last, update: false);
+    }
+    private new void Sub(object source, TSeriesEventArgs e)
+    {
+        Add(TValue: _data.Last, update: e.update);
+    }

-	//reset calculation
-	public override void Reset() {
-		_buffer.Clear();
-	}
+    //reset calculation
+    public override void Reset()
+    {
+        _buffer.Clear();
+    }
 }