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.

2026-08-25 22:08:05 +00:00 · 2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
@@ -18,64 +18,73 @@ Remark:

 </summary> */

-public class SVAR_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 SVAR_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 SVAR_Series(int period, bool useNaN) {
-		_period = period;
-		_NaN = useNaN;
-		Name = $"SVAR({period})";
-	}
-	public SVAR_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 SVAR_Series() : this(period: 0, useNaN: false) { }
-	public SVAR_Series(int period) : this(period: period, useNaN: false) { }
-	public SVAR_Series(TBars source) : this(source.Close, 0, false) { }
-	public SVAR_Series(TBars source, int period) : this(source.Close, period, false) { }
-	public SVAR_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
-	public SVAR_Series(TSeries source) : this(source, 0, false) { }
-	public SVAR_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
+    //core constructors
+    public SVAR_Series(int period, bool useNaN)
+    {
+        _period = period;
+        _NaN = useNaN;
+        Name = $"SVAR({period})";
+    }
+    public SVAR_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 SVAR_Series() : this(period: 0, useNaN: false) { }
+    public SVAR_Series(int period) : this(period: period, useNaN: false) { }
+    public SVAR_Series(TBars source) : this(source.Close, 0, false) { }
+    public SVAR_Series(TBars source, int period) : this(source.Close, period, false) { }
+    public SVAR_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
+    public SVAR_Series(TSeries source) : this(source, 0, false) { }
+    public SVAR_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 += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
-		_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
+        double _svar = 0;
+        for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
+        _svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction

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