mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 22:08:05 +00:00
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.
This commit is contained in:
Miha Kralj
@@ -14,105 +14,119 @@ Sources:
|
||||
|
||||
</summary> */
|
||||
|
||||
public class TRIX_Series : TSeries {
|
||||
private readonly double _k;
|
||||
private readonly System.Collections.Generic.List<double> _buffer1 = new();
|
||||
private readonly System.Collections.Generic.List<double> _buffer2 = new();
|
||||
private readonly System.Collections.Generic.List<double> _buffer3 = new();
|
||||
private double _lastema1, _lastema2, _lastema3;
|
||||
private double _llastema1, _llastema2, _llastema3;
|
||||
private int _len;
|
||||
private readonly bool _useSMA;
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _data;
|
||||
public class TRIX_Series : TSeries
|
||||
{
|
||||
private readonly double _k;
|
||||
private readonly System.Collections.Generic.List<double> _buffer1 = new();
|
||||
private readonly System.Collections.Generic.List<double> _buffer2 = new();
|
||||
private readonly System.Collections.Generic.List<double> _buffer3 = new();
|
||||
private double _lastema1, _lastema2, _lastema3;
|
||||
private double _llastema1, _llastema2, _llastema3;
|
||||
private int _len;
|
||||
private readonly bool _useSMA;
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _data;
|
||||
|
||||
//core constructors
|
||||
//core constructors
|
||||
|
||||
public TRIX_Series(int period, bool useNaN, bool useSMA) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
_useSMA = useSMA;
|
||||
Name = $"TRIX({period})";
|
||||
_k = 2.0 / (_period + 1);
|
||||
_len = 0;
|
||||
_lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = 0;
|
||||
}
|
||||
public TRIX_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
|
||||
_data = source;
|
||||
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
|
||||
_data.Pub += Sub;
|
||||
Add(_data);
|
||||
}
|
||||
public TRIX_Series() : this(0, false, true) {}
|
||||
public TRIX_Series(int period) : this(period, false, true) {}
|
||||
public TRIX_Series(TBars source) : this(source.Close, 0, false) {}
|
||||
public TRIX_Series(TBars source, int period) : this(source.Close, period, false) {}
|
||||
public TRIX_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) {}
|
||||
public TRIX_Series(TSeries source, int period) : this(source, period, false, true) {}
|
||||
public TRIX_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) {}
|
||||
public TRIX_Series(int period, bool useNaN, bool useSMA)
|
||||
{
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
_useSMA = useSMA;
|
||||
Name = $"TRIX({period})";
|
||||
_k = 2.0 / (_period + 1);
|
||||
_len = 0;
|
||||
_lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = 0;
|
||||
}
|
||||
public TRIX_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA)
|
||||
{
|
||||
_data = source;
|
||||
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
|
||||
_data.Pub += Sub;
|
||||
Add(_data);
|
||||
}
|
||||
public TRIX_Series() : this(0, false, true) { }
|
||||
public TRIX_Series(int period) : this(period, false, true) { }
|
||||
public TRIX_Series(TBars source) : this(source.Close, 0, false) { }
|
||||
public TRIX_Series(TBars source, int period) : this(source.Close, period, false) { }
|
||||
public TRIX_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
|
||||
public TRIX_Series(TSeries source, int period) : this(source, period, false, true) { }
|
||||
public TRIX_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
|
||||
|
||||
|
||||
//////////////////
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
||||
if (double.IsNaN(TValue.v)) {
|
||||
return base.Add((TValue.t, Double.NaN), update);
|
||||
}
|
||||
if (_len == 0) { _lastema1 = _lastema2 = _lastema3 = TValue.v; }
|
||||
if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; }
|
||||
else { _llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; _len++;
|
||||
}
|
||||
//////////////////
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
|
||||
{
|
||||
if (double.IsNaN(TValue.v))
|
||||
{
|
||||
return base.Add((TValue.t, Double.NaN), update);
|
||||
}
|
||||
if (_len == 0) { _lastema1 = _lastema2 = _lastema3 = TValue.v; }
|
||||
if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; }
|
||||
else
|
||||
{
|
||||
_llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; _len++;
|
||||
}
|
||||
|
||||
double _ema1, _ema2, _ema3;
|
||||
if ((this.Count < _period) && _useSMA) {
|
||||
BufferTrim(_buffer1, TValue.v, _period, update);
|
||||
_ema1 = 0;
|
||||
for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; }
|
||||
_ema1 /= _buffer1.Count;
|
||||
double _ema1, _ema2, _ema3;
|
||||
if ((this.Count < _period) && _useSMA)
|
||||
{
|
||||
BufferTrim(_buffer1, TValue.v, _period, update);
|
||||
_ema1 = 0;
|
||||
for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; }
|
||||
_ema1 /= _buffer1.Count;
|
||||
|
||||
BufferTrim(_buffer2, _ema1, _period, update);
|
||||
_ema2 = 0;
|
||||
for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
|
||||
_ema2 /= _buffer2.Count;
|
||||
BufferTrim(_buffer2, _ema1, _period, update);
|
||||
_ema2 = 0;
|
||||
for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
|
||||
_ema2 /= _buffer2.Count;
|
||||
|
||||
BufferTrim(_buffer3, _ema2, _period, update);
|
||||
_ema3 = 0;
|
||||
for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; }
|
||||
_ema3 /= _buffer3.Count;
|
||||
}
|
||||
else {
|
||||
_ema1 = (TValue.v - _lastema1) * _k + _lastema1;
|
||||
_ema2 = (_ema1 - _lastema2) * _k + _lastema2;
|
||||
_ema3 = (_ema2 - _lastema3) * _k + _lastema3;
|
||||
}
|
||||
double _trix = 100 * (_ema3 - _lastema3) / _lastema3;
|
||||
_lastema1 = _ema1;
|
||||
_lastema2 = _ema2;
|
||||
_lastema3 = _ema3;
|
||||
BufferTrim(_buffer3, _ema2, _period, update);
|
||||
_ema3 = 0;
|
||||
for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; }
|
||||
_ema3 /= _buffer3.Count;
|
||||
}
|
||||
else
|
||||
{
|
||||
_ema1 = (TValue.v - _lastema1) * _k + _lastema1;
|
||||
_ema2 = (_ema1 - _lastema2) * _k + _lastema2;
|
||||
_ema3 = (_ema2 - _lastema3) * _k + _lastema3;
|
||||
}
|
||||
double _trix = 100 * (_ema3 - _lastema3) / _lastema3;
|
||||
_lastema1 = _ema1;
|
||||
_lastema2 = _ema2;
|
||||
_lastema3 = _ema3;
|
||||
|
||||
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _trix);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
//variation of Add()
|
||||
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() {
|
||||
_len = 0;
|
||||
}
|
||||
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _trix);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
//variation of Add()
|
||||
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()
|
||||
{
|
||||
_len = 0;
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user