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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.

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Miha Kralj
2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
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Calculations/_Updated/WMAPE_Series.cs
+67 -57
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@@ -15,68 +15,78 @@ Sources:
</summary> */
public class WMAPE_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 WMAPE_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 WMAPE_Series(int period, bool useNaN) {
_period = period;
_NaN = useNaN;
Name = $"WMAPE({period})";
}
public WMAPE_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 WMAPE_Series() : this(period: 0, useNaN: false) { }
public WMAPE_Series(int period) : this(period: period, useNaN: false) { }
public WMAPE_Series(TBars source) : this(source.Close, 0, false) { }
public WMAPE_Series(TBars source, int period) : this(source.Close, period, false) { }
public WMAPE_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public WMAPE_Series(TSeries source) : this(source, 0, false) { }
public WMAPE_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//core constructors
public WMAPE_Series(int period, bool useNaN)
{
_period = period;
_NaN = useNaN;
Name = $"WMAPE({period})";
}
public WMAPE_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 WMAPE_Series() : this(period: 0, useNaN: false) { }
public WMAPE_Series(int period) : this(period: period, useNaN: false) { }
public WMAPE_Series(TBars source) : this(source.Close, 0, false) { }
public WMAPE_Series(TBars source, int period) : this(source.Close, period, false) { }
public WMAPE_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public WMAPE_Series(TSeries source) : this(source, 0, false) { }
public WMAPE_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 _div = 0;
double _wmape = 0;
for (int i = 0; i < _buffer.Count; i++) {
_wmape += Math.Abs(_buffer[i] - _sma);
_div += Math.Abs(_buffer[i]);
}
_wmape = (_div != 0) ? _wmape / _div : double.PositiveInfinity;
double _div = 0;
double _wmape = 0;
for (int i = 0; i < _buffer.Count; i++)
{
_wmape += Math.Abs(_buffer[i] - _sma);
_div += Math.Abs(_buffer[i]);
}
_wmape = (_div != 0) ? _wmape / _div : double.PositiveInfinity;
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _wmape);
return base.Add(res, update);
}
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _wmape);
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();
}
}