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
@@ -21,75 +21,85 @@ Remark:

 </summary> */

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

-	//core constructor
-	public ZLEMA_Series(int period, bool useNaN, bool useSMA) {
-		_period = period;
-		_NaN = useNaN;
-		Name = $"ZLEMA({period})";
-		_len = 1;
-		_ema = new(period);
-	}
-	//generic constructors (source)
+    //core constructor
+    public ZLEMA_Series(int period, bool useNaN, bool useSMA)
+    {
+        _period = period;
+        _NaN = useNaN;
+        Name = $"ZLEMA({period})";
+        _len = 1;
+        _ema = new(period);
+    }
+    //generic constructors (source)

-	public ZLEMA_Series() : this(0, false, true) { }
-	public ZLEMA_Series(int period) : this(period, false, true) { }
-	public ZLEMA_Series(TBars source) : this(source.Close, 0, false) { }
-	public ZLEMA_Series(TBars source, int period) : this(source.Close, period, false) { }
-	public ZLEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
-	public ZLEMA_Series(TSeries source, int period) : this(source, period, false, true) { }
-	public ZLEMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
-	public ZLEMA_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 ZLEMA_Series() : this(0, false, true) { }
+    public ZLEMA_Series(int period) : this(period, false, true) { }
+    public ZLEMA_Series(TBars source) : this(source.Close, 0, false) { }
+    public ZLEMA_Series(TBars source, int period) : this(source.Close, period, false) { }
+    public ZLEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
+    public ZLEMA_Series(TSeries source, int period) : this(source, period, false, true) { }
+    public ZLEMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
+    public ZLEMA_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);
+    }

-	// 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);
-		int _lag;
-		if (_period == 0) { 
-			_lag = (int)((_len - 1) * 0.5);
-			_len++;
-		}
-		else { _lag = (int)((_period - 1) * 0.5); }
-		_lag = Math.Min(_lag, _buffer.Count - 1);
-		_lag = Math.Max(_lag, 0) + 1;
-		double _zlValue = 2 * TValue.v - _buffer[^_lag];
-		double _zlema = _ema.Add((TValue.t, _zlValue), update).v;
-		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _zlema);
-		return base.Add(res, 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);
+        int _lag;
+        if (_period == 0)
+        {
+            _lag = (int)((_len - 1) * 0.5);
+            _len++;
+        }
+        else { _lag = (int)((_period - 1) * 0.5); }
+        _lag = Math.Min(_lag, _buffer.Count - 1);
+        _lag = Math.Max(_lag, 0) + 1;
+        double _zlValue = 2 * TValue.v - _buffer[^_lag];
+        double _zlema = _ema.Add((TValue.t, _zlValue), update).v;
+        var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _zlema);
+        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;
-	}
+    //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);
-	}
+    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();
-		_ema.Reset();
-	}
+    //reset calculation
+    public override void Reset()
+    {
+        _buffer.Clear();
+        _ema.Reset();
+    }
 }