new: EQUITY_Series

Add new EQUITY_Series and updates to docs, Calculations, Indicators, Strategies, Tests, and .github/workflows

Calculations/Logic/EQUITY_Series.cs

@@ -0,0 +1,58 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+EQUITY - Generates P&L portfolio based on trades signals and equity prices
+    
+</summary> */
+
+
+//base prices: bars.close
+//trade signals: trades
+//optional: long, short, long&short
+//optional: warmup period: warmup
+
+public class EQUITY_Series : Single_TSeries_Indicator {
+	int trade_state = 0;
+	readonly int _warmup = 0;
+	double eq_value = 0;
+	readonly TSeries _prices;
+	readonly bool _long, _short;
+	public EQUITY_Series(TSeries trades, TSeries prices, bool Long = true, bool Short = false, int Warmup = 0) : base(trades, period: 0, useNaN: false) {
+		_prices = prices;
+		_long = Long;
+		_short = Short;
+		_warmup = Warmup;
+		if (base._data.Count > 0) { base.Add(base._data); }
+	}
+
+	public override void Add((System.DateTime t, double v) TValue, bool update) {
+		if (this.Count != 0)
+			eq_value = this[this.Count - 1].v;
+
+		//buy signal
+		if (TValue.v == 1 && this.Count > _warmup) {
+			//we are not in-market and we can do long trades
+			if (_short) { trade_state = 0; }
+			if (_long) { trade_state = 1; }
+		}
+
+		//sell signal
+		if (TValue.v == -1 && this.Count > _warmup) {
+			//we are in-market and we can do long trades
+			if (_long) { trade_state = 0; }
+			if (_short) { trade_state = -1; }
+		}
+
+		if (trade_state == 1) {
+			eq_value = this[this.Count - 1].v + (_prices[this.Count].v - _prices[this.Count - 1].v);
+
+		}
+
+		if (trade_state == -1) {
+			eq_value = this[this.Count - 1].v + (_prices[this.Count - 1].v - _prices[this.Count].v);
+
+		}
+		base.Add((TValue.t, eq_value), update, _NaN);
+	}
+}