gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-24 13:38:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

JMA finalization

Browse Source
This commit is contained in:
Miha Kralj
2023-03-30 14:44:05 -07:00
parent 38c920c49d
commit 468ea7a0af
10 changed files with 198 additions and 141 deletions
Download Patch File Download Diff File Expand all files Collapse all files
.sonarlint/mihakralj_quantalib/CSharp/SonarLint.xml
+89
View File
@@ -0,0 +1,89 @@
<?xml version="1.0" encoding="utf-8"?>
<AnalysisInput xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<Settings>
<Setting>
<Key>sonar.cs.analyzeGeneratedCode</Key>
<Value>false</Value>
</Setting>
<Setting>
<Key>sonar.cs.file.suffixes</Key>
<Value>.cs</Value>
</Setting>
<Setting>
<Key>sonar.cs.ignoreHeaderComments</Key>
<Value>true</Value>
</Setting>
<Setting>
<Key>sonar.cs.roslyn.ignoreIssues</Key>
<Value>false</Value>
</Setting>
</Settings>
<Rules>
<Rule>
<Key>S107</Key>
<Parameters>
<Parameter>
<Key>max</Key>
<Value>7</Value>
</Parameter>
</Parameters>
</Rule>
<Rule>
<Key>S110</Key>
<Parameters>
<Parameter>
<Key>max</Key>
<Value>5</Value>
</Parameter>
</Parameters>
</Rule>
<Rule>
<Key>S1479</Key>
<Parameters>
<Parameter>
<Key>maximum</Key>
<Value>30</Value>
</Parameter>
</Parameters>
</Rule>
<Rule>
<Key>S2342</Key>
<Parameters>
<Parameter>
<Key>flagsAttributeFormat</Key>
<Value>^([A-Z]{1,3}[a-z0-9]+)*([A-Z]{2})?s$</Value>
</Parameter>
<Parameter>
<Key>format</Key>
<Value>^([A-Z]{1,3}[a-z0-9]+)*([A-Z]{2})?$</Value>
</Parameter>
</Parameters>
</Rule>
<Rule>
<Key>S2436</Key>
<Parameters>
<Parameter>
<Key>max</Key>
<Value>2</Value>
</Parameter>
<Parameter>
<Key>maxMethod</Key>
<Value>3</Value>
</Parameter>
</Parameters>
</Rule>
<Rule>
<Key>S3776</Key>
<Parameters>
<Parameter>
<Key>propertyThreshold</Key>
<Value>3</Value>
</Parameter>
<Parameter>
<Key>threshold</Key>
<Value>15</Value>
</Parameter>
</Parameters>
</Rule>
</Rules>
</AnalysisInput>
.sonarlint/mihakralj_quantalibcsharp.ruleset
+1
View File
@@ -380,6 +380,7 @@
<Rule Id="S6423" Action="None" /> <Rule Id="S6423" Action="None" />
<Rule Id="S6424" Action="None" /> <Rule Id="S6424" Action="None" />
<Rule Id="S6507" Action="None" /> <Rule Id="S6507" Action="None" />
<Rule Id="S6513" Action="None" />
<Rule Id="S818" Action="Info" /> <Rule Id="S818" Action="Info" />
<Rule Id="S881" Action="None" /> <Rule Id="S881" Action="None" />
<Rule Id="S907" Action="Warning" /> <Rule Id="S907" Action="Warning" />
Quantower/Indicators/JMA_chart.cs
+15 -13
View File
@@ -8,17 +8,22 @@ namespace QuanTAlib;
public class JMA_chart : Indicator { public class JMA_chart : Indicator {
#region Parameters #region Parameters
[InputParameter("Smoothing period", 0, 1, 999, 1, 1)] [InputParameter("Data source", 0, variants: new object[]
private int Period = 10;
[InputParameter("Data source", 1, variants: new object[]
{ "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5, { "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5,
"OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })] "OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })]
private int DataSource = 3 private int DataSource = 3;
;
[InputParameter("Slope calc", 2, 2, 10, 1, 1)]
private int SlopePeriod = 3;
[InputParameter("Smoothing period", 1, 1, 999, 1, 1)]
private int Period = 10;
[InputParameter("Volatility short", 2, 3, 50, 1, 1)]
private int Vshort = 10;
[InputParameter("Volatility long", 3, 20, 500, 1, 1)]
private int Vlong = 65;
[InputParameter("Phase", 4, -100, 100, 1, 2)]
private double Jphase = 0.0;
#endregion Parameters #endregion Parameters
@@ -26,21 +31,19 @@ public class JMA_chart : Indicator {
/////// ///////
private JMA_Series indicator; private JMA_Series indicator;
private LINREG_Series slope;
/////// ///////
public JMA_chart() { public JMA_chart() {
this.SeparateWindow = false; this.SeparateWindow = false;
this.Name = "JMA - Jurik Moving Avg"; this.Name = "JMA - Jurik Moving Avg";
this.Description = "Jurik Moving Average description"; this.Description = "Jurik Moving Average description";
this.AddLineSeries("JMA", Color.Blue, 4, LineStyle.Solid); this.AddLineSeries("JMA", Color.Yellow, 3, LineStyle.Solid);
} }
protected override void OnInit() { protected override void OnInit() {
this.bars = new(); this.bars = new();
this.indicator = new(source: bars.Select(this.DataSource), period: this.Period, useNaN: false); this.indicator = new(source: bars.Select(this.DataSource), period: this.Period, phase: Jphase, vshort: Vshort, vlong: Vlong, useNaN: false);
this.slope = new(source: this.indicator, period: this.SlopePeriod);
} }
protected override void OnUpdate(UpdateArgs args) { protected override void OnUpdate(UpdateArgs args) {
@@ -51,7 +54,6 @@ public class JMA_chart : Indicator {
this.GetPrice(PriceType.Close), this.GetPrice(PriceType.Volume), update); this.GetPrice(PriceType.Close), this.GetPrice(PriceType.Volume), update);
double result = this.indicator[this.indicator.Count - 1].v; double result = this.indicator[this.indicator.Count - 1].v;
this.LinesSeries[0].SetMarker(offset: 0,color: this.slope > 0 ? Color.FromArgb(0,160,0) : Color.FromArgb(255, 0, 0));
this.SetValue(result, lineIndex: 0); this.SetValue(result, lineIndex: 0);
} }
} }
Quantower/Quantower.csproj
+11 -10
View File
@@ -1,9 +1,9 @@
<?xml version="1.0" encoding="utf-8"?> <?xml version="1.0" encoding="utf-8"?>
<Project Sdk="Microsoft.NET.Sdk"> <Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup> <PropertyGroup>
<TargetFramework>net48</TargetFramework> <TargetFramework>net6</TargetFramework>
<LangVersion>preview</LangVersion> <LangVersion>preview</LangVersion>
<AppendTargetFrameworkToOutputPath>true</AppendTargetFrameworkToOutputPath> <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
<Platforms>AnyCPU</Platforms> <Platforms>AnyCPU</Platforms>
<AlgoType>Indicator</AlgoType> <AlgoType>Indicator</AlgoType>
<AssemblyName>Quantower_QTAlib</AssemblyName> <AssemblyName>Quantower_QTAlib</AssemblyName>
@@ -21,9 +21,7 @@
<CheckForOverflowUnderflow>True</CheckForOverflowUnderflow> <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
<PlatformTarget>anycpu</PlatformTarget> <PlatformTarget>anycpu</PlatformTarget>
<DebugType>full</DebugType> <DebugType>full</DebugType>
<!-- <OutputPath>C:\Quantower\TradingPlatform\v1.130.7\..\..\Settings\Scripts\Indicators\Quantower</OutputPath>
<OutputPath>C:\Quantower\TradingPlatform\v1.129.11\..\..\Settings\Scripts\Indicators\Quantower</OutputPath>
-->
</PropertyGroup> </PropertyGroup>
<PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|AnyCPU'"> <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|AnyCPU'">
<DebugType>embedded</DebugType> <DebugType>embedded</DebugType>
@@ -31,21 +29,24 @@
<WarningLevel>3</WarningLevel> <WarningLevel>3</WarningLevel>
<CheckForOverflowUnderflow>True</CheckForOverflowUnderflow> <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
<PlatformTarget>anycpu</PlatformTarget> <PlatformTarget>anycpu</PlatformTarget>
<!-- <OutputPath>C:\Quantower\TradingPlatform\v1.130.7\..\..\Settings\Scripts\Indicators\Quantower</OutputPath>
<OutputPath>C:\Quantower\TradingPlatform\v1.129.11\..\..\Settings\Scripts\Indicators\Quantower</OutputPath>
-->
</PropertyGroup> </PropertyGroup>
<ItemGroup> <ItemGroup>
<Compile Include="..\Source\**\*.cs" Exclude="..\Source\obj\**;..\Source\Feeds\**"> <Compile Include="..\Source\**\*.cs" Exclude="..\Source\obj\**;..\Source\Feeds\**">
<Link>QuanTAlib\%(RecursiveDir)%(Filename)%(Extension)</Link> <Link>QuanTAlib\%(RecursiveDir)%(Filename)%(Extension)</Link>
</Compile> </Compile>
</ItemGroup> </ItemGroup>
<!--
<Target Name="CopyCustomContent" AfterTargets="AfterBuild"> <Target Name="CopyCustomContent" AfterTargets="AfterBuild">
<Copy SourceFiles=".\bin\$(Configuration)\net48\Quantower_QTAlib.dll" DestinationFolder="\Quantower\Settings\Scripts\Indicators\QuanTAlib" /> <Copy SourceFiles=".\bin\$(Configuration)\net7\Quantower_QTAlib.dll" DestinationFolder="\Quantower\Settings\Scripts\Indicators\QuanTAlib" />
</Target> </Target>
-->
<ItemGroup>
<AdditionalFiles Include="..\.sonarlint\mihakralj_quantalib\CSharp\SonarLint.xml" Link="SonarLint.xml" />
</ItemGroup>
<ItemGroup> <ItemGroup>
<Reference Include="TradingPlatform.BusinessLayer"> <Reference Include="TradingPlatform.BusinessLayer">
<HintPath>C:\Quantower\TradingPlatform\v1.129.11\bin\TradingPlatform.BusinessLayer.dll</HintPath> <HintPath>C:\Quantower\TradingPlatform\v1.130.7\bin\TradingPlatform.BusinessLayer.dll</HintPath>
</Reference> </Reference>
</ItemGroup> </ItemGroup>
</Project> </Project>
Quantower/dll/TradingPlatform.BusinessLayer.dll
BIN
View File
Binary file not shown.
Source/Basics/Single_TSeries_Abstract.cs
+20 -21
View File
@@ -23,30 +23,29 @@ public abstract class Single_TSeries_Indicator : TSeries
protected readonly TSeries _data; protected readonly TSeries _data;
protected int _p; protected int _p;
// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN) // Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN) protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN) {
{ _data = source;
this._data = source; _period = period;
this._period = period; _p = _period;
this._p = _period; _NaN = useNaN;
this._NaN = useNaN; _data.Pub += Sub;
this._data.Pub += this.Sub; }
}
// overridable Add() method to add/update a single item at the end of the list // overridable Add() method to add/update a single item at the end of the list
public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN) public virtual void Add((DateTime t, double v) TValue, bool update, bool useNaN) {
{ if (_period == 0) { _p = Length; }
if (_period == 0) { _p = this.Length; } var res = (TValue.t, Count < _p - 1 && _NaN ? double.NaN : TValue.v);
var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v); base.Add(res, update);
base.Add(res, update); }
} public new virtual void Add((DateTime t, double v) TValue, bool update) => base.Add(TValue, update);
public new virtual void Add((System.DateTime t, double v) TValue, bool update) => base.Add(TValue, update);
// potentially overridable Add() method for the whole series (could be replaced with faster bulk algo) // potentially overridable Add() method for the whole series (could be replaced with faster bulk algo)
public virtual void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); } } public virtual void Add(TSeries data) {
foreach (var item in data) { Add(TValue: item, update: false); }
public new void Add((System.DateTime t, double v) TValue) => this.Add(TValue: TValue, update: false); }
public new void Add((System.DateTime t, double v) TValue) => this.Add(TValue: TValue, update: false);
public void Add(bool update) => this.Add(TValue: this._data[this._data.Count - 1], update: update); public void Add(bool update) => this.Add(TValue: this._data[this._data.Count - 1], update: update);
public void Add() => this.Add(TValue: this._data[this._data.Count - 1], update: false); public void Add() => this.Add(TValue: this._data[this._data.Count - 1], update: false);
public new void Sub(object source, TSeriesEventArgs e) => this.Add(TValue: this._data[this._data.Count - 1], update: e.update); public new void Sub(object source, TSeriesEventArgs e) => this.Add(TValue: this._data[this._data.Count - 1], update: e.update);
Source/Basics/TSeries.cs
+35 -76
View File
@@ -1,5 +1,7 @@
namespace QuanTAlib; namespace QuanTAlib;
using System; using System;
using System.Collections.Generic;
using System.Linq;
/* <summary> /* <summary>
TSeries is the cornerstone of all QuanTAlib classess. TSeries is the cornerstone of all QuanTAlib classess.
@@ -11,87 +13,44 @@ TSeries is the cornerstone of all QuanTAlib classess.
- includes publishing and subscribing methods that attach to events - includes publishing and subscribing methods that attach to events
</summary> */ </summary> */
public class TSeries : System.Collections.Generic.List<(DateTime t, double v)> public class TSeries : List<(DateTime t, double v)> {
{
// when asked for a (t,v) tuple, return the last (t,v) on the List
public static implicit operator (DateTime t, double v)(TSeries l) => l[l.Count - 1];
// when asked for a (double), return the value part of the last tuple on the list public static implicit operator (DateTime t, double v)(TSeries l) => l[^1];
public static implicit operator double(TSeries l) => l[l.Count - 1].v; public static implicit operator double(TSeries l) => l[^1].v;
public static implicit operator DateTime(TSeries l) => l[^1].t;
public List<DateTime> t => this.Select(item => item.t).ToList();
public List<double> v => this.Select(item => item.v).ToList();
public int Length => this.Count;
// when asked for a (DateTime), return the DateTime part of the last tuple on the list public TSeries Tail(int count = 10) {
public static implicit operator DateTime(TSeries l) => l[l.Count - 1].t; var tailSeries = new TSeries();
tailSeries.AddRange(this.Skip(Math.Max(0, this.Count - count)).Take(count));
return tailSeries;
}
public void Add((DateTime t, double v) TValue, bool update = false) {
if (update) { this[^1] = TValue; }
else { base.Add(TValue); }
OnEvent(update);
}
//convert from tuple List(t,v) to single List(DateTime) public void Add(DateTime t, double v, bool update = false) => this.Add((t, v), update);
public System.Collections.Generic.List<DateTime> t { public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
get { System.Collections.Generic.List<DateTime> TList = new(); protected virtual void OnEvent(bool update = false) {
for (int i = 0; i < this.Count; i++) { TList.Add(this[i].t); } Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
return TList;
}
}
//convert from tuple List(t,v) to single List(double) public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
public System.Collections.Generic.List<double> v { public event NewDataEventHandler Pub;
get { System.Collections.Generic.List<double> VList = new();
for (int i = 0; i < this.Count; i++) { VList.Add(this[i].v); }
return VList;
}
}
public int Length => this.Count; public void Sub(object source, TSeriesEventArgs e) {
TSeries ss = (TSeries)source;
public TSeries Tail(int count=10) { if (ss.Count > 0) {
TSeries outSeries = new(); this.AddRange(ss);
if (count > this.Count) { count = this.Count; } } else {
for (int i = this.Count-count; i<this.Count; i++) { outSeries.Add(this[i]); } Add(ss[^1], e.update);
return outSeries; }
} }
// add/update one (t,v) tuple to/at the end of the list
public void Add((DateTime t, double v) TValue, bool update = false)
{
if (update) { this[this.Count - 1] = TValue; }
else { base.Add(TValue); }
this.OnEvent(update);
}
public void Add(DateTime t, double v, bool update = false) => this.Add((t, v), update);
public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
// Broadcast handler - only to valid targets
protected virtual void OnEvent(bool update = false)
{
if (Pub != null && Pub.Target != this)
{
Pub(this, new TSeriesEventArgs { update = update });
}
}
// delegate used by event handler + event handler (Pub == publisher)
public delegate
void NewDataEventHandler(object source, TSeriesEventArgs args);
public event NewDataEventHandler Pub;
public void Sub(object source, TSeriesEventArgs e)
{
TSeries ss = (TSeries)source;
if (ss.Count > 0)
{
for (int i = 0; i < ss.Count; i++)
{
this.Add(ss[i]);
}
}
else
{
this.Add(ss[ss.Count - 1], e.update);
}
}
} }
// EventArgs extension - carries the update field public class TSeriesEventArgs : EventArgs{
public class TSeriesEventArgs : EventArgs public bool update { get; set; }
{
public bool update { get; set; }
} }
Source/QuanTAlib.csproj
+2 -2
View File
@@ -2,7 +2,7 @@
<Project Sdk="Microsoft.NET.Sdk"> <Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup> <PropertyGroup>
<Title>QuanTAlib</Title> <Title>QuanTAlib</Title>
<Version>0.1.29</Version> <Version>0.1.30</Version>
<Product>Library of Technical Indicators for .NET</Product> <Product>Library of Technical Indicators for .NET</Product>
<Description>Quantitative Technical Analysis library for real-time (streaming) data analysis</Description> <Description>Quantitative Technical Analysis library for real-time (streaming) data analysis</Description>
<RepositoryType>git</RepositoryType> <RepositoryType>git</RepositoryType>
@@ -11,7 +11,7 @@
<Authors>Miha Kralj</Authors> <Authors>Miha Kralj</Authors>
<Copyright>Miha Kralj</Copyright> <Copyright>Miha Kralj</Copyright>
<PackageReadmeFile>readme.md</PackageReadmeFile> <PackageReadmeFile>readme.md</PackageReadmeFile>
<TargetFrameworks>net7.0;net6.0;netstandard2.1;net48</TargetFrameworks> <TargetFramework>net6.0</TargetFramework>
<ImplicitUsings>disable</ImplicitUsings> <ImplicitUsings>disable</ImplicitUsings>
<LangVersion>preview</LangVersion> <LangVersion>preview</LangVersion>
<Nullable>disable</Nullable> <Nullable>disable</Nullable>
Source/Trends/JMA_Series.cs
+16 -13
View File
@@ -21,7 +21,7 @@ Issues:
</summary> </summary>
*/ */
public class JMA_Series : Single_TSeries_Indicator { public class JMA_Series : Single_TSeries_Indicator {
private readonly System.Collections.Generic.List<double> volty_10 = new(); private readonly System.Collections.Generic.List<double> volty_short = new();
private readonly System.Collections.Generic.List<double> vsum_buff = new(); private readonly System.Collections.Generic.List<double> vsum_buff = new();
private readonly double pr; private readonly double pr;
public TSeries mma1 { get; } public TSeries mma1 { get; }
@@ -30,14 +30,17 @@ public class JMA_Series : Single_TSeries_Indicator {
private double upperBand, lowerBand, vsum, Kv, del1, del2; private double upperBand, lowerBand, vsum, Kv, del1, del2;
private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma; private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma;
private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma; private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma;
private readonly int _voltyS, _voltyL;
public JMA_Series(TSeries source, int period, double phase = 0.0, bool useNaN = false) : base(source, period, useNaN) { public JMA_Series(TSeries source, int period, double phase = 0.0, int vshort = 10, int vlong = 65, bool useNaN = false) : base(source, period, useNaN) {
upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = del1 = del2 = 0.0; upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = del1 = del2 = 0.0;
Kv = 0; Kv = 0;
pr = (phase * 0.01) + 1.5; pr = (phase * 0.01) + 1.5;
if (phase < -100) { pr = 0.5; } if (phase < -100) { pr = 0.5; }
if (phase > 100) { pr = 2.5; } if (phase > 100) { pr = 2.5; }
_voltyS = vshort;
_voltyL = vlong;
mma1 = new(); mma1 = new();
mma2 = new(); mma2 = new();
@@ -77,32 +80,32 @@ public class JMA_Series : Single_TSeries_Indicator {
if (Math.Abs(del1) < Math.Abs(del2)) { volty = Math.Abs(del2); } if (Math.Abs(del1) < Math.Abs(del2)) { volty = Math.Abs(del2); }
//// from volty to avolty //// from volty to avolty
if (update) { volty_10[volty_10.Count - 1] = volty; } if (update) { volty_short[volty_short.Count - 1] = volty; }
else { volty_10.Add(volty); } else { volty_short.Add(volty); }
if (volty_10.Count > 10) { volty_10.RemoveAt(0); } if (volty_short.Count > _voltyS) { volty_short.RemoveAt(0); }
vsum = prev_vsum + 0.1 * (volty - volty_10.First()); vsum = prev_vsum + 0.1 * (volty - volty_short.First());
prev_vsum = vsum; prev_vsum = vsum;
if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; } if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; }
else { vsum_buff.Add(vsum); } else { vsum_buff.Add(vsum); }
if (vsum_buff.Count > (10 * _p)) { vsum_buff.RemoveAt(0); } if (vsum_buff.Count > _voltyL) { vsum_buff.RemoveAt(0); }
double avolty = 0; double avolty = 0;
for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; } for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; }
avolty /= vsum_buff.Count; avolty /= vsum_buff.Count;
/// from avolty to rolty /// from avolty to rolty
double rvolty = (avolty != 0) ? volty / avolty : 0; double rvolty = (avolty != 0) ? volty / avolty : 0;
double len1 = (Math.Log(Math.Sqrt(2.0 * _p)) / Math.Log(2.0)) + 2; double len1 = (Math.Log(Math.Sqrt(_p)) / Math.Log(2.0)) + 2;
if (len1 < 0) len1 = 0; if (len1 < 0)
len1 = 0;
double pow1 = Math.Max(len1 - 2.0, 0.5); double pow1 = Math.Max(len1 - 2.0, 0.5);
if (rvolty > Math.Pow(len1, 1.0 / pow1)) { rvolty = Math.Pow(len1, 1.0 / pow1); } if (rvolty > Math.Pow(len1, 1.0 / pow1)) { rvolty = Math.Pow(len1, 1.0 / pow1); }
if (rvolty < 1) { rvolty = 1; } if (rvolty < 1) { rvolty = 1; }
//// from rvolty to second smoothing //// from rvolty to second smoothing
double pow2 = Math.Pow(rvolty, pow1); double pow2 = Math.Pow(rvolty, pow1);
double len2 = Math.Sqrt(0.5 * (_p - 2)) * len1;
Kv = Math.Pow(len2 / (len2 + 2), Math.Sqrt(pow2));
double beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2); double beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2);
double alpha = Math.Pow(beta * 1.1, pow2); Kv = Math.Pow(beta, Math.Sqrt(pow2));
double alpha = Math.Pow(beta, pow2);
double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1; double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1;
prev_ma1 = ma1; prev_ma1 = ma1;
mma1.Add(ma1); mma1.Add(ma1);
Tests/Validations/Trends/Pandas_TA.cs
+8 -5
View File
@@ -5,6 +5,8 @@ using Python.Runtime;
using Python.Included; using Python.Included;
namespace Validations; namespace Validations;
/*
public class PandasTA : IDisposable public class PandasTA : IDisposable
{ {
private readonly GBM_Feed bars; private readonly GBM_Feed bars;
@@ -144,7 +146,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/
[Fact] void EMA() { [Fact] void EMA() {
EMA_Series QL = new(bars.Close, period, false); EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period); var pta = df.ta.ema(close: df.close, length: period);
@@ -155,7 +157,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/*
[Fact] void ENTROPY() { [Fact] void ENTROPY() {
ENTROPY_Series QL = new(bars.Close, period, useNaN: false); ENTROPY_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.entropy(close: df.close, length: period); var pta = df.ta.entropy(close: df.close, length: period);
@@ -309,7 +311,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/
[Fact] void SMA() { [Fact] void SMA() {
SMA_Series QL = new(bars.Close, period, false); SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period); var pta = df.ta.sma(close: df.close, length: period);
@@ -320,7 +322,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/*
[Fact] void SSDEV() { [Fact] void SSDEV() {
SSDEV_Series QL = new(bars.Close, period, useNaN: false); SSDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1); var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
@@ -432,5 +434,6 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/
} }
*/