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Afirma + documentation

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Miha Kralj
2024-09-24 16:28:16 -07:00
parent 990c7b4cf0
commit 4b25801d52
66 changed files with 8792 additions and 3061 deletions
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lib/averages/Dsma.cs
+11 -9
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@@ -6,11 +6,6 @@ namespace QuanTAlib;
/// It aims to be more responsive during trending periods and more stable during ranging periods.
/// </summary>
/// <remarks>
/// Smoothness: ★★★★☆ (4/5)
/// Sensitivity: ★★★★☆ (4/5)
/// Overshooting: ★★★★☆ (4/5)
/// Lag: ★★★★☆ (4/5)
///
/// The DSMA uses a SuperSmoother filter to reduce noise and a dynamic alpha calculation based on the
/// scaled deviation of the input data. This allows it to adapt to changing market conditions.
///
@@ -29,6 +24,7 @@ public class Dsma : AbstractBase
private readonly int _period;
private readonly CircularBuffer _buffer;
private readonly double _c1, _c2, _c3;
private readonly double _scaleFactor;
private double _lastDsma, _p_lastDsma;
private double _filt, _filt1, _filt2, _zeros, _zeros1;
private double _p_filt, _p_filt1, _p_filt2, _p_zeros, _p_zeros1;
@@ -39,13 +35,18 @@ public class Dsma : AbstractBase
/// </summary>
/// <param name="period">The number of data points used in the DSMA calculation.</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
public Dsma(int period)
public Dsma(int period, double scaleFactor = 0.9)
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
if (scaleFactor <= 0 || scaleFactor > 1)
{
throw new ArgumentOutOfRangeException(nameof(scaleFactor), "Scale factor must be between 0 and 1 (exclusive).");
}
_period = period;
_scaleFactor = scaleFactor;
_buffer = new CircularBuffer(period);
// SuperSmoother filter coefficients
@@ -56,11 +57,11 @@ public class Dsma : AbstractBase
_c1 = 1 - _c2 - _c3;
Name = "Dsma";
WarmupPeriod = period * 2; // A conservative estimate
WarmupPeriod = (int) (period * 1.5); // A conservative estimate
Init();
}
public Dsma(object source, int period) : this(period)
public Dsma(object source, int period, double scaleFactor = 0.9) : this(period, scaleFactor)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
@@ -127,7 +128,8 @@ public class Dsma : AbstractBase
double scaledFilt = rms != 0 ? _filt / rms : 0;
// Calculate adaptive alpha
double alpha = Math.Abs(scaledFilt) * 5 / _period;
double alpha = _scaleFactor * Math.Abs(scaledFilt) * 5 / _period;
alpha = Math.Max(0.1, Math.Min(1.0, alpha));
// DSMA calculation
double dsma = alpha * Input.Value + (1 - alpha) * _lastDsma;