feat(statistics): add Variance indicator with O(1) calculation and usage example

2026-08-25 22:08:05 +00:00 · 2025-12-25 17:18:41 -08:00
parent 9ba89812cd
commit 4ff6dc0ad9
61 changed files with 6069 additions and 99 deletions
@@ -0,0 +1,228 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class LinRegIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Period { get; set; } = 14;
+
+    [InputParameter("Offset", sortIndex: 2, -2000, 2000, 1, 0)]
+    public int Offset { get; set; } = 0;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private LinReg? _linreg;
+    private readonly LineSeries? _series;
+    private Func<IHistoryItem, double>? _priceSelector;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"LinReg({Period})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/linreg/LinReg.Quantower.cs";
+
+    public LinRegIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = false;
+        Name = "LinReg - Linear Regression Curve";
+        Description = "Plots the end point of the linear regression line for each bar.";
+
+        _series = new(name: "LinReg", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _linreg = new LinReg(Period, Offset);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector!(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        TValue result = _linreg!.Update(input, args.IsNewBar());
+
+        _series!.SetValue(result.Value, _linreg.IsHot, ShowColdValues);
+    }
+}
+
+[SkipLocalsInit]
+public sealed class LinRegSlopeIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Period { get; set; } = 14;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private LinReg? _linreg;
+    private readonly LineSeries? _series;
+    private Func<IHistoryItem, double>? _priceSelector;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"LinRegSlope({Period})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/linreg/LinReg.Quantower.cs";
+
+    public LinRegSlopeIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "LinReg Slope";
+        Description = "Plots the slope of the linear regression line.";
+
+        _series = new(name: "Slope", color: IndicatorExtensions.Momentum, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _linreg = new LinReg(Period);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector!(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        _linreg!.Update(input, args.IsNewBar());
+
+        _series!.SetValue(_linreg.Slope, _linreg.IsHot, ShowColdValues);
+    }
+}
+
+[SkipLocalsInit]
+public sealed class LinRegInterceptIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Period { get; set; } = 14;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private LinReg? _linreg;
+    private readonly LineSeries? _series;
+    private Func<IHistoryItem, double>? _priceSelector;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"LinRegIntercept({Period})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/linreg/LinReg.Quantower.cs";
+
+    public LinRegInterceptIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "LinReg Intercept";
+        Description = "Plots the intercept of the linear regression line.";
+
+        _series = new(name: "Intercept", color: IndicatorExtensions.Experiments, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _linreg = new LinReg(Period);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector!(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        _linreg!.Update(input, args.IsNewBar());
+
+        _series!.SetValue(_linreg.Intercept, _linreg.IsHot, ShowColdValues);
+    }
+}
+
+[SkipLocalsInit]
+public sealed class LinRegRSquaredIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Period { get; set; } = 14;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private LinReg? _linreg;
+    private readonly LineSeries? _series;
+    private Func<IHistoryItem, double>? _priceSelector;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"LinRegR2({Period})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/linreg/LinReg.Quantower.cs";
+
+    public LinRegRSquaredIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "LinReg R-Squared";
+        Description = "Plots the R-Squared (coefficient of determination) of the linear regression line.";
+
+        _series = new(name: "RSquared", color: IndicatorExtensions.Oscillators, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _linreg = new LinReg(Period);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector!(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        _linreg!.Update(input, args.IsNewBar());
+
+        _series!.SetValue(_linreg.RSquared, _linreg.IsHot, ShowColdValues);
+    }
+}