TR and ATR

2026-08-19 02:58:05 +00:00 · 2022-04-19 22:34:42 -07:00
parent 50ed6f6504
commit 509b6dec02
41 changed files with 488 additions and 236 deletions
@@ -0,0 +1,64 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+EMA: Exponential Moving Average
+    EMA needs very short history buffer and calculates the EMA value using just the
+    previous EMA value. The weight of the new datapoint (k) is k = 2 / (period-1)
+
+Sources:
+    https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
+    https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
+    https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA
+
+Issues:
+    There is no consensus what the first EMA value should be - a zero, a first
+    datapoint, or an average of the initial Period bars. All three starting methods
+    converge within 20+ bars to the same moving average. Most implementations (including this one)
+    use SMA() for the first Period bars as a seeding value for EMA.
+
+</summary> */
+
+public class EMA_Series : Single_TSeries_Indicator
+{
+    private readonly System.Collections.Generic.List<double> _buffer = new();
+    private readonly double _k, _k1m;
+    private double _lastema, _lastlastema;
+
+    public EMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    {
+        this._k = 2.0 / (this._p + 1);
+        this._k1m = 1.0 - this._k;
+        this._lastema = this._lastlastema = double.NaN;
+        if (this._data.Count > 0) { base.Add(this._data); }
+    }
+
+    public override void Add((DateTime t, double v) d, bool update = false)
+    {
+        double _ema = 0;
+        if (update) { this._lastema = this._lastlastema; }
+
+        if (this.Count < this._p)
+        {
+            if (update) { this._buffer[this._buffer.Count - 1] = d.v; }
+            else
+            {
+                this._buffer.Add(d.v);
+            }
+            if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
+
+            for (int i = 0; i < this._buffer.Count; i++) { _ema += this._buffer[i]; }
+            _ema /= this._buffer.Count;
+        }
+        else
+        {
+            _ema = d.v * this._k + this._lastema * this._k1m;
+        }
+
+        this._lastlastema = this._lastema;
+        this._lastema = _ema;
+
+        var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
+        base.Add(ret, update);
+    }
+}