TR and ATR

2026-08-20 19:48:05 +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 +1,65 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+HEMA: Hull-EMA Moving Average
+    Modified HUll Moving Average; instead of using WMA (Weighted MA) for acalculation, 
+    HEMA uses EMA for Hull's formula:
+
+EMA1 = EMA(n/2) of price - where k = 4/(n/2 +1)
+EMA2 = EMA(n) of price - where k = 3/(n+1)
+Raw HMA = (2 * EMA1) - EMA2
+EMA3 = EMA(sqrt(n)) of Raw HMA - where k = 2/(sqrt(n)+1)
+
+</summary> */
+
+public class HEMA_Series : Single_TSeries_Indicator
+{
+    public HEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    {
+        this._k1 = 4 / ((period * 0.5) + 1);
+        this._k2 = 3 / (double)(period + 1);
+        this._k3 = 2 / (Math.Sqrt(period) + 1);
+        this._lastema1 = this._lastlastema1 = double.NaN;
+        this._lastema2 = this._lastlastema2 = double.NaN;
+        this._lastema3 = this._lastlastema3 = double.NaN;
+
+        if (base._data.Count > 0) { base.Add(base._data); }
+    }
+    private readonly double _k1, _k2, _k3;
+    private double _lastema1, _lastlastema1;
+    private double _lastema2, _lastlastema2;
+    private double _lastema3, _lastlastema3;
+
+    public override void Add((System.DateTime t, double v) d, bool update)
+    {
+        if (update)
+        {
+            this._lastema1 = this._lastlastema1;
+            this._lastema2 = this._lastlastema2;
+            this._lastema3 = this._lastlastema3;
+        }
+        double _ema1 = System.Double.IsNaN(this._lastema1)
+                           ? d.v
+                           : d.v * this._k1 + this._lastema1 * (1 - this._k1);
+        double _ema2 = System.Double.IsNaN(this._lastema2)
+                           ? d.v
+                           : d.v * this._k2 + this._lastema2 * (1 - this._k2);
+
+        double _rawhema = (2 * _ema1) - _ema2;
+        double _ema3 = System.Double.IsNaN(this._lastema3)
+                           ? _rawhema
+                           : _rawhema * this._k3 + this._lastema3 * (1 - this._k3);
+
+        this._lastlastema1 = this._lastema1;
+        this._lastlastema2 = this._lastema2;
+        this._lastlastema3 = this._lastema3;
+        this._lastema1 = _ema1;
+        this._lastema2 = _ema2;
+        this._lastema3 = _ema3;
+
+        (System.DateTime t, double v) result =
+            (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ema3);
+        base.Add(result, update);
+    }
+}