TR and ATR

2026-08-20 03:28:05 +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 +1,120 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+HMA: Hull Moving Average
+    Developed by Alan Hull, an extremely fast and smooth moving average; almost
+    eliminates lag altogether and manages to improve smoothing at the same time.
+
+Sources:
+    https://alanhull.com/hull-moving-average
+    https://school.stockcharts.com/doku.php?id=technical_indicators:hull_moving_average
+
+WMA1 = WMA(n/2) of price
+WMA2 = WMA(n) of price
+Raw HMA = (2 * WMA1) - WMA2
+HMA = WMA(sqrt(n)) of Raw HMA
+
+</summary> */
+
+public class HMA_Series : TSeries
+{
+    private readonly int _p;
+    private readonly bool _NaN;
+    private readonly TSeries _data;
+    private double _wma1, _wma2;
+    private readonly System.Collections.Generic.List<double> _buf1 = new();
+    private readonly System.Collections.Generic.List<double> _buf2 = new();
+    private readonly System.Collections.Generic.List<double> _buf3 = new();
+    private readonly System.Collections.Generic.List<double> _weights = new();
+
+    public HMA_Series(TSeries source, int period, bool useNaN = false)
+    {
+        this._p = period;
+        this._data = source;
+        this._NaN = useNaN;
+        for (int i = 0; i < this._p; i++)
+        {
+            this._weights.Add(i + 1);
+        }
+
+        source.Pub += this.Sub;
+        if (source.Count > 0)
+        {
+            for (int i = 0; i < source.Count; i++)
+            {
+                this.Add(source[i], false);
+            }
+        }
+    }
+    public new void Add((System.DateTime t, double v) data, bool update = false)
+    {
+        if (update)
+        {
+            this._buf1[this._buf1.Count - 1] = data.v;
+            this._buf2[this._buf2.Count - 1] = data.v;
+        }
+        else
+        {
+            this._buf1.Add(data.v);
+            this._buf2.Add(data.v);
+        }
+        if (this._buf1.Count > (int)(Math.Ceiling((double)this._p / 2)))
+        {
+            this._buf1.RemoveAt(0);
+        }
+        if (this._buf2.Count > this._p)
+        {
+            this._buf2.RemoveAt(0);
+        }
+
+        this._wma1 = 0;
+        for (int i = 0; i < this._buf1.Count; i++)
+        {
+            this._wma1 += this._buf1[i] * this._weights[i];
+        }
+
+        this._wma1 /= (this._buf1.Count * (this._buf1.Count + 1)) * 0.5;
+
+        this._wma2 = 0;
+        for (int i = 0; i < this._buf2.Count; i++)
+        {
+            this._wma2 += this._buf2[i] * this._weights[i];
+        }
+
+        this._wma2 /= (this._buf2.Count * (this._buf2.Count + 1)) * 0.5;
+
+        if (update)
+        {
+            this._buf3[this._buf3.Count - 1] = 2 * this._wma1 - this._wma2;
+        }
+        else
+        {
+            this._buf3.Add(2 * this._wma1 - this._wma2);
+        }
+        if (this._buf3.Count > (int)Math.Sqrt(this._p))
+        {
+            this._buf3.RemoveAt(0);
+        }
+
+        double _hma = 0;
+        for (int i = 0; i < this._buf3.Count; i++)
+        {
+            _hma += this._buf3[i] * this._weights[i];
+        }
+
+        _hma /= (this._buf3.Count * (this._buf3.Count + 1)) * 0.5;
+
+        (System.DateTime t, double v) result =
+            (data.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _hma);
+        base.Add(result, update);
+    }
+    public void Add(bool update = false)
+    {
+        this.Add(this._data[this._data.Count - 1], update);
+    }
+    public new void Sub(object source, TSeriesEventArgs e)
+    {
+        this.Add(this._data[this._data.Count - 1], e.update);
+    }
+}