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 +1,63 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+RMA: wildeR Moving Average
+    J. Welles Wilder introduced RMA as an alternative to EMA. RMA's weight (k) is
+    set as 1/period, giving less weight to the new data compared to EMA. 
+
+Sources:
+    https://archive.org/details/newconceptsintec00wild/page/23/mode/2up
+	https://tlc.thinkorswim.com/center/reference/Tech-Indicators/studies-library/V-Z/WildersSmoothing
+    https://www.incrediblecharts.com/indicators/wilder_moving_average.php
+
+Issues:
+    Pandas-TA library calculates RMA using straight Exponential Weighted Mean:
+	pandas.ewm().mean() and returns incorrect first (period) of bars compared to 
+	published formula. This implementation passess the validation test in Wilder's book.
+
+</summary> */
+
+public class RMA_Series : Single_TSeries_Indicator
+{
+    private readonly System.Collections.Generic.List<double> _buffer = new();
+    private readonly double _k, _k1m;
+    private double _lastema, _lastlastema;
+
+    public RMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    {
+        this._k = 1.0 / (double)(this._p);
+        this._k1m = 1.0 - this._k;
+        this._lastema = this._lastlastema = double.NaN;
+        if (_data.Count > 0) { base.Add(_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) { _buffer[_buffer.Count - 1] = d.v; }
+            else
+            {
+                _buffer.Add(d.v);
+            }
+            if (_buffer.Count > this._p) { _buffer.RemoveAt(0); }
+
+            for (int i = 0; i < _buffer.Count; i++) { _ema += _buffer[i]; }
+            _ema /= this._buffer.Count;
+        }
+        else
+        {
+            _ema = d.v * _k + _lastema * _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);
+    }
+}