TR and ATR

2026-08-19 19:18:05 +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 +1,79 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+TEMA: Triple Exponential Moving Average
+    TEMA uses EMA(EMA(EMA())) to calculate less laggy Exponential moving average.
+
+Sources:
+    https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/triple-exponential-moving-average-tema/
+
+Remark:
+    ema1 = EMA(close, length)
+    ema2 = EMA(ema1, length)
+    ema3 = EMA(ema2, length)
+    TEMA = 3 * (ema1 - ema2) + ema3
+
+</summary> */
+
+public class TEMA_Series : Single_TSeries_Indicator
+{
+    private readonly System.Collections.Generic.List<double> _buffer = new();
+    private readonly double _k, _k1m;
+    private double _lastema1, _lastlastema1;
+    private double _lastema2, _lastlastema2;
+    private double _lastema3, _lastlastema3;
+
+    public TEMA_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;
+        if (_data.Count > 0) { base.Add(_data); }
+    }
+
+    public override void Add((DateTime t, double v) d, bool update = false)
+    {
+
+        if (update)
+        {
+            this._lastema1 = this._lastlastema1;
+            this._lastema2 = this._lastlastema2;
+            this._lastema3 = this._lastlastema3;
+        }
+
+        double _ema1, _ema2, _ema3;
+
+        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); }
+
+            double _sma = 0;
+            for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
+            _sma /= this._buffer.Count;
+            _ema1 = _ema2 = _ema3 = _sma;
+        }
+        else
+        {
+            _ema1 = d.v * this._k + this._lastema1 * this._k1m;
+            _ema2 = _ema1 * this._k + this._lastema2 * this._k1m;
+            _ema3 = _ema2 * this._k + this._lastema3 * this._k1m;
+        }
+
+        double _tema = 3 * (_ema1 - _ema2) + _ema3;
+
+        this._lastlastema1 = this._lastema1;
+        this._lastlastema2 = this._lastema2;
+        this._lastlastema3 = this._lastema3;
+        this._lastema1 = _ema1;
+        this._lastema2 = _ema2;
+        this._lastema3 = _ema3;
+
+        var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _tema);
+        base.Add(ret, update);
+    }
+}