TR and ATR

Source/Indicators/ZLEMA_Series.cs

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+namespace QuanTAlib;
+using System;
+
+/* <summary>
+ZLEMA: Zero Lag Exponential Moving Average
+    The Zero lag exponential moving average (ZLEMA) indicator was created by John
+    Ehlers and Ric Way.
+
+The formula for a given N-Day period and for a given Data series is:
+    Lag = (Period-1)/2
+    Ema Data = {Data+(Data-Data(Lag days ago))
+    ZLEMA = EMA (EmaData,Period)
+
+Remark:
+    The idea is do a regular exponential moving average (EMA) calculation but on a
+    de-lagged data instead of doing it on the regular data. Data is de-lagged by
+    removing the data from "lag" days ago thus removing (or attempting to remove)
+    the cumulative lag effect of the moving average.
+
+</summary> */
+
+public class ZLEMA_Series : Single_TSeries_Indicator
+{
+    private readonly double _k, _k1m;
+    private double _lastema, _lastlastema;
+
+    public ZLEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    {
+        this._k = 2.0 / (double)(period + 1);
+        this._k1m = 1.0 - this._k;
+        this._lastema = this._lastlastema = double.NaN;
+
+
+        if (base._data.Count > 0) { base.Add(base._data); }
+    }
+
+    public override void Add((System.DateTime t, double v) d, bool update)
+    {
+        if (update)
+        {
+            this._lastema = this._lastlastema;
+        }
+        int _lag = (int)(0.5 * (_p - 1));
+        int _l = Math.Max(this._data.Count - _lag, 0);
+        double _lagdata = 1 * d.v - this._data[_l].v;
+
+        double _ema = System.Double.IsNaN(this._lastema) ? _lagdata : _lagdata * this._k + this._lastema * this._k1m;
+        this._lastlastema = this._lastema;
+        this._lastema = _ema;
+
+        (System.DateTime t, double v) result =
+            (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ema);
+        base.Add(result, update);
+
+    }
+}