Update main automation workflow to use wildcard for dotcover report path

2026-08-18 18:48:05 +00:00 · 2023-05-04 08:40:37 -07:00
parent 5e7ba2427e
commit 56f8db2949
89 changed files with 1721 additions and 1356 deletions
@@ -0,0 +1,88 @@
+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+
+/* <summary>
+ATR: wildeR Moving Average
+    The average true range (ATR) is a price volatility indicator
+    showing the average price variation of assets within a given time period.
+
+Sources:
+    https://en.wikipedia.org/wiki/Average_true_range
+    https://www.tradingview.com/wiki/Average_True_Range_(ATR)
+    https://www.investopedia.com/terms/a/atr.asp
+
+</summary> */
+
+public class ATR_Series : TSeries {
+	protected readonly int _period;
+	protected readonly bool _NaN;
+	protected readonly TBars _data;
+	private double _k;
+	private int _len;
+	private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
+
+	//core constructors
+	public ATR_Series(int period, bool useNaN) {
+		_period = period;
+		_k = 1.0 / (double)(_period);
+		_NaN = useNaN;
+		_len = 0;
+		Name = $"ATR({period})";
+	}
+	public ATR_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
+		_data = source;
+		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+		_data.Pub += Sub;
+		Add(data: _data);
+	}
+	public ATR_Series() : this(period: 1, useNaN: false) { }
+	public ATR_Series(int period) : this(period: period, useNaN: false) { }
+	public ATR_Series(TBars source) : this(source, period: 1, useNaN: false) { }
+	public ATR_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
+
+	//////////////////
+	// core Add() algo
+	public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
+		if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
+		else { 
+			_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
+			_k = (_period == 0) ? 1 / (double)_len : _k;
+			_len++;
+		}
+		
+		if (_len == 1) { _cm1 = TBar.c; }
+		double d1 = Math.Abs(TBar.h - TBar.l);
+		double d2 = Math.Abs(_cm1 - TBar.h);
+		double d3 = Math.Abs(_cm1 - TBar.l);
+		(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
+		_cm1 = TBar.c;
+
+		double _atr = 0;
+		if (this.Count == 0) { _atr = d.v; }
+		else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
+		else { _atr = _k * (d.v - _lastatr) + _lastatr; }
+		_lastatr = _atr;
+		
+		var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atr);
+		return base.Add(res, update);
+	}
+
+	public new void Add(TBars data) {
+		foreach (var item in data) { Add(item, false); }
+	}
+	public (DateTime t, double v) Add(bool update) {
+		return this.Add(TBar: _data.Last, update: update);
+	}
+	public (DateTime t, double v) Add() {
+		return Add(TBar: _data.Last, update: false);
+	}
+	private new void Sub(object source, TSeriesEventArgs e) {
+		Add(TBar: _data.Last, update: e.update);
+	}
+
+	//reset calculation
+	public override void Reset() {
+		_len = 0;
+	}
+}