Update main automation workflow to use wildcard for dotcover report path

2026-08-24 05:28:05 +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 +1,112 @@
+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+/* <summary>
+BBANDS: Bollinger Bands®
+    Price channels created by John Bollinger, depict volatility as standard deviation boundary 
+    line range from a moving average of price. The bands automatically widen when volatility 
+    increases and contract when volatility decreases. Their dynamic nature allows them to be 
+    used on different securities with the standard settings.
+
+    Mid Band = simple moving average (SMA)
+    Upper Band = SMA + (standard deviation of price x multiplier) 
+    Lower Band = SMA - (standard deviation of price x multiplier)
+    Bandwidth = Width of the channel: (Upper-Lower)/SMA
+    %B = The location of the data point within the channel: (Price-Lower)/(Upper/Lower)
+    Z-Score = number of standard deviations of the data point from SMA
+
+Sources:
+    https://www.investopedia.com/terms/b/bollingerbands.asp
+    https://school.stockcharts.com/doku.php?id=technical_indicators:bollinger_bands
+
+Note:
+    Bollinger Bands® is a registered trademark of John A. Bollinger.
+
+</summary> */
+
+public class BBANDS_Series : TSeries {
+	protected readonly int _period;
+	protected readonly double _multiplier;
+	protected readonly bool _NaN;
+	protected readonly TSeries _data;
+	public SMA_Series Mid { get; }
+	public TSeries Upper { get; }
+	public TSeries Lower { get; }
+	public TSeries PercentB { get; }
+	public TSeries Bandwidth { get; }
+	public TSeries Zscore { get; }
+	private readonly SDEV_Series _sdev;
+
+	//core constructors
+	public BBANDS_Series(int period, double multiplier, bool useNaN) {
+		_period = period;
+		_multiplier = multiplier;
+		_NaN = useNaN;
+		Name = $"BBANDS({period})";
+	}
+	public BBANDS_Series(TSeries source, int period, double multiplier, bool useNaN) : this(period, multiplier, useNaN) {
+		_data = source;
+		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+		Upper = new("BB_Up");
+		Lower = new("BB_Low");
+		Bandwidth = new("BBandwidth");
+		PercentB = new("%BBandwidth");
+		Zscore = new("Zscore");
+
+		Mid = new(period, false);
+		_sdev = new(period, false);
+
+		_data.Pub += Sub;
+		Add(_data);
+	}
+
+	public BBANDS_Series() : this(period:0, multiplier: 2.0, useNaN: false) { }
+	public BBANDS_Series(int period) : this(period: period, multiplier: 2.0, useNaN:false) { }
+	public BBANDS_Series(TBars source) : this(source:source.Close, period:0, multiplier: 2.0, useNaN:false) { }
+	public BBANDS_Series(TBars source, int period) : this(source:source.Close, period:period, multiplier: 2.0, useNaN: false) { }
+	public BBANDS_Series(TBars source, int period, double multiplier, bool useNaN) : this(source.Close, period:period, multiplier:multiplier, useNaN: false) { }
+	public BBANDS_Series(TSeries source) : this(source, period:0,  useNaN:false) { }
+	public BBANDS_Series(TSeries source, int period) : this(source:source, period:period,  useNaN:false) { }
+	public BBANDS_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, multiplier: 2.0, useNaN: useNaN) { }
+
+	// core Add() algo
+	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update=false) {
+		var _mid = Mid.Add(TValue,update);
+		var _sd = this._sdev.Add(TValue, update);
+		var _upper = Upper.Add((TValue.t, _mid.v + _sd.v * _multiplier), update);
+		var _lower = Lower.Add((TValue.t, _mid.v - _sd.v * _multiplier), update);
+		double _pbdnd = TValue.v - _lower.v;
+		double _pbdvr = _upper.v - _lower.v;
+		PercentB.Add((TValue.t, _pbdnd/_pbdvr), update);
+		Zscore.Add((TValue.t, (TValue.v-_mid.v)/_sd.v), update);
+		Bandwidth.Add((TValue.t, _pbdvr / _mid.v), update);
+		
+		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _pbdvr / _mid.v);
+		return base.Add(res, update);
+	}
+
+	//variation of Add()
+	public override (DateTime t, double v) Add(TSeries data) {
+		if (data == null) { return (DateTime.Today, Double.NaN); }
+		foreach (var item in data) { Add(item); }
+		return _data.Last;
+	}
+	public (DateTime t, double v) Add(bool update) {
+		return this.Add(TValue: _data.Last, update: update);
+	}
+	public (DateTime t, double v) Add() {
+		return Add(TValue: _data.Last, update: false);
+	}
+	private new void Sub(object source, TSeriesEventArgs e) {
+		Add(TValue: _data.Last, update: e.update);
+	}
+	//reset calculation
+	public override void Reset() {
+		Mid.Clear();
+		_sdev.Clear();
+		Upper.Clear();
+		Lower.Clear();
+	}
+}