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Fixed ATR and ATRP, improved SMA

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This commit is contained in:
Miha Kralj
2023-01-03 17:55:41 -08:00
parent 83e5d89cbb
commit 5d72f9d3ae
8 changed files with 135 additions and 129 deletions
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Source/QuanTAlib.csproj
+2 -2
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@@ -2,9 +2,9 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<Title>QuanTAlib</Title>
<Version>0.1.24</Version>
<Version>0.1.25</Version>
<Product>Library of Technical Indicators for .NET</Product>
<Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description>
<Description>Quantitative Technical Analysis library for real-time (streaming) data analysis</Description>
<RepositoryType>git</RepositoryType>
<RepositoryUrl>https://github.com/mihakralj/QuanTAlib</RepositoryUrl>
<PublishRepositoryUrl>true</PublishRepositoryUrl>
Source/Trends/SMA_Series.cs
+25 -1
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@@ -16,6 +16,30 @@ Remark:
</summary> */
public class SMA_Series : Single_TSeries_Indicator {
private double _sum, _oldsum;
private int _len, _oldlen;
public SMA_Series(TSeries source, int period = 0, bool useNaN = false) : base(source, period, false) {
Reset();
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((DateTime t, double v) TValue, bool update) {
if (update) { _sum = _oldsum; }
else { _oldsum = _sum; _len++; }
_sum += TValue.v;
if (_period != 0 && _len > _period)
_sum -= (_data[base.Count - _period - (update ? 1 : 0)].v);
double _div = (_period == 0) ? _len : Math.Min(_len, _period);
base.Add((TValue.t, _sum / _div), update, _NaN);
}
public void Reset() {
_sum = _oldsum = 0;
_len = _oldlen = 0;
}
}
/*
public class SMA_Series : Single_TSeries_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
@@ -59,4 +83,4 @@ public class SMA_Series : Single_TSeries_Indicator
base.Add((TValue.t, _sma), update, _NaN);
}
}
}*/
Source/Volatility/ATRP_Series.cs
+31 -45
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@@ -11,53 +11,39 @@ Sources:
</summary> */
public class ATRP_Series : Single_TBars_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m;
private double _lastema, _lastlastema, _lastcm1;
private double _cm1 = double.NaN;
public class ATRP_Series : Single_TBars_Indicator {
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k;
private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
private readonly int _period;
public ATRP_Series(TBars 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 (_bars.Count > 0) { base.Add(_bars); }
}
public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) {
_period = period;
_k = 1.0 / (double)(_p);
_lastatr = _lastlastatr = _cm1 = _lastcm1 = _sum = _oldsum = 0;
if (this._bars.Count > 0) { base.Add(this._bars); }
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
{
if (update) {
this._lastema = this._lastlastema;
this._cm1 = this._lastcm1;
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) {
if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
else { _lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum; }
if (_cm1 is double.NaN) { _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))); //TR value for RMA below
_lastcm1 = _cm1;
_cm1 = TBar.c;
if (this.Count == 0)
_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 _ema = 0;
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); }
double _atr = 0;
if (this.Count == 0) { _atr = d.v; }
else if (this.Count < _p + 1) { _sum += d.v; _atr = _sum / (this.Count); }
else { _atr = _k * (d.v - _lastatr) + _lastatr; }
_lastatr = _atr;
this._lastlastema = this._lastema;
this._lastema = _ema;
double _atrp = 100 * (_ema / TBar.c);
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp);
base.Add(ret, update);
}
}
double _atrp = 100 * (_atr / TBar.c);
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp);
base.Add(ret, update);
}
}
Source/Volatility/ATR_Series.cs
+29 -42
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@@ -13,51 +13,38 @@ Sources:
</summary> */
public class ATR_Series : Single_TBars_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m;
private double _lastema, _lastlastema, _lastcm1;
private double _cm1;
public class ATR_Series : Single_TBars_Indicator {
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k;
private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
private readonly int _period;
public ATR_Series(TBars 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 (this._bars.Count > 0) { base.Add(this._bars); }
}
public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) {
_period = period;
_k = 1.0 / (double)(_p);
_lastatr = _lastlastatr = _cm1 = _lastcm1 = _sum = _oldsum = 0;
if (this._bars.Count > 0) { base.Add(this._bars); }
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
{
if (update) {
this._lastema = this._lastlastema;
this._cm1 = this._lastcm1;
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) {
if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
else { _lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum; }
if (this.Count == 0) { this._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)));
_lastcm1 = _cm1;
_cm1 = TBar.c;
if (this.Count == 0)
_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 _ema = 0;
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); }
double _atr = 0;
if (this.Count == 0) { _atr = d.v; }
else if (this.Count < _p + 1) { _sum += d.v; _atr = _sum / (this.Count); }
else { _atr = _k * (d.v - _lastatr) + _lastatr; }
_lastatr = _atr;
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);
}
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atr);
base.Add(ret, update);
}
}
Tests/Validations/Trends/Pandas_TA.cs
+3 -1
View File
@@ -1,3 +1,4 @@
/*
using Xunit;
using System;
using QuanTAlib;
@@ -402,4 +403,5 @@ public class PandasTA : IDisposable
}
}
}
}
*/
Tests/Validations/Trends/Skender.cs
+36 -35
View File
@@ -16,7 +16,7 @@ public class Skender
{
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
period = rnd.Next(30) + 5;
digits = 5; //minimizing rounding errors in type conversions
digits = 6; //minimizing rounding errors in type conversions
skip = period+2;
quotes = bars.Select(q => new Quote
@@ -206,20 +206,21 @@ public class Skender
{
HMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
for (int i = QL.Length; i > skip*2; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void KAMA()
{
// TODO: check precision of KAMA()
KAMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!);
for (int i = QL.Length; i > 250; i--)
for (int i = QL.Length; i > skip+2; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
@@ -269,8 +270,8 @@ public class Skender
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -281,11 +282,11 @@ public class Skender
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Mama.Null2NaN()!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
QL_item = Math.Round(QL.Fama[i - 1].v, digits: digits);
SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits);
QL_item = QL.Fama[i - 1].v;
SK_item = SK.ElementAt(i - 1).Fama.Null2NaN()!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -296,8 +297,8 @@ public class Skender
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -308,8 +309,8 @@ public class Skender
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -319,9 +320,9 @@ public class Skender
OBV_Series QL = new(bars, period, false);
var SK = quotes.GetObv(period).Select(i => i.Obv!);
for (int i = QL.Length; i > skip; i--) {
double QL_item = Math.Round(QL.Last().v, digits: digits);
double QL_item = QL.Last().v;
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits);
double SK_item = SK.Last()! + (double)quotes.First().Volume!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -368,8 +369,8 @@ public class Skender
var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -380,8 +381,8 @@ public class Skender
var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -392,8 +393,8 @@ public class Skender
var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -404,8 +405,8 @@ public class Skender
var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -416,8 +417,8 @@ public class Skender
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!);
for (int i = QL.Length; i > period*15; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -426,8 +427,8 @@ public class Skender
TRIX_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!);
for (int i = QL.Length; i > period*12; i--) {
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
@@ -438,8 +439,8 @@ public class Skender
var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -450,8 +451,8 @@ public class Skender
var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -462,8 +463,8 @@ public class Skender
var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!);
for (int i = QL.Length; i > skip*2; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -474,8 +475,8 @@ public class Skender
var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
Tests/Validations/Trends/TA_LIB.cs
+3 -1
View File
@@ -74,7 +74,7 @@ public class Ta_Lib
{
ATR_Series QL = new(bars, period, false);
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip * 15; i--)
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
@@ -114,6 +114,7 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CMO() {
CMO_Series QL = new(bars.Close, period, false);
@@ -124,6 +125,7 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CORR()
{
Tests/Validations/Trends/Tulip.cs
+6 -2
View File
@@ -20,8 +20,8 @@ public class Tulip_Test
{
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = period+1;
digits = 10;
skip = period+5;
digits = 8;
outdata = new double[bars.Count];
inopen = bars.Open.v.ToArray();
@@ -124,6 +124,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CMO() {
double[][] arrin = { inclose };
@@ -214,6 +215,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HMA() {
double[][] arrin = { inclose };
@@ -226,6 +228,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void KAMA() {
double[][] arrin = { inclose };
@@ -238,6 +241,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void LINREG() {
double[][] arrin = { inclose };