diff --git a/Source/QuanTAlib.csproj b/Source/QuanTAlib.csproj index 3aa1b3b8..87a32a2e 100644 --- a/Source/QuanTAlib.csproj +++ b/Source/QuanTAlib.csproj @@ -2,9 +2,9 @@ QuanTAlib - 0.1.24 + 0.1.25 Library of Technical Indicators for .NET - Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis + Quantitative Technical Analysis library for real-time (streaming) data analysis git https://github.com/mihakralj/QuanTAlib true diff --git a/Source/Trends/SMA_Series.cs b/Source/Trends/SMA_Series.cs index 48e45ec4..a263532c 100644 --- a/Source/Trends/SMA_Series.cs +++ b/Source/Trends/SMA_Series.cs @@ -16,6 +16,30 @@ Remark: */ +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 _buffer = new(); @@ -59,4 +83,4 @@ public class SMA_Series : Single_TSeries_Indicator base.Add((TValue.t, _sma), update, _NaN); } -} \ No newline at end of file +}*/ diff --git a/Source/Volatility/ATRP_Series.cs b/Source/Volatility/ATRP_Series.cs index 884e92a2..5bfedfc0 100644 --- a/Source/Volatility/ATRP_Series.cs +++ b/Source/Volatility/ATRP_Series.cs @@ -11,53 +11,39 @@ Sources: */ -public class ATRP_Series : Single_TBars_Indicator -{ - private readonly System.Collections.Generic.List _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 _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); - } -} \ No newline at end of file + double _atrp = 100 * (_atr / TBar.c); + var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp); + base.Add(ret, update); + } +} diff --git a/Source/Volatility/ATR_Series.cs b/Source/Volatility/ATR_Series.cs index 41e288c7..5e4d4bab 100644 --- a/Source/Volatility/ATR_Series.cs +++ b/Source/Volatility/ATR_Series.cs @@ -13,51 +13,38 @@ Sources: */ -public class ATR_Series : Single_TBars_Indicator -{ - private readonly System.Collections.Generic.List _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 _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); + } } \ No newline at end of file diff --git a/Tests/Validations/Trends/Pandas_TA.cs b/Tests/Validations/Trends/Pandas_TA.cs index 7da08900..23cfc6f9 100644 --- a/Tests/Validations/Trends/Pandas_TA.cs +++ b/Tests/Validations/Trends/Pandas_TA.cs @@ -1,3 +1,4 @@ +/* using Xunit; using System; using QuanTAlib; @@ -402,4 +403,5 @@ public class PandasTA : IDisposable } } -} \ No newline at end of file +} +*/ \ No newline at end of file diff --git a/Tests/Validations/Trends/Skender.cs b/Tests/Validations/Trends/Skender.cs index 757acb07..530af8ea 100644 --- a/Tests/Validations/Trends/Skender.cs +++ b/Tests/Validations/Trends/Skender.cs @@ -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)); } } diff --git a/Tests/Validations/Trends/TA_LIB.cs b/Tests/Validations/Trends/TA_LIB.cs index 0f34a472..1b372f77 100644 --- a/Tests/Validations/Trends/TA_LIB.cs +++ b/Tests/Validations/Trends/TA_LIB.cs @@ -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() { diff --git a/Tests/Validations/Trends/Tulip.cs b/Tests/Validations/Trends/Tulip.cs index 13a33ee0..e17583a5 100644 --- a/Tests/Validations/Trends/Tulip.cs +++ b/Tests/Validations/Trends/Tulip.cs @@ -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 };