Fixed ATR and ATRP, improved SMA

Source/QuanTAlib.csproj

@@ -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

@@ -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

@@ -11,53 +11,39 @@ Sources:
 
 </summary> */
 
-public class ATRP_Series : Single_TBars_Indicator
+public class ATRP_Series : Single_TBars_Indicator {
-{
+	private readonly System.Collections.Generic.List<double> _buffer = new();
-    private readonly System.Collections.Generic.List<double> _buffer = new();
+	private readonly double _k;
-    private readonly double _k, _k1m;
+	private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
-    private double _lastema, _lastlastema, _lastcm1;
+	private readonly int _period;
-    private double _cm1 = double.NaN;
 
-    public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN)
+	public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) {
-    {
+		_period = period;
-        this._k = 1.0 / (double)(this._p);
+		_k = 1.0 / (double)(_p);
-        this._k1m = 1.0 - this._k;
+		_lastatr = _lastlastatr = _cm1 = _lastcm1 = _sum = _oldsum = 0;
-        this._lastema = this._lastlastema = double.NaN;
+		if (this._bars.Count > 0) { base.Add(this._bars); }
-        if (_bars.Count > 0) { base.Add(_bars); }
+	}
-    }
 
-    public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
+	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; }
-        if (update) { 
+		else { _lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum; }
-            this._lastema = this._lastlastema; 
-            this._cm1 = this._lastcm1;
-        }
 
-        if (_cm1 is double.NaN) { _cm1 = TBar.c; }
+		if (this.Count == 0)
-        double d1 = Math.Abs(TBar.h - TBar.l);
+			_cm1 = TBar.c;
-        double d2 = Math.Abs(_cm1 - TBar.h);
+		double d1 = Math.Abs(TBar.h - TBar.l);
-        double d3 = Math.Abs(_cm1 - TBar.l);
+		double d2 = Math.Abs(_cm1 - TBar.h);
-        (DateTime t, double v)d = (TBar.t, Math.Max(d1,Math.Max(d2,d3))); //TR value for RMA below
+		double d3 = Math.Abs(_cm1 - TBar.l);
-        _lastcm1 = _cm1;
+		(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
-        _cm1 = TBar.c;
+		_cm1 = TBar.c;
 
-        double _ema = 0;
+		double _atr = 0;
-        if (this.Count < this._p)
+		if (this.Count == 0) { _atr = d.v; }
-        {
+		else if (this.Count < _p + 1) { _sum += d.v; _atr = _sum / (this.Count); }
-            if (update) { _buffer[_buffer.Count - 1] = d.v; }
+		else { _atr = _k * (d.v - _lastatr) + _lastatr; }
-                else { _buffer.Add(d.v); }
+		_lastatr = _atr;
-            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); }
 
-        this._lastlastema = this._lastema;
+		double _atrp = 100 * (_atr / TBar.c);
-        this._lastema = _ema;
+		var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp);
-
+		base.Add(ret, update);
-        double _atrp = 100 * (_ema / 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

@@ -13,51 +13,38 @@ Sources:
 
 </summary> */
 
-public class ATR_Series : Single_TBars_Indicator
+public class ATR_Series : Single_TBars_Indicator {
-{
+	private readonly System.Collections.Generic.List<double> _buffer = new();
-    private readonly System.Collections.Generic.List<double> _buffer = new();
+	private readonly double _k;
-    private readonly double _k, _k1m;
+	private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
-    private double _lastema, _lastlastema, _lastcm1;
+	private readonly int _period;
-    private double _cm1;
 
-    public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN)
+	public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) {
-    {
+		_period = period;
-        this._k = 1.0 / (double)(this._p);
+		_k = 1.0 / (double)(_p);
-        this._k1m = 1.0 - this._k;
+		_lastatr = _lastlastatr = _cm1 = _lastcm1 = _sum = _oldsum = 0;
-        this._lastema = this._lastlastema = double.NaN;
+		if (this._bars.Count > 0) { base.Add(this._bars); }
-        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)
+	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; }
-        if (update) { 
+		else { _lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum; }
-            this._lastema = this._lastlastema; 
-            this._cm1 = this._lastcm1;
-        }
 
-        if (this.Count == 0) { this._cm1 = TBar.c; }
+		if (this.Count == 0)
-        double d1 = Math.Abs(TBar.h - TBar.l);
+			_cm1 = TBar.c;
-        double d2 = Math.Abs(_cm1 - TBar.h);
+		double d1 = Math.Abs(TBar.h - TBar.l);
-        double d3 = Math.Abs(_cm1 - TBar.l);
+		double d2 = Math.Abs(_cm1 - TBar.h);
-        (DateTime t, double v)d = (TBar.t, Math.Max(d1,Math.Max(d2,d3))); 
+		double d3 = Math.Abs(_cm1 - TBar.l);
-        _lastcm1 = _cm1;
+		(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
-        _cm1 = TBar.c;
+		_cm1 = TBar.c;
 
-        double _ema = 0;
+		double _atr = 0;
-        if (this.Count < this._p)
+		if (this.Count == 0) { _atr = d.v; }
-        {
+		else if (this.Count < _p + 1) { _sum += d.v; _atr = _sum / (this.Count); }
-            if (update) { _buffer[_buffer.Count - 1] = d.v; }
+		else { _atr = _k * (d.v - _lastatr) + _lastatr; }
-                else { _buffer.Add(d.v); }
+		_lastatr = _atr;
-            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); }
 
-        this._lastlastema = this._lastema;
+		var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atr);
-        this._lastema = _ema;
+		base.Add(ret, update);
-
+	}
-        var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
-        base.Add(ret, update);
-    }
 }

Tests/Validations/Trends/Pandas_TA.cs

@@ -1,3 +1,4 @@
+/*
 using Xunit;
 using System;
 using QuanTAlib;
@@ -402,4 +403,5 @@ public class PandasTA : IDisposable
         }
     }
 
-}
+}
+*/

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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits);
+      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);
+      QL_item = QL.Fama[i - 1].v;
-      SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-			double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+			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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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 QL_item = QL[i - 1].v;
-      double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
+      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

@@ -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

@@ -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;
+    skip = period+5;
-    digits = 10;
+    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 };