EMA completed

.refactoring/test.dib

@@ -4,7 +4,7 @@
 
 #!csharp
 
-#r "..\v2\bin\Debug\calculations.dll"
+#r "\bin\Debug\calculations.dll"
 using QuanTAlib;
 
 #!csharp

v2/GBM_Feed.cs

@@ -1,4 +1,4 @@
-namespace QuanTAlib;
+//namespace QuanTAlib;
 public class GBM_Feed
 {
     private readonly double _mu;

v2/Indicators/EMA.cs

@@ -1,42 +1,45 @@
-namespace QuanTAlib;
-
 public class EMA
 {
-    private double lastEma, lastEmaCandidate, k;
-    private int period, i;
+    private readonly int period;
+    private int index;
     public TValue Value { get; private set; }
-    public bool IsHot { get; private set; }
+    public bool IsHot => index > period;
+    public int Period => Math.Min(index, period);
+    private double k;
+    private double lastEMA, lastEMAcandidate;
 
-    public EMA(int period)
-    {
-        Init(period);
+    public EMA(int Period) {
+        this.period = Period;
+        Init();
     }
 
-    public void Init(int period)
-    {
-        this.period = period;
+    public void Init() {
+        this.Value = default;
+        this.index = 0;
         this.k = 2.0 / (period + 1);
-        this.lastEma = this.lastEmaCandidate = double.NaN;
-        this.i = 0;
+        this.lastEMA = 0;
+        this.lastEMAcandidate = 0;
     }
-    public TValue Update(TValue input, bool IsNew = true)
-    {
-        double ema;
 
-        if (double.IsNaN(lastEma)) { lastEma = input.Value; }
-
-        if (IsNew)
-        {
-            lastEma = lastEmaCandidate;
-            i++;
+    public TValue Update(TValue Input, bool IsNew = true) {
+        double ma;
+        if (double.IsNaN(Input.Value) || double.IsInfinity(Input.Value)) { 
+            return new TValue(Input.Time, lastEMA, IsNew, index > period);
+        }
+        if (IsNew) {
+            if (index<1) { lastEMA = Input.Value; }
+            lastEMAcandidate = lastEMA;
+            index++;
+        } else {
+            if (index<=1) { lastEMAcandidate = Input.Value; }
+            lastEMA = lastEMAcandidate;
         }
 
-        double kk = (i < period) ? (2.0 / (i + 1)) : k;
-        ema = lastEma + kk * (input.Value - lastEma);
-        lastEmaCandidate = ema;
+        double kk = (index <= period) ? (2.0 / (index+1)) : k;
+        ma = (Input.Value - lastEMA) * kk + lastEMA;
+        lastEMA = ma;
 
-        IsHot = i >= period;
-        Value = new TValue(input.Time, ema, IsNew, IsHot);
-        return Value;
+        this.Value = new TValue(Input.Time, ma, IsNew, index > period);
+        return this.Value;
     }
 }

v2/Indicators/SMA.cs

@@ -1,41 +1,55 @@
-namespace QuanTAlib;
-
 public class SMA
 {
-    private CircularBuffer buffer = null!;
-    private int period;
-    private double sum;
+    public CircularBuffer buffer = null!;
+    private readonly int period;
+    public double sum;
     public TValue Value { get; private set; }
     public bool IsHot { get; private set; }
 
     public SMA(int period)
     {
-        Init(period);
+        this.period = period;
+        Init();
     }
 
-    public void Init(int period)
+    public void Init()
     {
-        this.period = period;
         this.buffer = new CircularBuffer(period);
         this.sum = 0;
         this.IsHot = false;
         this.Value = default;
     }
 
-    public TValue Update(TValue input, bool IsNew = true)
+    public TValue Update(TValue input, bool isNew = true)
     {
-        buffer.Add(input.value, IsNew);
-
-        //calculate rolling sum
-
-        double sma = sum / buffer.Count;
-        Value = new TValue(input.Time, sma, isNew, IsHot);
-        return Value;
+        if (buffer.Count == 0)
+        {
+            // If buffer is empty, always add the value regardless of isNew
+            buffer.Add(input.Value, true);
+            sum = input.Value;
+        }
+        else if (isNew && buffer.Count == buffer.Capacity)
+        {
+            // If buffer is full and it's a new value, remove oldest
+            sum -= buffer[0];
+            buffer.Add(input.Value, true);
+            sum += input.Value;
+        }
+        else
+        {
+            // If it's not new, or if buffer isn't full yet
+            if (!isNew)
+            {
+                // Remove the last value if we're updating
+                sum -= buffer[buffer.Count - 1];
+            }
+            buffer.Add(input.Value, isNew);
+            sum += input.Value;
         }
 
-        double sma = buffer.Count > 0 ? sum / buffer.Count : double.NaN;
+        double sma = sum / buffer.Count;
         IsHot = buffer.Count >= period;
-        Value = new TValue(input.Time, sma, IsNew, IsHot);
+        Value = new TValue(input.Time, sma, isNew, IsHot);
         return Value;
     }
-}
+}

v2/Indicators/Template.cs

@@ -0,0 +1,40 @@
+public class Template
+{
+    private CircularBuffer buffer = null!;
+    private readonly int period;
+    private int index;
+    public TValue Value { get; private set; }
+    public bool IsHot { get; private set; }
+
+    public Template(int Period) {
+        this.period = Period;
+        Init();
+    }
+
+    public void Init() {
+        this.buffer = new CircularBuffer(period);
+        this.IsHot = false;
+        this.Value = default;
+        this.index = 0;
+    }
+
+    public TValue Update(TValue Input, bool IsNew = true) {
+        this.buffer.Add(Input,IsNew);
+        if (this.index == 0) {
+            if (IsNew) { this.index++; }
+            this.Value = new TValue(Input.Time, Input.Value, IsNew, true); 
+            return this.Value;
+        }
+
+    if (IsNew) {
+        // starting a new bar, fresh calc
+        index++;
+    } else {
+        // updating existing bar, recalc
+    }
+        double ma = Input.Value;
+
+        this.Value = new TValue(Input.Time, ma, IsNew, buffer.Count >= period);
+        return this.Value;
+    }
+}

v2/Indicators/WMA.cs

@@ -1,5 +1,3 @@
-namespace QuanTAlib;
-
 public class WMA
 {
     private CircularBuffer buffer = null!;

v2/basics/CircularBuffer.cs

@@ -1,4 +1,7 @@
-namespace QuanTAlib;
+using System;
+using System.Collections;
+using System.Collections.Generic;
+using System.Runtime.CompilerServices;
 
 public class CircularBuffer: IEnumerable<double>
 {
@@ -30,7 +33,12 @@ public class CircularBuffer: IEnumerable<double>
             }
         } else {
             // If isNew is false, just update the last item
-            _buffer[(_start + _size - 1) % Capacity] = item;
+            if (_size > 0) {
+                _buffer[(_start + _size - 1) % Capacity] = item;
+            } else {
+                _buffer[_start] = item;
+                _size = 1;
+            }
         }
     }
 

v2/basics/TBar.cs

@@ -1,4 +1,4 @@
-namespace QuanTAlib;
+//namespace QuanTAlib;
 public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true)
 {
     public DateTime Time { get; init; } = Time;

v2/basics/TValue.cs

@@ -1,4 +1,4 @@
-namespace QuanTAlib;
+//namespace QuanTAlib;
 
 public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true)
 {

v2/test.dib

@@ -4,156 +4,77 @@
 
 #!csharp
 
-#r ".\bin\Debug\calculations.dll"
-using QuanTAlib;
-
-#!csharp
-
+//#r "./bin/Debug/calculations.dll"
+using System;
+using System.Collections;
+using System.Collections.Generic;
 using System.Runtime.CompilerServices;
 
-public class CircularBuffer: IEnumerable<double>
-{
-    private double[] _buffer = null!;
-    private int _start;
-    private int _size;
+#!csharp
 
-    public int Capacity => _buffer.Length;
-    public int Count => _size;
-
-    public CircularBuffer(int capacity)
-    {
-
-        _buffer = new double[capacity];
-        _start = 0;
-        _size = 0;
-    }
-
-    [MethodImpl(MethodImplOptions.AggressiveInlining)]
-    public void Add(double item, bool isNew = true) {
-
-        //refine this flow
-        if (_size == 0 || isNew) {
-            // If buffer is empty or isNew is true, add new item
-            if (_size < Capacity) {
-                _buffer[(_start + _size) % Capacity] = item;
-                _size++;
-            } else {
-                _buffer[_start] = item;
-                _start = (_start + 1) % Capacity;
-            }
-        } else {
-            // If isNew is false, just update the last item
-            _buffer[(_start + _size - 1) % Capacity] = item;
-        }
-    }
-
-    public double this[int index] {
-        get {
-            if (index < 0 || index >= _size)
-                throw new IndexOutOfRangeException();
-            return _buffer[(_start + index) % Capacity];
-        } set {
-            if (index < 0 || index >= _size)
-                throw new IndexOutOfRangeException();
-            _buffer[(_start + index) % Capacity] = value;
-        }
-    }
-
-    public Enumerator GetEnumerator() => new Enumerator(this);
-    IEnumerator<double> IEnumerable<double>.GetEnumerator() => GetEnumerator();
-    IEnumerator IEnumerable.GetEnumerator() => GetEnumerator();
-    public struct Enumerator : IEnumerator<double> {
-        private readonly CircularBuffer _buffer;
-        private int _index;
-        private double _current;
-
-        internal Enumerator(CircularBuffer buffer) {
-            _buffer = buffer;
-            _index = -1;
-            _current = default;
-        }
-
-        public bool MoveNext() {
-            if (_index + 1 >= _buffer._size)
-                return false;
-
-            _index++;
-            _current = _buffer[_index];
-            return true;
-        }
-
-        public double Current => _current;
-        object IEnumerator.Current => Current;
-
-        public void Reset() {
-            _index = -1;
-            _current = default;
-        }
-
-        public void Dispose() { }
-    }
-}
+#load "./basics/CircularBuffer.cs"
+#load "./basics/TValue.cs"
+#load "./basics/TBar.cs"
+#load "./Indicators/SMA.cs"
+#load "./Indicators/EMA.cs"
+#load "./GBM_Feed.cs"
 
 #!csharp
 
-public class SMA1
+public class Template
 {
-    private CircularBuffer buffer;
+    private CircularBuffer buffer = null!;
     private readonly int period;
-    private double sum;
+    private int index;
     public TValue Value { get; private set; }
     public bool IsHot { get; private set; }
 
-    public SMA1(int period)
-    {
-        this.period = period;
+    public Template(int Period) {
+        this.period = Period;
         Init();
     }
 
-    public void Init()
-    {
+    public void Init() {
         this.buffer = new CircularBuffer(period);
-        this.sum = 0;
         this.IsHot = false;
         this.Value = default;
+        this.index = 0;
     }
 
-    public TValue Update(TValue input, bool isNew = true)
-    {
-        buffer.Add(input.Value, isNew);
-
-        sum = 0;
-        for (int i=0; i<buffer.Count; i++) {
-            sum+=buffer[i];
+    public TValue Update(TValue Input, bool IsNew = true) {
+        this.buffer.Add(Input,IsNew);
+        //first value
+        if (this.index == 0) {
+            if (IsNew) { this.index++; }
+            this.Value = new TValue(Input.Time, Input.Value, IsNew, true); 
+            return this.Value;
         }
 
-        double sma =  sum / buffer.Count;
-        IsHot = buffer.Count >= period;
-        Value = new TValue(input.Time, sma, isNew, IsHot);
-        return Value;
+    if (IsNew) {
+        // starting a new bar, fresh calc
+        index++;
+    } else {
+        // updating existing bar, recalc
+    }
+        double ma = Input.Value;
+
+        this.Value = new TValue(Input.Time, ma, IsNew, index > period);
+        return this.Value;
     }
 }
 
 #!csharp
 
-GBM_Feed feed = new(initialPrice: 100, mu: 0.1, sigma: 0.9);
-int i=10;
-SMA1 ma = new(i);
-Console.WriteLine($"{"Close",10}   {"MA(" + i + ")",10}");
-for (int i = 0; i < 20; i++)
+EMA ma = new(3);
+Console.WriteLine($"{"Close",5}   {"MA()",10}");
+for (int i = 1; i < 10; i=i+1)
 {
-    //TValue c =(double)feed.Generate().Close;
-    //ma.Update(10000,false);
-    // ma.Update(-10000,false);
-
-    //ma.Update(i,false);
+    //ma.Update(100,true);
+    ma.Update(10,true);
     ma.Update(i,false);
 
-    ma.Update(i,true);
-    ma.Update(10000,false);
-    ma.Update(i+1,false);
 
-    Console.WriteLine($"{i+1}  {(double)i+1,10:F2}   {(double)ma.Value,10:F2}");
+    Console.WriteLine($"{i} {(double)ma.Value,10:F2}   {ma.Value.IsNew}");
 }
 
 #!csharp