Add TRAMA implementation and comprehensive tests

- Implemented the TRAMA (Trend Regularity Adaptive Moving Average) class with adaptive EMA logic. - Added unit tests for TRAMA functionality, including constructor validation, basic calculations, state management, and robustness checks. - Created validation tests to ensure consistency across different modes of operation (streaming, batch, and static calculations). - Enhanced documentation for TRAMA, including performance profiles and quality metrics. - Updated workspace configuration by removing unnecessary folder references.
2026-08-24 05:28:05 +00:00 · 2026-02-21 20:45:38 -08:00
parent 90d5638008
commit 7253f61299
199 changed files with 29577 additions and 234 deletions
@@ -0,0 +1,61 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class AgcIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Decay", sortIndex: 1, 0.9, 0.9999, 0.001, 3)]
+    public double Decay { get; set; } = 0.991;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Agc _agc = null!;
+    private Roofing _roofing = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"AGC {Decay:F3}:{_sourceName}";
+
+    public AgcIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "AGC - Ehlers Automatic Gain Control";
+        Description = "Ehlers Automatic Gain Control: amplitude normalization via exponential peak tracking, applied after Roofing filter";
+        _series = new LineSeries(name: $"AGC {Decay:F3}", color: Color.Blue, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _priceSelector = Source.GetPriceSelector();
+        _sourceName = Source.ToString();
+        _roofing = new Roofing(48, 10);
+        _agc = new Agc(Decay);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool isNew = args.IsNewBar();
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        double price = _priceSelector(item);
+
+        // First apply roofing filter to get oscillating signal, then normalize with AGC
+        double filtered = _roofing.Update(new TValue(item.TimeLeft.Ticks, price), isNew).Value;
+        double value = _agc.Update(new TValue(item.TimeLeft.Ticks, filtered), isNew).Value;
+        _series.SetValue(value, _agc.IsHot, ShowColdValues);
+    }
+}