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COVAR

Browse Source 
semver fix


VAR test fix


new: COVAR, ZSCORE, CORR, LINREG


versioning


refactoring
This commit is contained in:
Miha Kralj
2022-11-17 11:05:20 -08:00
parent fd2a686ba5
commit 73e3420379
59 changed files with 1225 additions and 1285 deletions
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Source/Trends/ALMA_Series.cs
+41 -45
View File
@@ -19,49 +19,45 @@ TODO: Discrepancy with Pandas-TA (but passes the validation with Skender.GetAlma
</summary> */
public class ALMA_Series : Single_TSeries_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double[] _weight;
private double _norm;
private readonly double _offset, _sigma;
public ALMA_Series(TSeries source, int period, double offset = 0.85, double sigma = 6.0, bool useNaN = false)
: base(source, period, useNaN)
{
_offset = offset;
_sigma = sigma;
_weight = new double[period];
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
if (this._buffer.Count <= _p) { calc_weights(); }
double _weightedSum = 0;
for (int i = 0; i < this._buffer.Count; i++) { _weightedSum += _weight[i] * _buffer[i]; }
double _alma = _weightedSum / _norm;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _alma);
base.Add(ret, update);
}
private void calc_weights()
{
int _len = this._buffer.Count;
_norm = 0;
double _m = _offset * (_len - 1);
double _s = _len / _sigma;
for (int i = 0; i < _len; i++)
{
double _wt = Math.Exp(-((i - _m) * (i - _m)) / (2 * _s * _s));
_weight[i] = _wt;
_norm += _wt;
}
}
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double[] _weight;
private double _norm;
private readonly double _offset, _sigma;
public ALMA_Series(TSeries source, int period, double offset = 0.85, double sigma = 6.0, bool useNaN = false)
: base(source, period, useNaN)
{
_offset = offset;
_sigma = sigma;
_weight = new double[period];
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((System.DateTime t, double v) TValue, bool update)
{
Add_Replace_Trim(_buffer, TValue.v, _p, update);
if (this._buffer.Count <= _p)
{
int _len = this._buffer.Count;
_norm = 0;
double _m = _offset * (_len - 1);
double _s = _len / _sigma;
for (int i = 0; i < _len; i++)
{
double _wt = Math.Exp(-((i - _m) * (i - _m)) / (2 * _s * _s));
_weight[i] = _wt;
_norm += _wt;
}
}
double _weightedSum = 0;
for (int i = 0; i < this._buffer.Count; i++)
{ _weightedSum += _weight[i] * _buffer[i]; }
double _alma = _weightedSum / _norm;
base.Add((TValue.t, _alma), update, _NaN);
}
}
Source/Trends/DEMA_Series.cs
+4 -11
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
DEMA: Double Exponential Moving Average
@@ -41,16 +42,9 @@ public class DEMA_Series : Single_TSeries_Indicator
if (this.Count < this._p)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else
{
_buffer.Add(TValue.v);
}
if (_buffer.Count > this._p) { _buffer.RemoveAt(0); }
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _sma = _buffer.Average();
double _sma = 0;
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
_sma /= this._buffer.Count;
_ema1 = _ema2 = _sma;
}
else
@@ -65,7 +59,6 @@ public class DEMA_Series : Single_TSeries_Indicator
this._lastema1 = _ema1;
this._lastema2 = _ema2;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _dema);
base.Add(ret, update);
base.Add((TValue.t, _dema), update, _NaN);
}
}
Source/Trends/EMA_Series.cs
+5 -12
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
EMA: Exponential Moving Average
@@ -35,20 +36,13 @@ public class EMA_Series : Single_TSeries_Indicator
public override void Add((DateTime t, double v) TValue, bool update)
{
double _ema = 0;
double _ema;
if (update) { this._lastema = this._lastlastema; }
if (this.Count < this._p)
{
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else
{
this._buffer.Add(TValue.v);
}
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
for (int i = 0; i < this._buffer.Count; i++) { _ema += this._buffer[i]; }
_ema /= this._buffer.Count;
Add_Replace(_buffer, TValue.v, update);
_ema = _buffer.Average();
}
else
{
@@ -58,7 +52,6 @@ public class EMA_Series : Single_TSeries_Indicator
this._lastlastema = this._lastema;
this._lastema = _ema;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
base.Add(ret, update);
base.Add((TValue.t, _ema), update, _NaN);
}
}
Source/Trends/HEMA_Series.cs
+6 -14
View File
@@ -2,8 +2,8 @@
using System;
/* <summary>
HEMA: Hull-EMA Moving Average
Modified HUll Moving Average; instead of using WMA (Weighted MA) for acalculation,
HEMA: Hull-EMA Moving Average - a hybrid indicator
Modified HUll Moving Average; instead of using WMA (Weighted MA) for calculation,
HEMA uses EMA for Hull's formula:
EMA1 = EMA(n/2) of price - where k = 4/(n/2 +1)
@@ -39,17 +39,11 @@ public class HEMA_Series : Single_TSeries_Indicator
this._lastema2 = this._lastlastema2;
this._lastema3 = this._lastlastema3;
}
double _ema1 = System.Double.IsNaN(this._lastema1)
? TValue.v
: TValue.v * this._k1 + this._lastema1 * (1 - this._k1);
double _ema2 = System.Double.IsNaN(this._lastema2)
? TValue.v
: TValue.v * this._k2 + this._lastema2 * (1 - this._k2);
double _ema1 = System.Double.IsNaN(this._lastema1) ? TValue.v : TValue.v * this._k1 + this._lastema1 * (1 - this._k1);
double _ema2 = System.Double.IsNaN(this._lastema2) ? TValue.v : TValue.v * this._k2 + this._lastema2 * (1 - this._k2);
double _rawhema = (2 * _ema1) - _ema2;
double _ema3 = System.Double.IsNaN(this._lastema3)
? _rawhema
: _rawhema * this._k3 + this._lastema3 * (1 - this._k3);
double _ema3 = System.Double.IsNaN(this._lastema3) ? _rawhema : _rawhema * this._k3 + this._lastema3 * (1 - this._k3);
this._lastlastema1 = this._lastema1;
this._lastlastema2 = this._lastema2;
@@ -58,8 +52,6 @@ public class HEMA_Series : Single_TSeries_Indicator
this._lastema2 = _ema2;
this._lastema3 = _ema3;
(System.DateTime t, double v) result =
(TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ema3);
base.Add(result, update);
base.Add((TValue.t, _ema3), update, _NaN);
}
}
Source/Trends/HMA_Series.cs
+1 -2
View File
@@ -73,7 +73,6 @@ public class HMA_Series : TSeries
{
this._wma1 += this._buf1[i] * this._weights[i];
}
this._wma1 /= (this._buf1.Count * (this._buf1.Count + 1)) * 0.5;
this._wma2 = 0;
@@ -81,7 +80,6 @@ public class HMA_Series : TSeries
{
this._wma2 += this._buf2[i] * this._weights[i];
}
this._wma2 /= (this._buf2.Count * (this._buf2.Count + 1)) * 0.5;
if (update)
@@ -92,6 +90,7 @@ public class HMA_Series : TSeries
{
this._buf3.Add(2 * this._wma1 - this._wma2);
}
if (this._buf3.Count > (int)Math.Sqrt(this._p))
{
this._buf3.RemoveAt(0);
Source/Trends/JMA_Series.cs
+4 -7
View File
@@ -150,12 +150,9 @@ public class JMA_Series : Single_TSeries_Indicator
double det1 = ((ma2 - this.prev_jma) * (1 - alpha) * (1 - alpha)) +
(this.prev_det1 * alpha * alpha);
this.prev_det1 = det1;
var jma = this.prev_jma + det1;
this.prev_jma = jma;
var _jma = this.prev_jma + det1;
this.prev_jma = _jma;
(System.DateTime t, double v) result =
(TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : jma);
base.Add(result, update);
}
base.Add((TValue.t, _jma), update, _NaN);
}
}
Source/Trends/KAMA_Series.cs
+3 -3
View File
@@ -44,6 +44,7 @@ public class KAMA_Series : Single_TSeries_Indicator
_buffer.Add(TValue.v);
}
if (_buffer.Count > _p + 1) { _buffer.RemoveAt(0); }
double _kama = 0;
if (this.Count < this._p) {
for (int i = 0; i < this._buffer.Count; i++) { _kama += this._buffer[i]; }
@@ -59,7 +60,6 @@ public class KAMA_Series : Single_TSeries_Indicator
}
_lastlastkama = _lastkama;
_lastkama = _kama;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _kama);
base.Add(result, update);
}
base.Add((TValue.t, _kama), update, _NaN);
}
}
Source/Trends/MACD_Series.cs
+2 -3
View File
@@ -40,7 +40,6 @@ public class MACD_Series : Single_TSeries_Indicator
_TSfast.Add(TValue, true);
}
_macd = this._TSmacd[(this.Count < this._TSmacd.Count) ? this.Count : this._TSmacd.Count - 1].v;
var result = (TValue.t, _macd);
base.Add(result, update);
}
base.Add((TValue.t, _macd), update, _NaN);
}
}
Source/Trends/RMA_Series.cs
+6 -13
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
RMA: wildeR Moving Average
@@ -34,20 +35,13 @@ public class RMA_Series : Single_TSeries_Indicator
public override void Add((DateTime t, double v) TValue, bool update)
{
double _ema = 0;
double _ema;
if (update) { this._lastema = this._lastlastema; }
if (this.Count < this._p)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else
{
_buffer.Add(TValue.v);
}
if (_buffer.Count > this._p) { _buffer.RemoveAt(0); }
for (int i = 0; i < _buffer.Count; i++) { _ema += _buffer[i]; }
_ema /= this._buffer.Count;
Add_Replace_Trim(_buffer, TValue.v, _p, update);
_ema = _buffer.Average();
}
else
{
@@ -57,7 +51,6 @@ public class RMA_Series : Single_TSeries_Indicator
this._lastlastema = this._lastema;
this._lastema = _ema;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
base.Add(ret, update);
}
base.Add((TValue.t, _ema), update, _NaN);
}
}
Source/Trends/SMA_Series.cs
+4 -10
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
SMA: Simple Moving Average
@@ -26,16 +27,9 @@ public class SMA_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _sma = _buffer.Sum() / _buffer.Count;
double _sma = 0;
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
_sma /= this._buffer.Count;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _sma);
base.Add(result, update);
base.Add((TValue.t, _sma), update, _NaN);
}
}
Source/Trends/SMMA_Series.cs
+5 -12
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
SMMA: Smoothed Moving Average
@@ -34,15 +35,8 @@ public class SMMA_Series : Single_TSeries_Indicator
if (this.Count < this._p)
{
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else
{
this._buffer.Add(TValue.v);
}
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
for (int i = 0; i < this._buffer.Count; i++) { _smma += this._buffer[i]; }
_smma /= this._buffer.Count;
Add_Replace_Trim(_buffer, TValue.v, _p, update);
_smma = _buffer.Average();
}
else
{
@@ -52,7 +46,6 @@ public class SMMA_Series : Single_TSeries_Indicator
this._lastlastsmma = this._lastsmma;
this._lastsmma = _smma;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _smma);
base.Add(ret, update);
}
base.Add((TValue.t, _smma), update, _NaN);
}
}
Source/Trends/TEMA_Series.cs
+5 -13
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
TEMA: Triple Exponential Moving Average
@@ -44,16 +45,8 @@ public class TEMA_Series : Single_TSeries_Indicator
if (this.Count < this._p)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else
{
_buffer.Add(TValue.v);
}
if (_buffer.Count > this._p) { _buffer.RemoveAt(0); }
double _sma = 0;
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
_sma /= this._buffer.Count;
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _sma = _buffer.Average();
_ema1 = _ema2 = _ema3 = _sma;
}
else
@@ -72,7 +65,6 @@ public class TEMA_Series : Single_TSeries_Indicator
this._lastema2 = _ema2;
this._lastema3 = _ema3;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _tema);
base.Add(ret, update);
}
base.Add((TValue.t, _tema), update, _NaN);
}
}
Source/Trends/TRIMA_Series.cs
+5 -11
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
TRIMA: Triangular Moving Average
@@ -31,19 +32,12 @@ public class TRIMA_Series : Single_TSeries_Indicator
{
if (update) { _buffer1[_buffer1.Count - 1] = TValue.v; } else { _buffer1.Add(TValue.v); }
if (_buffer1.Count > this._p1b && this._p1b != 0) { _buffer1.RemoveAt(0); }
double _sma1 = 0;
for (int i = 0; i < _buffer1.Count; i++) { _sma1 += _buffer1[i]; }
_sma1 /= this._buffer1.Count;
double _sma1 = _buffer1.Average();
if (update) { _buffer2[_buffer2.Count - 1] = _sma1; } else { _buffer2.Add(_sma1); }
if (_buffer2.Count > this._p1a && this._p1a != 0) { _buffer2.RemoveAt(0); }
double _trima = _buffer2.Average();
double _trima = 0;
for (int i = 0; i < _buffer2.Count; i++) { _trima += _buffer2[i]; }
_trima /= this._buffer2.Count;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _trima);
base.Add(result, update);
}
base.Add((TValue.t, _trima), update, _NaN);
}
}
Source/Trends/WMA_Series.cs
+2 -6
View File
@@ -24,16 +24,12 @@ public class WMA_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _wma = 0;
for (int i = 0; i < _buffer.Count; i++) { _wma += _buffer[i] * this._weights[i]; }
_wma /= (this._buffer.Count * (this._buffer.Count + 1)) * 0.5;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _wma);
base.Add(result, update);
base.Add((TValue.t, _wma), update, _NaN);
}
}
Source/Trends/ZLEMA_Series.cs
+5 -15
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
ZLEMA: Zero Lag Exponential Moving Average
@@ -45,18 +46,8 @@ public class ZLEMA_Series : Single_TSeries_Indicator
{ this._lastema = this._lastlastema; }
if (this.Count < this._p)
{
if (update)
{ this._buffer[this._buffer.Count - 1] = _zl; }
else
{
this._buffer.Add(_zl);
}
if (this._buffer.Count > this._p)
{ this._buffer.RemoveAt(0); }
for (int i = 0; i < this._buffer.Count; i++)
{ _ema += this._buffer[i]; }
_ema /= this._buffer.Count;
Add_Replace_Trim(_buffer, _zl, _p, update);
_ema = _buffer.Average();
}
else
{
@@ -66,7 +57,6 @@ public class ZLEMA_Series : Single_TSeries_Indicator
this._lastlastema = this._lastema;
this._lastema = _ema;
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
base.Add(ret, update);
}
base.Add((TValue.t, _ema), update, _NaN);
}
}