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COVAR

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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
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@@ -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);
}
}