Decay

Source/Statistics/DECAY_Series.cs

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+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+
+
+/* <summary>
+DECAY: 
+  Linear decay can be modeled by a straight line with a negative slope of 1/period.
+	The value decreases in a straight line from the last maximum to 0.
+	Decay = Last Max - distance/period
+
+	Exponential decay  is modeled as an exponential curve with diminishing factor of
+	1-1/p
+
+</summary> */
+
+public class DECAY_Series : Single_TSeries_Indicator {
+	private bool _exp;
+	private double _pdecay, _ppdecay;
+	private readonly double _dfactor;
+
+	public DECAY_Series(TSeries source, int period = 10, bool exponential= false, bool useNaN = false) : base(source, period, false) {
+		_exp = exponential;
+		_dfactor = (_exp)? 1.0 - 1.0 / (double)_p : 1/(double)_p;
+		_pdecay = _ppdecay = 0;
+		if (source.Count > 0) { base.Add(this._data); }
+	}
+
+	public override void Add((DateTime t, double v) TValue, bool update) {
+		if (update) { _pdecay = _ppdecay; }
+		else { _ppdecay = _pdecay; }
+
+		if (this.Count == 0) { _pdecay = TValue.v; }
+		double _decay = Math.Max(TValue.v, Math.Max((_exp)?_pdecay*_dfactor:_pdecay-_dfactor, 0));
+		_pdecay = _decay;
+
+		base.Add((TValue.t, _decay), update, _NaN);
+	}
+}