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This commit is contained in:
Miha Kralj
2024-11-03 15:52:25 -08:00
parent 7b41d84c66
commit 7f6c29151c
7 changed files with 162 additions and 104 deletions
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lib/averages/Dsma.cs
+2 -2
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@@ -22,7 +22,7 @@ namespace QuanTAlib;
public class Dsma : AbstractBase
{
private readonly CircularBuffer _buffer;
private readonly double _c1, _c2, _c3;
private readonly double _c2, _c3;
private readonly double _scaleFactor;
private readonly double _periodRecip; // 1/_period
private readonly double _scaleByPeriod; // 5/_period
@@ -59,7 +59,7 @@ public class Dsma : AbstractBase
_c2 = b1;
_c3 = -a1 * a1;
_c1 = 1.0 - _c2 - _c3;
double _c1 = 1.0 - _c2 - _c3;
_c1Half = _c1 * 0.5;
_scaleByPeriod = 5.0 / period;
lib/volatility/Cv.cs
+1 -3
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@@ -53,7 +53,6 @@ public sealed class Cv : AbstractBase
private readonly double _omega;
private double _prevClose;
private double _prevVariance;
private double _longTermVariance;
private bool _isInitialized;
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -82,7 +81,6 @@ public sealed class Cv : AbstractBase
base.Init();
_prevClose = 0;
_prevVariance = 0;
_longTermVariance = 0;
_isInitialized = false;
}
@@ -116,7 +114,7 @@ public sealed class Cv : AbstractBase
// Initialize with first available data if not done
if (!_isInitialized && _index > _period)
{
_longTermVariance = squaredReturn; // Use current squared return as initial estimate
double _longTermVariance = squaredReturn; // Use current squared return as initial estimate
_prevVariance = _longTermVariance;
_isInitialized = true;
}
lib/volatility/Cvi.cs
+3 -5
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@@ -41,7 +41,6 @@ namespace QuanTAlib;
public sealed class Cvi : AbstractBase
{
private readonly int _period;
private readonly int _smoothPeriod;
private readonly CircularBuffer _smoothed;
private readonly double _alpha;
private double _ema;
@@ -50,10 +49,9 @@ public sealed class Cvi : AbstractBase
public Cvi(int period = 10, int smoothPeriod = 10)
{
_period = period;
_smoothPeriod = smoothPeriod;
_alpha = 2.0 / (_smoothPeriod + 1);
WarmupPeriod = _period + _smoothPeriod;
Name = $"CVI({_period},{_smoothPeriod})";
_alpha = 2.0 / (smoothPeriod + 1);
WarmupPeriod = _period + smoothPeriod;
Name = $"CVI({_period},{smoothPeriod})";
_smoothed = new CircularBuffer(_period);
Init();
}
lib/volatility/Fcb.cs
+9 -13
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@@ -42,7 +42,6 @@ namespace QuanTAlib;
[SkipLocalsInit]
public sealed class Fcb : AbstractBase
{
private readonly int _period;
private readonly double _smoothing;
private readonly CircularBuffer _highs;
private readonly CircularBuffer _lows;
@@ -56,11 +55,10 @@ public sealed class Fcb : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Fcb(int period = 20, double smoothing = 0.5)
{
_period = period;
_smoothing = smoothing;
_alpha = 2.0 / (_period + 1);
_alpha = 2.0 / (period + 1);
WarmupPeriod = period + 4; // Need extra periods for fractal identification
Name = $"FCB({_period},{_smoothing})";
Name = $"FCB({period},{_smoothing})";
_highs = new CircularBuffer(period);
_lows = new CircularBuffer(period);
Init();
@@ -116,16 +114,14 @@ public sealed class Fcb : AbstractBase
bool isFractalHigh = false;
bool isFractalLow = false;
if (_index >= 5)
{
// Fractal high: current high is higher than 2 bars before and after
isFractalHigh = _highs[2] > _highs[0] && _highs[2] > _highs[1] &&
_highs[2] > _highs[3] && _highs[2] > _highs[4];
// Fractal high: current high is higher than 2 bars before and after
isFractalHigh = _highs[2] > _highs[0] && _highs[2] > _highs[1] &&
_highs[2] > _highs[3] && _highs[2] > _highs[4];
// Fractal low: current low is lower than 2 bars before and after
isFractalLow = _lows[2] < _lows[0] && _lows[2] < _lows[1] &&
_lows[2] < _lows[3] && _lows[2] < _lows[4];
// Fractal low: current low is lower than 2 bars before and after
isFractalLow = _lows[2] < _lows[0] && _lows[2] < _lows[1] &&
_lows[2] < _lows[3] && _lows[2] < _lows[4];
}
// Update EMAs with fractal points
if (isFractalHigh)