ZSCORE

Source/Statistics/ZSCORE_Series.cs

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+namespace QuanTAlib;
+using System;
+
+/* <summary>
+ZSCORE: number of standard deviations from SMA
+  Z-score describes a value's relationship to the mean of a series, as measured in
+  terms of standard deviations from the mean. If a Z-score is 0, it indicates that
+  the data point's score is identical to the mean score. A Z-score of 1.0 would
+  indicate a value that is one standard deviation from the mean. Z-scores may be
+  positive or negative, with a positive value indicating the score is above the
+  mean and a negative score indicating it is below the mean.
+
+Sources:
+  https://en.wikipedia.org/wiki/Z-score
+  https://www.investopedia.com/terms/z/zscore.asp
+
+Calculation:
+    std = std * STDEV(close, length)
+    mean = SMA(close, length)
+    ZSCORE = (close - mean) / std
+    
+</summary> */
+
+public class ZSCORE_Series : Single_TSeries_Indicator
+{
+    public ZSCORE_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    {
+        if (base._data.Count > 0) { base.Add(base._data); }
+    }
+    private readonly System.Collections.Generic.List<double> _buffer = new();
+
+    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); }
+
+        double _sma = 0;
+        for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
+        _sma /= this._buffer.Count;
+
+        double _pvar = 0;
+        for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
+        _pvar /= this._buffer.Count;
+        double _psdev = Math.Sqrt(_pvar);
+        double _zscore = (_psdev == 0) ? double.NaN : (TValue.v - _sma) / _psdev;
+
+        var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _zscore);
+        base.Add(result, update);
+    }
+}