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Miha Kralj
2022-11-11 11:25:21 -08:00
parent 4c963c56b2 920e517ced
commit 964ec349cd
19 changed files with 31 additions and 95 deletions
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Source/Feeds/Alphavantage_Feed.cs
-1
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@@ -55,4 +55,3 @@ public class Alphavantage_Feed : TBars
return (date, o, h, l, c, v);
}
}
Source/Feeds/GBM_Feed.cs
+3 -3
View File
@@ -38,11 +38,11 @@ public class GBM_Feed : TBars
double OCMax = Math.Max(Open,Close);
double High = (GBM_value(seed, volatility*0.5, 0));
High = (High<OCMax)? 2*OCMax-High : High;
High = (High<OCMax)? (2 * OCMax) - High : High;
double OCMin = Math.Min(Open,Close);
double Low = (GBM_value(seed, volatility*0.5, 0));
Low = (Low>OCMin)? 2*OCMin-Low : Low;
Low = (Low>OCMin)? (2 * OCMin) - Low : Low;
double Volume = GBM_value(seed*10, volatility*2, Drift:0);
@@ -55,6 +55,6 @@ public class GBM_Feed : TBars
double U1 = 1.0-rnd.NextDouble();
double U2 = 1.0-rnd.NextDouble();
double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z);
return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + (Volatility * Z));
}
}