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Quantower adaptation

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Miha Kralj
2022-12-21 07:24:21 -08:00
parent 9f01df0e65
commit 9ad467cd5a
28 changed files with 3493 additions and 3204 deletions
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Source/Trends/JMA_Series.cs
+53 -27
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@@ -23,9 +23,11 @@ Issues:
public class JMA_Series : Single_TSeries_Indicator {
private readonly System.Collections.Generic.List<double> volty_10 = new();
private readonly System.Collections.Generic.List<double> vsum_buff = new();
private readonly double pr, beta;
private readonly double pr;
public TSeries mma1 { get; }
public TSeries mma2 { get; }
private double upperBand, lowerBand, _phase, vsum, Kv, del1, del2, prev_del1, prev_del2;
private double upperBand, lowerBand, vsum, Kv, del1, del2;
private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma;
private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma;
@@ -35,18 +37,34 @@ public class JMA_Series : Single_TSeries_Indicator {
pr = (phase * 0.01) + 1.5;
if (phase < -100) pr = 0.5;
if (phase > 100) pr = 2.5;
beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2);
mma1 = new();
mma2 = new();
if (base._data.Count > 0) { base.Add(base._data); }
}
public override void Add((System.DateTime t, double v) TValue, bool update) {
if (this.Count == 0) { prev_ma1 = TValue.v; }
if (update) {
upperBand = p_upperBand; lowerBand = p_lowerBand; Kv = p_Kv; prev_vsum = p_prev_vsum;
prev_ma1 = p_prev_ma1; prev_det0 = p_prev_det0; prev_det1 = p_prev_det1; prev_jma = p_prev_jma;
} else {
p_upperBand = upperBand; p_lowerBand = lowerBand; p_Kv = Kv; p_prev_vsum = prev_vsum;
p_prev_ma1 = prev_ma1; p_prev_det0 = prev_det0; p_prev_det1 = prev_det1; p_prev_jma = prev_jma;
upperBand = p_upperBand;
lowerBand = p_lowerBand;
Kv = p_Kv;
prev_vsum = p_prev_vsum;
prev_ma1 = p_prev_ma1;
prev_det0 = p_prev_det0;
prev_det1 = p_prev_det1;
prev_jma = p_prev_jma;
}
else {
p_upperBand = upperBand;
p_lowerBand = lowerBand;
p_Kv = Kv;
p_prev_vsum = prev_vsum;
p_prev_ma1 = prev_ma1;
p_prev_det0 = prev_det0;
p_prev_det1 = prev_det1;
p_prev_jma = prev_jma;
}
// from Tvalue to volty
@@ -59,41 +77,49 @@ public class JMA_Series : Single_TSeries_Indicator {
if (Math.Abs(del1) < Math.Abs(del2)) { volty = Math.Abs(del2); }
//// from volty to avolty
if (update) { volty_10[volty_10.Count - 1] = volty; } else { volty_10.Add(volty); }
if (volty_10.Count > 10) { volty_10.RemoveAt(0); }
if (update) { volty_10[volty_10.Count - 1] = volty; }
else { volty_10.Add(volty); }
if (volty_10.Count > _p) { volty_10.RemoveAt(0); }
vsum = prev_vsum + 0.1 * (volty - volty_10.First());
if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; } else { vsum_buff.Add(vsum); }
if (vsum_buff.Count > 65) vsum_buff.RemoveAt(0);
if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; }
else { vsum_buff.Add(vsum); }
if (vsum_buff.Count > (65))
vsum_buff.RemoveAt(0);
double avolty = 0;
for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; }
avolty /= vsum_buff.Count;
/// from avolty to rolty
double rvolty = (avolty > 0) ? volty / avolty : 0;
double len1 = (Math.Log(Math.Sqrt(_p)) / Math.Log(2.0)) + 2;
if (len1 < 0) len1 = 0;
double rvolty = (avolty != 0) ? volty / avolty : 0;
double len1 = (Math.Log(Math.Sqrt(0.5 * (_p - 1))) / Math.Log(2.0)) + 2;
if (len1 < 0)
len1 = 0;
double pow1 = Math.Max(len1 - 2.0, 0.5);
if (rvolty > Math.Pow(len1, 1.0 / pow1)) rvolty = Math.Pow(len1, 1.0 / pow1);
if (rvolty < 1) rvolty = 1;
if (rvolty > Math.Pow(len1, 1.0 / pow1))
rvolty = Math.Pow(len1, 1.0 / pow1);
if (rvolty < 1)
rvolty = 1;
//// from rvolty to second smoothing
double pow2 = Math.Pow(rvolty, pow1);
double len2 = Math.Sqrt(0.5 * (_p - 1)) * len1;
Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2));
double alpha = Math.Pow(beta, pow2);
double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1;
Kv = Math.Pow(len2 / (len2 + 2), Math.Sqrt(pow2));
double beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2);
double alpha = Math.Pow(beta * 1.1, pow2);
double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1;
prev_ma1 = ma1;
double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0;
prev_det0 = det0;
mma1.Add(ma1);
/// from second smoothing to jma
double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0;
prev_det0 = det0;
double ma2 = ma1 + pr * det0;
double det1 = (1 - alpha) * (1 - alpha) * (ma2 - prev_jma) + alpha * alpha * prev_det1;
mma2.Add(ma2);
double det1 = ((1 - alpha) * (1 - alpha) * (ma2 - prev_jma)) + (alpha * alpha * prev_det1);
prev_det1 = det1;
double jma = prev_jma + det1;
prev_jma = jma;
base.Add((TValue.t, jma), update, _NaN);
base.Add((TValue.t, ma1), update, _NaN);
}
}
}