mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 03:47:42 +00:00
Merge branch 'dev'
This commit is contained in:
Miha Kralj
@@ -26,7 +26,7 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '8.x'
|
||||||
|
|
||||||
- name: Install JDK11 for Sonar Scanner
|
- name: Install JDK11 for Sonar Scanner
|
||||||
uses: actions/setup-java@v3
|
uses: actions/setup-java@v3
|
||||||
@@ -79,7 +79,7 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '8.x'
|
||||||
|
|
||||||
- name: Install dotnet tools
|
- name: Install dotnet tools
|
||||||
run: |
|
run: |
|
||||||
@@ -134,7 +134,7 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '8.x'
|
||||||
|
|
||||||
- name: Initialize CodeQL
|
- name: Initialize CodeQL
|
||||||
uses: github/codeql-action/init@v3
|
uses: github/codeql-action/init@v3
|
||||||
@@ -150,39 +150,42 @@ jobs:
|
|||||||
- name: Perform CodeQL Analysis
|
- name: Perform CodeQL Analysis
|
||||||
uses: github/codeql-action/analyze@v3
|
uses: github/codeql-action/analyze@v3
|
||||||
|
|
||||||
SecurityCodeScan:
|
# converting SARIF action not working yet.
|
||||||
runs-on: windows-latest
|
#SecurityCodeScan:
|
||||||
steps:
|
# runs-on: windows-latest
|
||||||
- name: Checkout repository
|
# steps:
|
||||||
uses: actions/checkout@v4
|
# - name: Checkout repository
|
||||||
with:
|
# uses: actions/checkout@v4
|
||||||
fetch-depth: 0
|
# with:
|
||||||
|
# fetch-depth: 0
|
||||||
- name: Setup NuGet
|
#
|
||||||
uses: nuget/setup-nuget@v1
|
# - name: Setup NuGet
|
||||||
|
# uses: nuget/setup-nuget@v1
|
||||||
- name: Setup MSBuild
|
#
|
||||||
uses: microsoft/setup-msbuild@v1
|
# - name: Setup MSBuild
|
||||||
|
# uses: microsoft/setup-msbuild@v1
|
||||||
- name: Setup .NET SDK
|
#
|
||||||
uses: actions/setup-dotnet@v3
|
# - name: Setup .NET SDK
|
||||||
with:
|
# uses: actions/setup-dotnet@v3
|
||||||
dotnet-version: '3.1.x'
|
# with:
|
||||||
|
# dotnet-version: |
|
||||||
- name: Set up projects for analysis
|
# 8.x
|
||||||
uses: security-code-scan/security-code-scan-add-action@v1
|
# 3.1.x
|
||||||
|
# dotnet-quality: 'preview'
|
||||||
- name: Restore dependencies
|
#
|
||||||
run: dotnet restore
|
# - name: Set up projects for analysis
|
||||||
|
# uses: security-code-scan/security-code-scan-add-action@v1
|
||||||
- name: Build
|
#
|
||||||
run: dotnet build --no-restore --configuration Debug
|
# - name: Build
|
||||||
|
# run: |
|
||||||
- name: Convert SARIF for uploading to GitHub
|
# dotnet restore
|
||||||
uses: security-code-scan/security-code-scan-results-action@v1
|
# dotnet build --no-restore --configuration Debug
|
||||||
|
#
|
||||||
- name: Upload SARIF
|
# - name: Convert SARIF for uploading to GitHub
|
||||||
uses: github/codeql-action/upload-sarif@v3
|
# uses: security-code-scan/security-code-scan-results-action@v1
|
||||||
|
#
|
||||||
|
# - name: Upload SARIF
|
||||||
|
# uses: github/codeql-action/upload-sarif@v3
|
||||||
|
|
||||||
Codacy_Scan:
|
Codacy_Scan:
|
||||||
runs-on: ubuntu-latest
|
runs-on: ubuntu-latest
|
||||||
@@ -212,7 +215,7 @@ jobs:
|
|||||||
sarif_file: results.sarif
|
sarif_file: results.sarif
|
||||||
|
|
||||||
build_publish:
|
build_publish:
|
||||||
needs: [SonarCloud, Code_Coverage, CodeQL, SecurityCodeScan, Codacy_Scan]
|
needs: [SonarCloud, Code_Coverage, CodeQL, Codacy_Scan]
|
||||||
if: success()
|
if: success()
|
||||||
runs-on: ubuntu-latest
|
runs-on: ubuntu-latest
|
||||||
steps:
|
steps:
|
||||||
@@ -224,7 +227,7 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '8.x'
|
||||||
|
|
||||||
- name: Install GitVersion
|
- name: Install GitVersion
|
||||||
uses: gittools/actions/gitversion/setup@v0
|
uses: gittools/actions/gitversion/setup@v0
|
||||||
|
|||||||
Vendored
+4
-1
@@ -10,5 +10,8 @@
|
|||||||
"sonarlint.connectedMode.project": {
|
"sonarlint.connectedMode.project": {
|
||||||
"connectionId": "mihakralj",
|
"connectionId": "mihakralj",
|
||||||
"projectKey": "mihakralj_QuanTAlib"
|
"projectKey": "mihakralj_QuanTAlib"
|
||||||
}
|
},
|
||||||
|
"dotnet.dotnetPath": "C:/Program Files/dotnet",
|
||||||
|
"omnisharp.useModernNet": true,
|
||||||
|
"omnisharp.sdkPath": "C:/Program Files/dotnet/sdk"
|
||||||
}
|
}
|
||||||
+3
-14
@@ -1,11 +1,12 @@
|
|||||||
<Project>
|
<Project>
|
||||||
<PropertyGroup>
|
<PropertyGroup>
|
||||||
<NeutralLanguage>en-US</NeutralLanguage>
|
|
||||||
<TargetFramework>net8.0</TargetFramework>
|
<TargetFramework>net8.0</TargetFramework>
|
||||||
|
<LangVersion>preview</LangVersion>
|
||||||
|
|
||||||
<ImplicitUsings>enable</ImplicitUsings>
|
<ImplicitUsings>enable</ImplicitUsings>
|
||||||
<Nullable>enable</Nullable>
|
<Nullable>enable</Nullable>
|
||||||
<Deterministic>true</Deterministic>
|
<Deterministic>true</Deterministic>
|
||||||
<LangVersion>preview</LangVersion>
|
<NeutralLanguage>en-US</NeutralLanguage>
|
||||||
<AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
|
<AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
|
||||||
<GenerateAssemblyInfo>false</GenerateAssemblyInfo>
|
<GenerateAssemblyInfo>false</GenerateAssemblyInfo>
|
||||||
<DisableImplicitNamespaceImports>true</DisableImplicitNamespaceImports>
|
<DisableImplicitNamespaceImports>true</DisableImplicitNamespaceImports>
|
||||||
@@ -20,12 +21,6 @@
|
|||||||
<SymbolPackageFormat>snupkg</SymbolPackageFormat>
|
<SymbolPackageFormat>snupkg</SymbolPackageFormat>
|
||||||
<PlatformTarget>AnyCPU</PlatformTarget>
|
<PlatformTarget>AnyCPU</PlatformTarget>
|
||||||
<IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
|
<IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
|
||||||
|
|
||||||
<!-- GitVersion Properties -->
|
|
||||||
<Version>$(GitVersion_NuGetVersion)</Version>
|
|
||||||
<AssemblyVersion>$(GitVersion_AssemblySemVer)</AssemblyVersion>
|
|
||||||
<FileVersion>$(GitVersion_AssemblySemFileVer)</FileVersion>
|
|
||||||
<InformationalVersion>$(GitVersion_InformationalVersion)</InformationalVersion>
|
|
||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
|
|
||||||
<PropertyGroup Condition="'$(Configuration)' == 'Release'">
|
<PropertyGroup Condition="'$(Configuration)' == 'Release'">
|
||||||
@@ -50,10 +45,6 @@
|
|||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
<PackageReference Include="Microsoft.SourceLink.GitHub" Version="1.1.1" PrivateAssets="All"/>
|
<PackageReference Include="Microsoft.SourceLink.GitHub" Version="1.1.1" PrivateAssets="All"/>
|
||||||
<PackageReference Include="GitVersion.MsBuild" Version="6.0.2">
|
|
||||||
<PrivateAssets>all</PrivateAssets>
|
|
||||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
|
|
||||||
</PackageReference>
|
|
||||||
<PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
|
<PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
|
||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
@@ -63,5 +54,3 @@
|
|||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
|
|
||||||
</Project>
|
</Project>
|
||||||
|
|
||||||
|
|
||||||
|
|||||||
+38
-30
@@ -1,18 +1,21 @@
|
|||||||
|
|
||||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||||
# Visual Studio Version 17
|
# Visual Studio Version 17
|
||||||
VisualStudioVersion = 17.0.31903.59
|
VisualStudioVersion = 17.0.31903.59
|
||||||
MinimumVisualStudioVersion = 10.0.40219.1
|
MinimumVisualStudioVersion = 10.0.40219.1
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "quantalib", "lib\quantalib.csproj", "{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "quantalib", "lib\quantalib.csproj", "{1E050FA4-630E-4801-9DE9-D2536DACA9B0}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Tests", "Tests\Tests.csproj", "{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}"
|
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "quantower", "quantower", "{1B9AC248-76F8-44DD-958D-F1DC08EE1E87}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SyntheticVendor", "SyntheticVendor\SyntheticVendor.csproj", "{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Statistics", "quantower\Statistics\Statistics.csproj", "{2E9427C7-144F-488E-A29D-789ACC1C32AE}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Averages", "quantower\Averages\Averages.csproj", "{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Averages", "quantower\Averages\Averages.csproj", "{6BE10C39-4127-446C-818B-7976FCDD51D5}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Statistics", "quantower\Statistics\Statistics.csproj", "{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Volatility", "quantower\Volatility\Volatility.csproj", "{B7DC44F7-D3A3-4C70-9025-513E0182B646}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Volatility", "quantower\Volatility\Volatility.csproj", "{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SyntheticVendor", "SyntheticVendor\SyntheticVendor.csproj", "{1CF111D9-33E6-4A11-8FEC-F23300A78D15}"
|
||||||
|
EndProject
|
||||||
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Tests", "Tests\Tests.csproj", "{E204F173-5840-4AA3-BED1-98C8D2F813E3}"
|
||||||
EndProject
|
EndProject
|
||||||
Global
|
Global
|
||||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||||
@@ -23,29 +26,34 @@ Global
|
|||||||
HideSolutionNode = FALSE
|
HideSolutionNode = FALSE
|
||||||
EndGlobalSection
|
EndGlobalSection
|
||||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Release|Any CPU.Build.0 = Release|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Release|Any CPU.Build.0 = Release|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Release|Any CPU.Build.0 = Release|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Release|Any CPU.Build.0 = Release|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Release|Any CPU.Build.0 = Release|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Release|Any CPU.Build.0 = Release|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
|
EndGlobalSection
|
||||||
|
GlobalSection(NestedProjects) = preSolution
|
||||||
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE} = {1B9AC248-76F8-44DD-958D-F1DC08EE1E87}
|
||||||
|
{6BE10C39-4127-446C-818B-7976FCDD51D5} = {1B9AC248-76F8-44DD-958D-F1DC08EE1E87}
|
||||||
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646} = {1B9AC248-76F8-44DD-958D-F1DC08EE1E87}
|
||||||
EndGlobalSection
|
EndGlobalSection
|
||||||
EndGlobal
|
EndGlobal
|
||||||
|
|||||||
+10
-5
@@ -1,22 +1,26 @@
|
|||||||
<Project Sdk="Microsoft.NET.Sdk">
|
<Project Sdk="Microsoft.NET.Sdk">
|
||||||
<PropertyGroup>
|
<PropertyGroup>
|
||||||
<TargetFramework>net8.0</TargetFramework>
|
|
||||||
<RootNamespace>QuanTAlib.Tests</RootNamespace>
|
<RootNamespace>QuanTAlib.Tests</RootNamespace>
|
||||||
<AssemblyName>QuanTAlib.Tests</AssemblyName>
|
<AssemblyName>QuanTAlib.Tests</AssemblyName>
|
||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
<PackageReference Include="xunit" Version="2.4.1" />
|
<PackageReference Include="xunit" Version="2.9.2" />
|
||||||
<PackageReference Include="xunit.runner.visualstudio" Version="2.4.3">
|
<PackageReference Include="coverlet.collector" Version="6.0.2" />
|
||||||
|
<PackageReference Include="xunit.runner.visualstudio" Version="3.0.0-pre.35">
|
||||||
<PrivateAssets>all</PrivateAssets>
|
<PrivateAssets>all</PrivateAssets>
|
||||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
|
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
|
||||||
</PackageReference>
|
</PackageReference>
|
||||||
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.0.0" />
|
<PackageReference Include="xunit.runner.console" Version="2.9.2">
|
||||||
|
<PrivateAssets>all</PrivateAssets>
|
||||||
|
<IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
|
||||||
|
</PackageReference>
|
||||||
|
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.11.1" />
|
||||||
|
|
||||||
<PackageReference Include="System.Text.RegularExpressions" Version="4.3.1" />
|
<PackageReference Include="System.Text.RegularExpressions" Version="4.3.1" />
|
||||||
<PackageReference Include="System.Net.Http" Version="4.3.4" />
|
<PackageReference Include="System.Net.Http" Version="4.3.4" />
|
||||||
<PackageReference Include="Newtonsoft.Json" Version="13.0.3" />
|
<PackageReference Include="Newtonsoft.Json" Version="13.0.3" />
|
||||||
<PackageReference Include="Microsoft.Extensions.Logging.Abstractions" Version="8.0.0" />
|
<PackageReference Include="Microsoft.Extensions.Logging.Abstractions" Version="8.0.0" />
|
||||||
|
|
||||||
|
|
||||||
<PackageReference Include="Skender.Stock.Indicators" Version="2.5.0" />
|
<PackageReference Include="Skender.Stock.Indicators" Version="2.5.0" />
|
||||||
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
|
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
|
||||||
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
|
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
|
||||||
@@ -29,6 +33,7 @@
|
|||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
|
<PackageReference Include="xunit" Version="2.4.1" />
|
||||||
<ProjectReference Include="..\lib\quantalib.csproj" />
|
<ProjectReference Include="..\lib\quantalib.csproj" />
|
||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
|
|||||||
@@ -0,0 +1,74 @@
|
|||||||
|
using Xunit;
|
||||||
|
|
||||||
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
public class EventingTests
|
||||||
|
{
|
||||||
|
[Fact]
|
||||||
|
public void VerifyEventBasedCalculations()
|
||||||
|
{
|
||||||
|
// Create a random number generator with a fixed seed for reproducibility
|
||||||
|
var random = new Random(42);
|
||||||
|
|
||||||
|
// Create an input series to hold our random values
|
||||||
|
var input = new TSeries();
|
||||||
|
int p = 10;
|
||||||
|
|
||||||
|
// Create a list of indicator pairs (direct calculation and event-based)
|
||||||
|
var indicators = new List<(AbstractBase Direct, AbstractBase EventBased)>
|
||||||
|
{
|
||||||
|
(new Afirma(p,p,Afirma.WindowType.BlackmanHarris), new Afirma(input, p,p,Afirma.WindowType.BlackmanHarris)),
|
||||||
|
(new Alma(p), new Alma(input, p)),
|
||||||
|
(new Convolution([1,2,3,2,1]), new Convolution(input, [1,2,3,2,1])),
|
||||||
|
(new Dema(p), new Dema(input, p)),
|
||||||
|
(new Dsma(p), new Dsma(input, p)),
|
||||||
|
(new Dwma(p), new Dwma(input, p)),
|
||||||
|
(new Ema(p), new Ema(input, p)),
|
||||||
|
(new Epma(p), new Epma(input, p)),
|
||||||
|
(new Frama(p), new Frama(input, p)),
|
||||||
|
(new Fwma(p), new Fwma(input, p)),
|
||||||
|
(new Gma(p), new Gma(input, p)),
|
||||||
|
(new Hma(p), new Hma(input, p)),
|
||||||
|
(new Htit(), new Htit(input)),
|
||||||
|
(new Hwma(p), new Hwma(input, p)),
|
||||||
|
(new Jma(p), new Jma(input, p)),
|
||||||
|
(new Kama(p), new Kama(input, p)),
|
||||||
|
(new Ltma(gamma: 0.2), new Ltma(input, gamma: 0.2)),
|
||||||
|
(new Maaf(p), new Maaf(input, p)),
|
||||||
|
(new Mama(p), new Mama(input, p)),
|
||||||
|
(new Mgdi(p), new Mgdi(input, p)),
|
||||||
|
(new Mma(p), new Mma(input, p)),
|
||||||
|
(new Qema(k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2), new Qema(input, k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2)),
|
||||||
|
(new Rema(p), new Rema(input, p)),
|
||||||
|
(new Rma(p), new Rma(input, p)),
|
||||||
|
|
||||||
|
(new Sma(p), new Sma(input, p)),
|
||||||
|
(new Wma(p), new Wma(input, p)),
|
||||||
|
(new Rma(p), new Rma(input, p)),
|
||||||
|
|
||||||
|
(new Tema(p), new Tema(input, p)),
|
||||||
|
(new Kama(2, 30, 6), new Kama(input, 2, 30, 6)),
|
||||||
|
|
||||||
|
(new Zlema(p), new Zlema(input, p))
|
||||||
|
};
|
||||||
|
|
||||||
|
// Generate 200 random values and feed them to both direct and event-based indicators
|
||||||
|
for (int i = 0; i< 200; i++)
|
||||||
|
{
|
||||||
|
double randomValue = random.NextDouble() * 100;
|
||||||
|
input.Add(randomValue);
|
||||||
|
|
||||||
|
// Calculate direct indicators
|
||||||
|
foreach (var (direct, _) in indicators)
|
||||||
|
{
|
||||||
|
direct.Calc(randomValue);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Compare the results of direct and event-based calculations
|
||||||
|
foreach (var (direct, eventBased) in indicators)
|
||||||
|
{
|
||||||
|
Assert.Equal(direct.Value, eventBased.Value, 9);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
+95
-11
@@ -4,55 +4,139 @@ using System.Diagnostics.CodeAnalysis;
|
|||||||
|
|
||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Contains unit tests for bar-based indicators in QuanTAlib.
|
||||||
|
/// </summary>
|
||||||
[SuppressMessage("Security", "SCS0005:Weak random number generator.", Justification = "Acceptable for tests")]
|
[SuppressMessage("Security", "SCS0005:Weak random number generator.", Justification = "Acceptable for tests")]
|
||||||
|
|
||||||
public class BarIndicatorTests
|
public class BarIndicatorTests
|
||||||
{
|
{
|
||||||
private readonly Random rnd;
|
private readonly Random rnd;
|
||||||
private const int SeriesLen = 1000;
|
private const int SeriesLen = 1000;
|
||||||
private const int Corrections = 100;
|
private const int Corrections = 100;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Initializes a new instance of the BarIndicatorTests class.
|
||||||
|
/// </summary>
|
||||||
public BarIndicatorTests()
|
public BarIndicatorTests()
|
||||||
{
|
{
|
||||||
rnd = new Random((int)DateTime.Now.Ticks);
|
rnd = new Random((int)DateTime.Now.Ticks);
|
||||||
}
|
}
|
||||||
|
|
||||||
private static readonly iTValue[] indicators = new iTValue[]
|
private static readonly ITValue[] indicators = new ITValue[]
|
||||||
{
|
{
|
||||||
new Atr(period: 14),
|
new Atr(period: 14),
|
||||||
|
// Add other TBar-based indicators here
|
||||||
};
|
};
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Tests if the indicator produces consistent results when processing new and updated bars.
|
||||||
|
/// </summary>
|
||||||
|
/// <param name="indicator">The indicator to test.</param>
|
||||||
[Theory]
|
[Theory]
|
||||||
[MemberData(nameof(GetIndicators))]
|
[MemberData(nameof(GetIndicators))]
|
||||||
public void IndicatorIsNew(iTValue indicator)
|
public void IndicatorIsNew(ITValue indicator)
|
||||||
{
|
{
|
||||||
var indicator1 = indicator;
|
var indicator1 = indicator;
|
||||||
var indicator2 = indicator;
|
var indicator2 = indicator;
|
||||||
|
|
||||||
MethodInfo calcMethod = indicator.GetType().GetMethod("Calc")!;
|
MethodInfo calcMethod = FindCalcMethod(indicator.GetType());
|
||||||
if (calcMethod == null)
|
if (calcMethod == null)
|
||||||
{
|
{
|
||||||
throw new Exception($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
throw new InvalidOperationException($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
||||||
}
|
}
|
||||||
|
|
||||||
for (int i = 0; i < SeriesLen; i++)
|
for (int i = 0; i < SeriesLen; i++)
|
||||||
{
|
{
|
||||||
TBar item1 = new(Time: DateTime.Now, Open: rnd.Next(-100, 100), High: rnd.Next(-100, 100), Low: rnd.Next(-100, 100), Close: rnd.Next(-100, 100), Volume: rnd.Next(-1000, 1000), IsNew: true);
|
TBar item1 = GenerateRandomBar(isNew: true);
|
||||||
calcMethod.Invoke(indicator1, new object[] { item1 });
|
InvokeCalc(indicator1, calcMethod, item1);
|
||||||
|
|
||||||
for (int j = 0; j < Corrections; j++)
|
for (int j = 0; j < Corrections; j++)
|
||||||
{
|
{
|
||||||
item1 = new(Time: DateTime.Now, Open: rnd.Next(-100, 100), High: rnd.Next(-100, 100), Low: rnd.Next(-100, 100), Close: rnd.Next(-100, 100), Volume: rnd.Next(-1000, 1000), IsNew: false);
|
item1 = GenerateRandomBar(isNew: false);
|
||||||
calcMethod.Invoke(indicator1, new object[] { item1 });
|
InvokeCalc(indicator1, calcMethod, item1);
|
||||||
}
|
}
|
||||||
|
|
||||||
var item2 = new TBar(item1.Time, item1.Open, item1.High, item1.Low, item1.Close, item1.Volume, IsNew: true);
|
var item2 = new TBar(item1.Time, item1.Open, item1.High, item1.Low, item1.Close, item1.Volume, IsNew: true);
|
||||||
calcMethod.Invoke(indicator2, new object[] { item2 });
|
InvokeCalc(indicator2, calcMethod, item2);
|
||||||
|
|
||||||
Assert.Equal(indicator1.Value, indicator2.Value);
|
Assert.Equal(indicator1.Value, indicator2.Value);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Finds the appropriate Calc method for the given indicator type.
|
||||||
|
/// </summary>
|
||||||
|
/// <param name="type">The type of the indicator.</param>
|
||||||
|
/// <returns>The MethodInfo for the Calc method.</returns>
|
||||||
|
private static MethodInfo FindCalcMethod(Type type)
|
||||||
|
{
|
||||||
|
while (type != null && type != typeof(object))
|
||||||
|
{
|
||||||
|
var methods = type.GetMethods(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance | BindingFlags.DeclaredOnly)
|
||||||
|
.Where(m => m.Name == "Calc")
|
||||||
|
.ToList();
|
||||||
|
|
||||||
|
if (methods.Count > 0)
|
||||||
|
{
|
||||||
|
// Prefer the method with TBar parameter
|
||||||
|
var method = methods.FirstOrDefault(m =>
|
||||||
|
{
|
||||||
|
var parameters = m.GetParameters();
|
||||||
|
return parameters.Length == 1 && parameters[0].ParameterType == typeof(TBar);
|
||||||
|
});
|
||||||
|
|
||||||
|
// If not found, return the first method
|
||||||
|
return method ?? methods.First();
|
||||||
|
}
|
||||||
|
|
||||||
|
type = type.BaseType!;
|
||||||
|
}
|
||||||
|
return null!;
|
||||||
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Invokes the Calc method on the given indicator with the provided input.
|
||||||
|
/// </summary>
|
||||||
|
/// <param name="indicator">The indicator instance.</param>
|
||||||
|
/// <param name="calcMethod">The Calc method to invoke.</param>
|
||||||
|
/// <param name="input">The input TBar.</param>
|
||||||
|
private static void InvokeCalc(ITValue indicator, MethodInfo calcMethod, TBar input)
|
||||||
|
{
|
||||||
|
var parameters = calcMethod.GetParameters();
|
||||||
|
if (parameters.Length == 1)
|
||||||
|
{
|
||||||
|
calcMethod.Invoke(indicator, new object[] { input });
|
||||||
|
}
|
||||||
|
else if (parameters.Length == 2)
|
||||||
|
{
|
||||||
|
calcMethod.Invoke(indicator, new object[] { input, double.NaN });
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
throw new InvalidOperationException($"Invalid number of parameters for Calc method in indicator type: {indicator.GetType().Name}");
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Generates a random TBar for testing purposes.
|
||||||
|
/// </summary>
|
||||||
|
/// <param name="isNew">Indicates whether the generated bar should be marked as new.</param>
|
||||||
|
/// <returns>A randomly generated TBar.</returns>
|
||||||
|
private TBar GenerateRandomBar(bool isNew)
|
||||||
|
{
|
||||||
|
double open = rnd.NextDouble() * 200 - 100;
|
||||||
|
double close = rnd.NextDouble() * 200 - 100;
|
||||||
|
double high = Math.Max(open, close) + rnd.NextDouble() * 10;
|
||||||
|
double low = Math.Min(open, close) - rnd.NextDouble() * 10;
|
||||||
|
long volume = rnd.Next(0, 10000);
|
||||||
|
|
||||||
|
return new TBar(Time: DateTime.Now, Open: open, High: high, Low: low, Close: close, Volume: volume, IsNew: isNew);
|
||||||
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Provides the list of indicators for parameterized tests.
|
||||||
|
/// </summary>
|
||||||
|
/// <returns>An enumerable of object arrays, each containing an indicator instance.</returns>
|
||||||
public static IEnumerable<object[]> GetIndicators()
|
public static IEnumerable<object[]> GetIndicators()
|
||||||
{
|
{
|
||||||
return indicators.Select(indicator => new object[] { indicator });
|
return indicators.Select(indicator => new object[] { indicator });
|
||||||
|
|||||||
+98
-49
@@ -5,7 +5,6 @@ using System.Diagnostics.CodeAnalysis;
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
[SuppressMessage("Security", "SCS0005:Weak random number generator.", Justification = "Acceptable for tests")]
|
[SuppressMessage("Security", "SCS0005:Weak random number generator.", Justification = "Acceptable for tests")]
|
||||||
|
|
||||||
public class IndicatorTests
|
public class IndicatorTests
|
||||||
{
|
{
|
||||||
private readonly Random rnd;
|
private readonly Random rnd;
|
||||||
@@ -17,82 +16,132 @@ public class IndicatorTests
|
|||||||
rnd = new Random((int)DateTime.Now.Ticks);
|
rnd = new Random((int)DateTime.Now.Ticks);
|
||||||
}
|
}
|
||||||
|
|
||||||
private static readonly iTValue[] indicators =
|
// skipcq: CS-R1055
|
||||||
[
|
private static readonly ITValue[] indicators =
|
||||||
|
{
|
||||||
new Ema(period: 10, useSma: true),
|
new Ema(period: 10, useSma: true),
|
||||||
new Alma(period: 14, offset: 0.85, sigma: 6),
|
new Alma(period: 14, offset: 0.85, sigma: 6),
|
||||||
new Afirma(periods: 4, taps: 4, window: Afirma.WindowType.Blackman),
|
new Afirma(periods: 4, taps: 4, window: Afirma.WindowType.Blackman),
|
||||||
new Convolution(new double[] { 1.0, 2, 3, 2, 1 }),
|
new Convolution(new[] { 1.0, 2, 3, 2, 1 }),
|
||||||
new Dema(period: 14),
|
new Dema(period: 14),
|
||||||
new Dsma(period: 14),
|
new Dsma(period: 14),
|
||||||
new Dwma(period: 14),
|
new Dwma(period: 14),
|
||||||
new Epma(period: 14),
|
new Epma(period: 14),
|
||||||
new Frama(period: 14),
|
new Frama(period: 14),
|
||||||
new Fwma(period: 14),
|
new Fwma(period: 14),
|
||||||
new Gma(period: 14),
|
new Gma(period: 14),
|
||||||
new Hma(period: 14),
|
new Hma(period: 14),
|
||||||
new Hwma(period: 14),
|
new Hwma(period: 14),
|
||||||
new Kama(period: 14),
|
new Kama(period: 14),
|
||||||
new Mama(fastLimit: 0.5, slowLimit: 0.05),
|
new Mama(fastLimit: 0.5, slowLimit: 0.05),
|
||||||
new Mgdi(period: 14),
|
new Mgdi(period: 14),
|
||||||
new Mma(period: 14),
|
new Mma(period: 14),
|
||||||
new Qema(),
|
new Qema(),
|
||||||
new Rema(period: 14),
|
new Rema(period: 14),
|
||||||
new Rma(period: 14),
|
new Rma(period: 14),
|
||||||
new Sinema(period: 14),
|
new Sinema(period: 14),
|
||||||
new Sma(period: 14),
|
new Sma(period: 14),
|
||||||
new Smma(period: 14),
|
new Smma(period: 14),
|
||||||
new T3(period: 14),
|
new T3(period: 14),
|
||||||
new Tema(period: 14),
|
new Tema(period: 14),
|
||||||
new Trima(period: 14),
|
new Trima(period: 14),
|
||||||
new Vidya(shortPeriod: 14, longPeriod: 30, alpha: 0.2),
|
new Vidya(shortPeriod: 14, longPeriod: 30, alpha: 0.2),
|
||||||
new Wma(period: 14),
|
new Wma(period: 14),
|
||||||
new Zlema(period: 14),
|
new Zlema(period: 14),
|
||||||
new Entropy(period: 14),
|
|
||||||
new Kurtosis(period: 14),
|
|
||||||
new Max(period: 14, decay: 0.01),
|
|
||||||
new Min(period: 14, decay: 0.01),
|
|
||||||
new Median(period: 14),
|
|
||||||
new Mode(period: 14),
|
|
||||||
new Percentile(period: 14, percent: 50),
|
|
||||||
new Skew(period: 14),
|
|
||||||
new Stddev(period: 14),
|
|
||||||
new Variance(period: 14),
|
|
||||||
new Zscore(period: 14)
|
|
||||||
|
|
||||||
];
|
new Curvature(period: 14),
|
||||||
|
new Entropy(period: 14),
|
||||||
|
new Kurtosis(period: 14),
|
||||||
|
new Max(period: 14, decay: 0.01),
|
||||||
|
new Median(period: 14),
|
||||||
|
new Min(period: 14, decay: 0.01),
|
||||||
|
new Median(period: 14),
|
||||||
|
new Mode(period: 14),
|
||||||
|
new Percentile(period: 14, percent: 50),
|
||||||
|
new Skew(period: 14),
|
||||||
|
new Slope(period: 14),
|
||||||
|
new Stddev(period: 14),
|
||||||
|
new Variance(period: 14),
|
||||||
|
new Zscore(period: 14),
|
||||||
|
|
||||||
|
new Historical(period: 14),
|
||||||
|
new Realized(period: 14)
|
||||||
|
};
|
||||||
|
|
||||||
[Theory]
|
[Theory]
|
||||||
[MemberData(nameof(GetIndicators))]
|
[MemberData(nameof(GetIndicators))]
|
||||||
public void IndicatorIsNew(iTValue indicator)
|
public void IndicatorIsNew(ITValue indicator)
|
||||||
{
|
{
|
||||||
var indicator1 = indicator;
|
var indicator1 = indicator;
|
||||||
var indicator2 = indicator;
|
var indicator2 = indicator;
|
||||||
|
|
||||||
MethodInfo calcMethod = indicator.GetType().GetMethod("Calc")!;
|
MethodInfo calcMethod = FindCalcMethod(indicator.GetType());
|
||||||
if (calcMethod == null)
|
if (calcMethod == null)
|
||||||
{
|
{
|
||||||
throw new Exception($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
throw new InvalidOperationException($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
||||||
}
|
}
|
||||||
|
|
||||||
for (int i = 0; i < SeriesLen; i++)
|
for (int i = 0; i < SeriesLen; i++)
|
||||||
{
|
{
|
||||||
TValue item1 = new(Time: DateTime.Now, Value: rnd.Next(-100, 100), IsNew: true);
|
TValue item1 = new(Time: DateTime.Now, Value: rnd.Next(-100, 100), IsNew: true);
|
||||||
calcMethod.Invoke(indicator1, new object[] { item1 });
|
InvokeCalc(indicator1, calcMethod, item1);
|
||||||
|
|
||||||
for (int j = 0; j < Corrections; j++)
|
for (int j = 0; j < Corrections; j++)
|
||||||
{
|
{
|
||||||
item1 = new(Time: DateTime.Now, Value: rnd.Next(-100, 100), IsNew: false);
|
item1 = new(Time: DateTime.Now, Value: rnd.Next(-100, 100), IsNew: false);
|
||||||
calcMethod.Invoke(indicator1, new object[] { item1 });
|
InvokeCalc(indicator1, calcMethod, item1);
|
||||||
}
|
}
|
||||||
|
|
||||||
var item2 = new TValue(item1.Time, item1.Value, IsNew: true);
|
var item2 = new TValue(item1.Time, item1.Value, IsNew: true);
|
||||||
calcMethod.Invoke(indicator2, new object[] { item2 });
|
InvokeCalc(indicator2, calcMethod, item2);
|
||||||
|
|
||||||
Assert.Equal(indicator1.Value, indicator2.Value);
|
Assert.Equal(indicator1.Value, indicator2.Value);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
private static MethodInfo FindCalcMethod(Type type)
|
||||||
|
{
|
||||||
|
while (type != null && type != typeof(object))
|
||||||
|
{
|
||||||
|
var methods = type.GetMethods(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance | BindingFlags.DeclaredOnly)
|
||||||
|
.Where(m => m.Name == "Calc")
|
||||||
|
.ToList();
|
||||||
|
|
||||||
|
if (methods.Count > 0)
|
||||||
|
{
|
||||||
|
// Prefer the method with TValue parameter
|
||||||
|
var method = methods.FirstOrDefault(m =>
|
||||||
|
{
|
||||||
|
var parameters = m.GetParameters();
|
||||||
|
return parameters.Length == 1 && parameters[0].ParameterType == typeof(TValue);
|
||||||
|
});
|
||||||
|
|
||||||
|
// If not found, return the first method
|
||||||
|
return method ?? methods.First();
|
||||||
|
}
|
||||||
|
|
||||||
|
type = type.BaseType!;
|
||||||
|
}
|
||||||
|
return null!;
|
||||||
|
}
|
||||||
|
|
||||||
|
private static void InvokeCalc(ITValue indicator, MethodInfo calcMethod, TValue input)
|
||||||
|
{
|
||||||
|
var parameters = calcMethod.GetParameters();
|
||||||
|
if (parameters.Length == 1)
|
||||||
|
{
|
||||||
|
calcMethod.Invoke(indicator, new object[] { input });
|
||||||
|
}
|
||||||
|
else if (parameters.Length == 2)
|
||||||
|
{
|
||||||
|
calcMethod.Invoke(indicator, new object[] { input, double.NaN });
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
throw new InvalidOperationException($"Invalid number of parameters for Calc method in indicator type: {indicator.GetType().Name}");
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
public static IEnumerable<object[]> GetIndicators()
|
public static IEnumerable<object[]> GetIndicators()
|
||||||
{
|
{
|
||||||
return indicators.Select(indicator => new object[] { indicator });
|
return indicators.Select(indicator => new object[] { indicator });
|
||||||
|
|||||||
@@ -12,7 +12,8 @@ public class SkenderTests
|
|||||||
private readonly GbmFeed feed;
|
private readonly GbmFeed feed;
|
||||||
private readonly Random rnd;
|
private readonly Random rnd;
|
||||||
private readonly double range;
|
private readonly double range;
|
||||||
private int period, iterations;
|
private int period;
|
||||||
|
private readonly int iterations;
|
||||||
private readonly IEnumerable<Quote> quotes;
|
private readonly IEnumerable<Quote> quotes;
|
||||||
|
|
||||||
|
|
||||||
@@ -288,7 +289,6 @@ public class SkenderTests
|
|||||||
{
|
{
|
||||||
for (int run = 0; run < iterations; run++)
|
for (int run = 0; run < iterations; run++)
|
||||||
{
|
{
|
||||||
//period = rnd.Next(50) + 5;
|
|
||||||
Mama ma = new(fastLimit: 0.5, slowLimit: 0.05);
|
Mama ma = new(fastLimit: 0.5, slowLimit: 0.05);
|
||||||
TSeries QL = new();
|
TSeries QL = new();
|
||||||
foreach (TBar item in feed)
|
foreach (TBar item in feed)
|
||||||
@@ -335,12 +335,16 @@ public class SkenderTests
|
|||||||
TSeries QL = new();
|
TSeries QL = new();
|
||||||
foreach (TBar item in bars) { QL.Add(ma.Calc(item)); }
|
foreach (TBar item in bars) { QL.Add(ma.Calc(item)); }
|
||||||
|
|
||||||
var SK = quotes.GetAtr(lookbackPeriods: period).Select(i => i.Atr.Null2NaN()!);
|
var atrValues = quotes.GetAtr(lookbackPeriods: period).Select(i => i.Atr.Null2NaN()!);
|
||||||
Assert.Equal(QL.Length, QL.Length);
|
const int AdditionalPeriods = 500;
|
||||||
|
|
||||||
|
<<<<<<< HEAD
|
||||||
for (int i = QL.Length - 1; i > period + 500; i--)
|
for (int i = QL.Length - 1; i > period + 500; i--)
|
||||||
|
=======
|
||||||
|
for (int i = QL.Length - 1; i > period + AdditionalPeriods; i--)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
Assert.InRange(atrValues.ElementAt(i) - QL[i].Value, -range, range);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
+145
-156
@@ -1,162 +1,151 @@
|
|||||||
using System;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
namespace QuanTAlib
|
public class Afirma : AbstractBase
|
||||||
{
|
{
|
||||||
|
|
||||||
public class Afirma : AbstractBase
|
public enum WindowType
|
||||||
{
|
{
|
||||||
|
Rectangular,
|
||||||
public enum WindowType
|
Hanning1,
|
||||||
{
|
Hanning2,
|
||||||
Rectangular,
|
Blackman,
|
||||||
Hanning1,
|
BlackmanHarris
|
||||||
Hanning2,
|
|
||||||
Blackman,
|
|
||||||
BlackmanHarris
|
|
||||||
}
|
|
||||||
|
|
||||||
private readonly int Periods;
|
|
||||||
private readonly int Taps;
|
|
||||||
private readonly WindowType Window;
|
|
||||||
private readonly CircularBuffer _buffer;
|
|
||||||
private readonly double[] _weights;
|
|
||||||
private readonly double _wsum;
|
|
||||||
private readonly double[] _armaBuffer;
|
|
||||||
private readonly int _n;
|
|
||||||
private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;
|
|
||||||
|
|
||||||
public Afirma(int periods, int taps, WindowType window)
|
|
||||||
{
|
|
||||||
if (periods < 1)
|
|
||||||
{
|
|
||||||
throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
|
|
||||||
}
|
|
||||||
if (taps < 1)
|
|
||||||
{
|
|
||||||
throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
|
|
||||||
}
|
|
||||||
Periods = periods;
|
|
||||||
Taps = taps;
|
|
||||||
Window = window;
|
|
||||||
WarmupPeriod = taps;
|
|
||||||
_buffer = new CircularBuffer(taps);
|
|
||||||
_weights = new double[taps];
|
|
||||||
_wsum = CalculateWeights();
|
|
||||||
_armaBuffer = new double[taps];
|
|
||||||
_n = (Taps - 1) / 2;
|
|
||||||
|
|
||||||
// Calculate least squares coefficients in the constructor
|
|
||||||
_sx2 = (2 * _n + 1) / 3.0;
|
|
||||||
_sx3 = _n * (_n + 1) / 2.0;
|
|
||||||
_sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
|
|
||||||
_sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
|
|
||||||
_sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
|
|
||||||
_den = _sx6 * _sx4 / _sx5 - _sx5;
|
|
||||||
|
|
||||||
Name = "Afirma";
|
|
||||||
Init();
|
|
||||||
}
|
|
||||||
|
|
||||||
public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
|
|
||||||
{
|
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override void ManageState(bool isNew)
|
|
||||||
{
|
|
||||||
if (isNew)
|
|
||||||
{
|
|
||||||
_lastValidValue = Input.Value;
|
|
||||||
_index++;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override double Calculation()
|
|
||||||
{
|
|
||||||
ManageState(IsNew);
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
|
||||||
|
|
||||||
if (_index >= Taps)
|
|
||||||
{
|
|
||||||
double a0 = _buffer[_n];
|
|
||||||
double a1 = _buffer[_n] - _buffer[_n + 1];
|
|
||||||
double sx2y = 0.0;
|
|
||||||
double sx3y = 0.0;
|
|
||||||
|
|
||||||
for (int i = 0; i <= _n; i++)
|
|
||||||
{
|
|
||||||
sx2y += i * i * _buffer[_n - i];
|
|
||||||
sx3y += i * i * i * _buffer[_n - i];
|
|
||||||
}
|
|
||||||
|
|
||||||
sx2y = 2.0 * sx2y / _n / (_n + 1);
|
|
||||||
sx3y = 2.0 * sx3y / _n / (_n + 1);
|
|
||||||
double p = sx2y - a0 * _sx2 - a1 * _sx3;
|
|
||||||
double q = sx3y - a0 * _sx3 - a1 * _sx4;
|
|
||||||
double a2 = (p * _sx6 / _sx5 - q) / _den;
|
|
||||||
double a3 = (q * _sx4 / _sx5 - p) / _den;
|
|
||||||
|
|
||||||
for (int k = 0; k <= _n; k++)
|
|
||||||
{
|
|
||||||
_armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
double result = 0.0;
|
|
||||||
for (int k = 0; k < Taps; k++)
|
|
||||||
{
|
|
||||||
result += _buffer[k] * _weights[k] / _wsum;
|
|
||||||
}
|
|
||||||
|
|
||||||
IsHot = _index >= WarmupPeriod;
|
|
||||||
return result;
|
|
||||||
}
|
|
||||||
|
|
||||||
private double CalculateWeights()
|
|
||||||
{
|
|
||||||
double wsum = 0.0;
|
|
||||||
double centerTap = (Taps - 1) / 2.0;
|
|
||||||
for (int k = 0; k < Taps; k++)
|
|
||||||
{
|
|
||||||
double windowWeight;
|
|
||||||
switch (Window)
|
|
||||||
{
|
|
||||||
case WindowType.Rectangular:
|
|
||||||
windowWeight = 1.0;
|
|
||||||
break;
|
|
||||||
case WindowType.Hanning1:
|
|
||||||
windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
|
||||||
break;
|
|
||||||
case WindowType.Hanning2:
|
|
||||||
windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
|
||||||
break;
|
|
||||||
case WindowType.Blackman:
|
|
||||||
windowWeight = 0.42 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.08 * Math.Cos(4.0 * Math.PI * k / (Taps - 1));
|
|
||||||
break;
|
|
||||||
case WindowType.BlackmanHarris:
|
|
||||||
windowWeight = 0.35875 - 0.48829 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.14128 * Math.Cos(4.0 * Math.PI * k / (Taps - 1)) - 0.01168 * Math.Cos(6.0 * Math.PI * k / (Taps - 1));
|
|
||||||
break;
|
|
||||||
default:
|
|
||||||
windowWeight = 1.0;
|
|
||||||
break;
|
|
||||||
}
|
|
||||||
|
|
||||||
double sincWeight;
|
|
||||||
if (Math.Abs(k - centerTap) < 1e-10)
|
|
||||||
{
|
|
||||||
sincWeight = 1.0;
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
sincWeight = Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
|
|
||||||
}
|
|
||||||
|
|
||||||
_weights[k] = windowWeight * sincWeight;
|
|
||||||
wsum += _weights[k];
|
|
||||||
}
|
|
||||||
return wsum;
|
|
||||||
}
|
|
||||||
|
|
||||||
}
|
}
|
||||||
|
|
||||||
|
private readonly int Periods;
|
||||||
|
private readonly int Taps;
|
||||||
|
private readonly WindowType Window;
|
||||||
|
private readonly CircularBuffer _buffer;
|
||||||
|
private readonly double[] _weights;
|
||||||
|
private readonly double _wsum;
|
||||||
|
private readonly double[] _armaBuffer;
|
||||||
|
private readonly int _n;
|
||||||
|
private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;
|
||||||
|
|
||||||
|
public Afirma(int periods, int taps, WindowType window)
|
||||||
|
{
|
||||||
|
if (periods < 1)
|
||||||
|
{
|
||||||
|
throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
|
||||||
|
}
|
||||||
|
if (taps < 1)
|
||||||
|
{
|
||||||
|
throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
|
||||||
|
}
|
||||||
|
Periods = periods;
|
||||||
|
Taps = taps;
|
||||||
|
Window = window;
|
||||||
|
WarmupPeriod = taps;
|
||||||
|
_buffer = new CircularBuffer(taps);
|
||||||
|
_weights = new double[taps];
|
||||||
|
_wsum = CalculateWeights();
|
||||||
|
_armaBuffer = new double[taps];
|
||||||
|
_n = (Taps - 1) / 2;
|
||||||
|
|
||||||
|
// Calculate least squares coefficients in the constructor
|
||||||
|
_sx2 = (2 * _n + 1) / 3.0;
|
||||||
|
_sx3 = _n * (_n + 1) / 2.0;
|
||||||
|
_sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
|
||||||
|
_sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
|
||||||
|
_sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
|
||||||
|
_den = _sx6 * _sx4 / _sx5 - _sx5;
|
||||||
|
|
||||||
|
Name = "Afirma";
|
||||||
|
Init();
|
||||||
|
}
|
||||||
|
|
||||||
|
public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void ManageState(bool isNew)
|
||||||
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
|
_lastValidValue = Input.Value;
|
||||||
|
_index++;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override double Calculation()
|
||||||
|
{
|
||||||
|
ManageState(IsNew);
|
||||||
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
|
if (_index >= Taps)
|
||||||
|
{
|
||||||
|
double a0 = _buffer[_n];
|
||||||
|
double a1 = _buffer[_n] - _buffer[_n + 1];
|
||||||
|
double sx2y = 0.0;
|
||||||
|
double sx3y = 0.0;
|
||||||
|
|
||||||
|
for (int i = 0; i <= _n; i++)
|
||||||
|
{
|
||||||
|
sx2y += i * i * _buffer[_n - i];
|
||||||
|
sx3y += i * i * i * _buffer[_n - i];
|
||||||
|
}
|
||||||
|
|
||||||
|
sx2y = 2.0 * sx2y / _n / (_n + 1);
|
||||||
|
sx3y = 2.0 * sx3y / _n / (_n + 1);
|
||||||
|
double p = sx2y - a0 * _sx2 - a1 * _sx3;
|
||||||
|
double q = sx3y - a0 * _sx3 - a1 * _sx4;
|
||||||
|
double a2 = (p * _sx6 / _sx5 - q) / _den;
|
||||||
|
double a3 = (q * _sx4 / _sx5 - p) / _den;
|
||||||
|
|
||||||
|
for (int k = 0; k <= _n; k++)
|
||||||
|
{
|
||||||
|
_armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
double result = 0.0;
|
||||||
|
for (int k = 0; k < Taps; k++)
|
||||||
|
{
|
||||||
|
result += _buffer[k] * _weights[k] / _wsum;
|
||||||
|
}
|
||||||
|
|
||||||
|
IsHot = _index >= WarmupPeriod;
|
||||||
|
return result;
|
||||||
|
}
|
||||||
|
|
||||||
|
private double CalculateWeights()
|
||||||
|
{
|
||||||
|
double wsum = 0.0;
|
||||||
|
double centerTap = (Taps - 1) / 2.0;
|
||||||
|
for (int k = 0; k < Taps; k++)
|
||||||
|
{
|
||||||
|
double windowWeight;
|
||||||
|
switch (Window)
|
||||||
|
{
|
||||||
|
case WindowType.Rectangular:
|
||||||
|
windowWeight = 1.0;
|
||||||
|
break;
|
||||||
|
case WindowType.Hanning1:
|
||||||
|
windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
||||||
|
break;
|
||||||
|
case WindowType.Hanning2:
|
||||||
|
windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
||||||
|
break;
|
||||||
|
case WindowType.Blackman:
|
||||||
|
windowWeight = 0.42 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.08 * Math.Cos(4.0 * Math.PI * k / (Taps - 1));
|
||||||
|
break;
|
||||||
|
case WindowType.BlackmanHarris:
|
||||||
|
windowWeight = 0.35875 - 0.48829 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.14128 * Math.Cos(4.0 * Math.PI * k / (Taps - 1)) - 0.01168 * Math.Cos(6.0 * Math.PI * k / (Taps - 1));
|
||||||
|
break;
|
||||||
|
default:
|
||||||
|
windowWeight = 1.0;
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
|
||||||
|
double sincWeight;
|
||||||
|
sincWeight = Math.Abs(k - centerTap) < 1e-10 ? 1.0 : Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
|
||||||
|
|
||||||
|
_weights[k] = windowWeight * sincWeight;
|
||||||
|
wsum += _weights[k];
|
||||||
|
}
|
||||||
|
return wsum;
|
||||||
|
}
|
||||||
|
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -25,7 +25,7 @@ public class Alma : AbstractBase
|
|||||||
/// <param name="offset">Controls the smoothness and high-frequency filtering. Default is 0.85.</param>
|
/// <param name="offset">Controls the smoothness and high-frequency filtering. Default is 0.85.</param>
|
||||||
/// <param name="sigma">Controls the shape of the Gaussian distribution. Default is 6.</param>
|
/// <param name="sigma">Controls the shape of the Gaussian distribution. Default is 6.</param>
|
||||||
/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
|
/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
|
||||||
public Alma(int period, double offset = 0.85, double sigma = 6) : base()
|
public Alma(int period, double offset = 0.85, double sigma = 6)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -4,8 +4,8 @@ public class Convolution : AbstractBase
|
|||||||
{
|
{
|
||||||
private readonly double[] _kernel;
|
private readonly double[] _kernel;
|
||||||
private readonly int _kernelSize;
|
private readonly int _kernelSize;
|
||||||
private CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
private double[] _normalizedKernel;
|
private readonly double[] _normalizedKernel;
|
||||||
|
|
||||||
public Convolution(double[] kernel)
|
public Convolution(double[] kernel)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -28,7 +28,7 @@ public class Dema : AbstractBase
|
|||||||
private double _lastEma2, _p_lastEma2;
|
private double _lastEma2, _p_lastEma2;
|
||||||
private double _k, _e, _p_e;
|
private double _k, _e, _p_e;
|
||||||
|
|
||||||
public Dema(int period) : base()
|
public Dema(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
+6
-4
@@ -27,10 +27,12 @@ public class Ema : AbstractBase
|
|||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private CircularBuffer _sma;
|
private CircularBuffer _sma;
|
||||||
private double _lastEma, _p_lastEma;
|
private double _lastEma, _p_lastEma;
|
||||||
private double _k, _e, _p_e;
|
private double _e, _p_e;
|
||||||
private bool _isInit, _p_isInit, _useSma;
|
private readonly double _k;
|
||||||
|
private bool _isInit, _p_isInit;
|
||||||
|
private readonly bool _useSma;
|
||||||
|
|
||||||
public Ema(int period, bool useSma = true) : base()
|
public Ema(int period, bool useSma = true)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -45,7 +47,7 @@ public class Ema : AbstractBase
|
|||||||
Init();
|
Init();
|
||||||
}
|
}
|
||||||
|
|
||||||
public Ema(double alpha) : base()
|
public Ema(double alpha)
|
||||||
{
|
{
|
||||||
_k = alpha;
|
_k = alpha;
|
||||||
_useSma = false;
|
_useSma = false;
|
||||||
|
|||||||
+80
-69
@@ -1,99 +1,110 @@
|
|||||||
using System;
|
using System;
|
||||||
|
|
||||||
namespace QuanTAlib
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
public class Frama : AbstractBase
|
||||||
{
|
{
|
||||||
public class Frama : AbstractBase
|
private readonly int _period;
|
||||||
|
private readonly CircularBuffer _buffer;
|
||||||
|
private double _lastFrama;
|
||||||
|
private double _prevLastFrama;
|
||||||
|
|
||||||
|
public Frama(int period)
|
||||||
{
|
{
|
||||||
private readonly int _period;
|
if (period < 2)
|
||||||
private readonly double _fc;
|
throw new ArgumentException("Period must be at least 2", nameof(period));
|
||||||
private CircularBuffer _buffer;
|
|
||||||
private double _lastFrama;
|
|
||||||
private double _prevLastFrama;
|
|
||||||
|
|
||||||
public Frama(int period, double fc = 0.5) : base()
|
_period = period;
|
||||||
|
_buffer = new CircularBuffer(period);
|
||||||
|
WarmupPeriod = period;
|
||||||
|
}
|
||||||
|
|
||||||
|
public Frama(object source, int period) : this(period)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
|
|
||||||
|
public override void Init()
|
||||||
|
{
|
||||||
|
base.Init();
|
||||||
|
_buffer.Clear();
|
||||||
|
_lastFrama = 0;
|
||||||
|
_prevLastFrama = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void ManageState(bool isNew)
|
||||||
|
{
|
||||||
|
if (isNew)
|
||||||
{
|
{
|
||||||
if (period < 2)
|
_prevLastFrama = _lastFrama;
|
||||||
throw new ArgumentException("Period must be at least 2", nameof(period));
|
_index++;
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
_lastFrama = _prevLastFrama;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
_period = period;
|
protected override double Calculation()
|
||||||
_fc = fc;
|
{
|
||||||
_buffer = new CircularBuffer(period);
|
ManageState(Input.IsNew);
|
||||||
WarmupPeriod = period;
|
|
||||||
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
|
if (_buffer.Count < _period)
|
||||||
|
{
|
||||||
|
_lastFrama = _buffer.Average();
|
||||||
|
return _lastFrama;
|
||||||
}
|
}
|
||||||
|
|
||||||
public override void Init()
|
int half = _period / 2;
|
||||||
{
|
double hh = double.MinValue, ll = double.MaxValue;
|
||||||
base.Init();
|
double hh1 = double.MinValue, ll1 = double.MaxValue;
|
||||||
_buffer.Clear();
|
double hh2 = double.MinValue, ll2 = double.MaxValue;
|
||||||
_lastFrama = 0;
|
|
||||||
_prevLastFrama = 0;
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override void ManageState(bool isNew)
|
for (int i = 0; i < _period; i++)
|
||||||
{
|
{
|
||||||
if (isNew)
|
double price = _buffer[i];
|
||||||
|
hh = Math.Max(hh, price);
|
||||||
|
ll = Math.Min(ll, price);
|
||||||
|
|
||||||
|
if (i < half)
|
||||||
{
|
{
|
||||||
_prevLastFrama = _lastFrama;
|
hh1 = Math.Max(hh1, price);
|
||||||
_index++;
|
ll1 = Math.Min(ll1, price);
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
_lastFrama = _prevLastFrama;
|
hh2 = Math.Max(hh2, price);
|
||||||
|
ll2 = Math.Min(ll2, price);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
<<<<<<< HEAD
|
||||||
protected override double Calculation()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
=======
|
||||||
|
double n1 = (hh - ll) / _period;
|
||||||
|
double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
|
||||||
|
>>>>>>> dev
|
||||||
|
|
||||||
if (_buffer.Count < _period)
|
double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
|
||||||
{
|
|
||||||
_lastFrama = _buffer.Average();
|
|
||||||
return _lastFrama;
|
|
||||||
}
|
|
||||||
|
|
||||||
int half = _period / 2;
|
double alpha = Math.Exp(-4.6 * (d - 1));
|
||||||
double hh = double.MinValue, ll = double.MaxValue;
|
alpha = Math.Max(Math.Min(alpha, 1), 0.01); // Ensure alpha is between 0.01 and 1
|
||||||
double hh1 = double.MinValue, ll1 = double.MaxValue;
|
|
||||||
double hh2 = double.MinValue, ll2 = double.MaxValue;
|
|
||||||
|
|
||||||
for (int i = 0; i < _period; i++)
|
_lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
|
||||||
{
|
|
||||||
double price = _buffer[i];
|
|
||||||
hh = Math.Max(hh, price);
|
|
||||||
ll = Math.Min(ll, price);
|
|
||||||
|
|
||||||
if (i < half)
|
IsHot = _index >= WarmupPeriod;
|
||||||
{
|
return _lastFrama;
|
||||||
hh1 = Math.Max(hh1, price);
|
}
|
||||||
ll1 = Math.Min(ll1, price);
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
hh2 = Math.Max(hh2, price);
|
|
||||||
ll2 = Math.Min(ll2, price);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
double n1 = (hh - ll) / _period;
|
protected override double GetLastValid()
|
||||||
double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
|
{
|
||||||
|
return _lastFrama;
|
||||||
double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
|
|
||||||
|
|
||||||
double alpha = Math.Exp(-4.6 * (d - 1));
|
|
||||||
alpha = Math.Max(Math.Min(alpha, 1), 0.01); // Ensure alpha is between 0.01 and 1
|
|
||||||
|
|
||||||
_lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
|
|
||||||
|
|
||||||
IsHot = _index >= WarmupPeriod;
|
|
||||||
return _lastFrama;
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override double GetLastValid()
|
|
||||||
{
|
|
||||||
return _lastFrama;
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
@@ -1,7 +1,7 @@
|
|||||||
//not working yet
|
//not working yet
|
||||||
//TODO consistency test
|
//TODO consistency test
|
||||||
|
|
||||||
using QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public class Htit : AbstractBase
|
public class Htit : AbstractBase
|
||||||
{
|
{
|
||||||
@@ -21,7 +21,7 @@ public class Htit : AbstractBase
|
|||||||
private double _lastPd = 0;
|
private double _lastPd = 0;
|
||||||
private double _p_lastPd = 0;
|
private double _p_lastPd = 0;
|
||||||
|
|
||||||
public Htit() : base()
|
public Htit()
|
||||||
{
|
{
|
||||||
Name = "Htit";
|
Name = "Htit";
|
||||||
WarmupPeriod = 12;
|
WarmupPeriod = 12;
|
||||||
@@ -138,9 +138,7 @@ public class Htit : AbstractBase
|
|||||||
{
|
{
|
||||||
return ((4 * _itBuffer[0]) + (3 * _itBuffer[1]) + (2 * _itBuffer[2]) + _itBuffer[3]) / 10;
|
return ((4 * _itBuffer[0]) + (3 * _itBuffer[1]) + (2 * _itBuffer[2]) + _itBuffer[3]) / 10;
|
||||||
}
|
}
|
||||||
else
|
|
||||||
{
|
return pr;
|
||||||
return pr;
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
@@ -15,7 +15,7 @@ public class Hwma : AbstractBase
|
|||||||
{
|
{
|
||||||
}
|
}
|
||||||
|
|
||||||
public Hwma(int period, double nA, double nB, double nC) : base()
|
public Hwma(int period, double nA, double nB, double nC)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
+12
-6
@@ -1,20 +1,20 @@
|
|||||||
using QuanTAlib;
|
namespace QuanTAlib;
|
||||||
//TODO consistency test
|
//TODO consistency test
|
||||||
public class Jma : AbstractBase
|
public class Jma : AbstractBase
|
||||||
{
|
{
|
||||||
public readonly int Period;
|
public readonly int Period;
|
||||||
private readonly double _phase;
|
private readonly double _phase;
|
||||||
private readonly int _vshort, _vlong;
|
private readonly int _vshort, _vlong;
|
||||||
private CircularBuffer _values;
|
private readonly CircularBuffer _values;
|
||||||
private CircularBuffer _voltyShort;
|
private readonly CircularBuffer _voltyShort;
|
||||||
private CircularBuffer _vsumBuff;
|
private readonly CircularBuffer _vsumBuff;
|
||||||
private CircularBuffer _avoltyBuff;
|
private readonly CircularBuffer _avoltyBuff;
|
||||||
|
|
||||||
private double _beta, _len1, _pow1;
|
private double _beta, _len1, _pow1;
|
||||||
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
||||||
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
|
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
|
||||||
|
|
||||||
public Jma(int period, double phase = 0, int vshort = 10) : base()
|
public Jma(int period, double phase = 0, int vshort = 10)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -35,6 +35,12 @@ public class Jma : AbstractBase
|
|||||||
Init();
|
Init();
|
||||||
}
|
}
|
||||||
|
|
||||||
|
public Jma(object source, int period, double phase = 0, int vshort = 10) : this(period, phase, vshort)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
|
|
||||||
public override void Init()
|
public override void Init()
|
||||||
{
|
{
|
||||||
_upperBand = _lowerBand = _prevMa1 = _prevDet0 = _prevDet1 = _prevJma = 0.0;
|
_upperBand = _lowerBand = _prevMa1 = _prevDet0 = _prevDet1 = _prevJma = 0.0;
|
||||||
|
|||||||
@@ -1,5 +1,3 @@
|
|||||||
using System;
|
|
||||||
|
|
||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public class Kama : AbstractBase
|
public class Kama : AbstractBase
|
||||||
@@ -9,7 +7,7 @@ public class Kama : AbstractBase
|
|||||||
private CircularBuffer? _buffer;
|
private CircularBuffer? _buffer;
|
||||||
private double _lastKama, _p_lastKama;
|
private double _lastKama, _p_lastKama;
|
||||||
|
|
||||||
public Kama(int period, int fast = 2, int slow = 30) : base()
|
public Kama(int period, int fast = 2, int slow = 30)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -10,7 +10,7 @@ public class Ltma : AbstractBase
|
|||||||
|
|
||||||
public double Gamma => _gamma;
|
public double Gamma => _gamma;
|
||||||
|
|
||||||
public Ltma(double gamma = 0.1) : base()
|
public Ltma(double gamma = 0.1)
|
||||||
{
|
{
|
||||||
if (gamma < 0 || gamma > 1)
|
if (gamma < 0 || gamma > 1)
|
||||||
throw new ArgumentOutOfRangeException(nameof(gamma), "Gamma must be between 0 and 1.");
|
throw new ArgumentOutOfRangeException(nameof(gamma), "Gamma must be between 0 and 1.");
|
||||||
|
|||||||
@@ -8,12 +8,13 @@ public class Maaf : AbstractBase
|
|||||||
{
|
{
|
||||||
private readonly CircularBuffer _priceBuffer;
|
private readonly CircularBuffer _priceBuffer;
|
||||||
private readonly CircularBuffer _smoothBuffer;
|
private readonly CircularBuffer _smoothBuffer;
|
||||||
private double _prevFilter, _prevValue2, _threshold;
|
private double _prevFilter, _prevValue2;
|
||||||
|
private readonly double _threshold;
|
||||||
private double _p_prevFilter, _p_prevValue2;
|
private double _p_prevFilter, _p_prevValue2;
|
||||||
|
|
||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
|
|
||||||
public Maaf(int Period = 39, double Threshold = 0.002) : base()
|
public Maaf(int Period = 39, double Threshold = 0.002)
|
||||||
{
|
{
|
||||||
_period = Period;
|
_period = Period;
|
||||||
_threshold = Threshold;
|
_threshold = Threshold;
|
||||||
|
|||||||
@@ -1,17 +1,16 @@
|
|||||||
using QuanTAlib;
|
namespace QuanTAlib;
|
||||||
using System;
|
|
||||||
|
|
||||||
public class Mama : AbstractBase
|
public class Mama : AbstractBase
|
||||||
{
|
{
|
||||||
private readonly double _fastLimit, _slowLimit;
|
private readonly double _fastLimit, _slowLimit;
|
||||||
private CircularBuffer _pr, _sm, _dt, _i1, _q1, _i2, _q2, _re, _im, _pd, _ph;
|
private readonly CircularBuffer _pr, _sm, _dt, _i1, _q1, _i2, _q2, _re, _im, _pd, _ph;
|
||||||
private double _mama, _fama;
|
private double _mama, _fama;
|
||||||
private double _prevMama, _prevFama, _sumPr;
|
private double _prevMama, _prevFama, _sumPr;
|
||||||
private double _p_prevMama, _p_prevFama, _p_sumPr;
|
private double _p_prevMama, _p_prevFama, _p_sumPr;
|
||||||
|
|
||||||
public TValue Fama { get; private set; }
|
public TValue Fama { get; private set; }
|
||||||
|
|
||||||
public Mama(double fastLimit = 0.5, double slowLimit = 0.05) : base()
|
public Mama(double fastLimit = 0.5, double slowLimit = 0.05)
|
||||||
{
|
{
|
||||||
Fama = new TValue();
|
Fama = new TValue();
|
||||||
Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
|
Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
|
||||||
|
|||||||
@@ -5,7 +5,7 @@ public class Mgdi : AbstractBase
|
|||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private readonly double _kFactor;
|
private readonly double _kFactor;
|
||||||
private double _prevMd, _p_prevMd;
|
private double _prevMd, _p_prevMd;
|
||||||
public Mgdi(int period, double kFactor = 0.6) : base()
|
public Mgdi(int period, double kFactor = 0.6)
|
||||||
{
|
{
|
||||||
if (period <= 0)
|
if (period <= 0)
|
||||||
{
|
{
|
||||||
|
|||||||
+65
-69
@@ -1,78 +1,74 @@
|
|||||||
using System;
|
namespace QuanTAlib;
|
||||||
using System.Linq;
|
|
||||||
|
|
||||||
namespace QuanTAlib
|
public class Mma : AbstractBase
|
||||||
{
|
{
|
||||||
public class Mma : AbstractBase
|
private readonly int _period;
|
||||||
|
private readonly CircularBuffer _buffer;
|
||||||
|
private double _lastMma;
|
||||||
|
|
||||||
|
public Mma(int period)
|
||||||
{
|
{
|
||||||
private readonly int _period;
|
if (period < 2)
|
||||||
private readonly CircularBuffer _buffer;
|
|
||||||
private double _lastMma;
|
|
||||||
|
|
||||||
public Mma(int period) : base()
|
|
||||||
{
|
{
|
||||||
if (period < 2)
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||||
{
|
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
|
||||||
}
|
|
||||||
_period = period;
|
|
||||||
_buffer = new CircularBuffer(period);
|
|
||||||
Name = "Mma";
|
|
||||||
WarmupPeriod = period;
|
|
||||||
Init();
|
|
||||||
}
|
}
|
||||||
|
_period = period;
|
||||||
|
_buffer = new CircularBuffer(period);
|
||||||
|
Name = "Mma";
|
||||||
|
WarmupPeriod = period;
|
||||||
|
Init();
|
||||||
|
}
|
||||||
|
|
||||||
public Mma(object source, int period) : this(period)
|
public Mma(object source, int period) : this(period)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
|
|
||||||
|
public override void Init()
|
||||||
|
{
|
||||||
|
base.Init();
|
||||||
|
_lastMma = 0;
|
||||||
|
_buffer.Clear();
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void ManageState(bool isNew)
|
||||||
|
{
|
||||||
|
if (isNew)
|
||||||
{
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
_index++;
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
|
||||||
}
|
|
||||||
|
|
||||||
public override void Init()
|
|
||||||
{
|
|
||||||
base.Init();
|
|
||||||
_lastMma = 0;
|
|
||||||
_buffer.Clear();
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override void ManageState(bool isNew)
|
|
||||||
{
|
|
||||||
if (isNew)
|
|
||||||
{
|
|
||||||
_index++;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override double Calculation()
|
|
||||||
{
|
|
||||||
ManageState(Input.IsNew);
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
|
||||||
|
|
||||||
if (_index >= _period)
|
|
||||||
{
|
|
||||||
double T = _buffer.Sum();
|
|
||||||
double S = CalculateWeightedSum();
|
|
||||||
_lastMma = (T / _period) + (6 * S) / ((_period + 1) * _period);
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
// Use simple average until we have enough data points
|
|
||||||
_lastMma = _buffer.Average();
|
|
||||||
}
|
|
||||||
|
|
||||||
IsHot = _index >= _period;
|
|
||||||
return _lastMma;
|
|
||||||
}
|
|
||||||
|
|
||||||
private double CalculateWeightedSum()
|
|
||||||
{
|
|
||||||
double sum = 0;
|
|
||||||
for (int i = 0; i < _period; i++)
|
|
||||||
{
|
|
||||||
double weight = (_period - (2 * i + 1)) / 2.0;
|
|
||||||
sum += weight * _buffer[^(i + 1)];
|
|
||||||
}
|
|
||||||
return sum;
|
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
|
||||||
|
protected override double Calculation()
|
||||||
|
{
|
||||||
|
ManageState(Input.IsNew);
|
||||||
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
|
if (_index >= _period)
|
||||||
|
{
|
||||||
|
double T = _buffer.Sum();
|
||||||
|
double S = CalculateWeightedSum();
|
||||||
|
_lastMma = (T / _period) + (6 * S) / ((_period + 1) * _period);
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
// Use simple average until we have enough data points
|
||||||
|
_lastMma = _buffer.Average();
|
||||||
|
}
|
||||||
|
|
||||||
|
IsHot = _index >= _period;
|
||||||
|
return _lastMma;
|
||||||
|
}
|
||||||
|
|
||||||
|
private double CalculateWeightedSum()
|
||||||
|
{
|
||||||
|
double sum = 0;
|
||||||
|
for (int i = 0; i < _period; i++)
|
||||||
|
{
|
||||||
|
double weight = (_period - (2 * i + 1)) / 2.0;
|
||||||
|
sum += weight * _buffer[^(i + 1)];
|
||||||
|
}
|
||||||
|
return sum;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|||||||
@@ -6,7 +6,11 @@ public class Qema : AbstractBase
|
|||||||
private readonly Ema _ema1, _ema2, _ema3, _ema4;
|
private readonly Ema _ema1, _ema2, _ema3, _ema4;
|
||||||
private double _lastQema, _p_lastQema;
|
private double _lastQema, _p_lastQema;
|
||||||
|
|
||||||
|
<<<<<<< HEAD
|
||||||
public Qema(double k1 = 0.2, double k2 = 0.2, double k3 = 0.2, double k4 = 0.2) : base()
|
public Qema(double k1 = 0.2, double k2 = 0.2, double k3 = 0.2, double k4 = 0.2) : base()
|
||||||
|
=======
|
||||||
|
public Qema(double k1 = 0.2, double k2 = 0.2, double k3 = 0.2, double k4 = 0.2)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (k1 <= 0 || k2 <= 0 || k3 <= 0 || k4 <= 0)
|
if (k1 <= 0 || k2 <= 0 || k3 <= 0 || k4 <= 0)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -12,7 +12,7 @@ public class Rema : AbstractBase
|
|||||||
public int Period => _period;
|
public int Period => _period;
|
||||||
public double Lambda => _lambda;
|
public double Lambda => _lambda;
|
||||||
|
|
||||||
public Rema(int period, double lambda = 0.5) : base()
|
public Rema(int period, double lambda = 0.5)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||||
@@ -25,7 +25,11 @@ public class Rema : AbstractBase
|
|||||||
WarmupPeriod = period;
|
WarmupPeriod = period;
|
||||||
Init();
|
Init();
|
||||||
}
|
}
|
||||||
|
public Rema(object source, int period, double lambda = 0.5) : this(period, lambda)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
public override void Init()
|
public override void Init()
|
||||||
{
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
|
|||||||
+80
-1
@@ -1,6 +1,7 @@
|
|||||||
using System;
|
using System;
|
||||||
using System.Runtime.CompilerServices;
|
using System.Runtime.CompilerServices;
|
||||||
|
|
||||||
|
<<<<<<< HEAD
|
||||||
namespace QuanTAlib
|
namespace QuanTAlib
|
||||||
{
|
{
|
||||||
|
|
||||||
@@ -29,6 +30,80 @@ namespace QuanTAlib
|
|||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
|
=======
|
||||||
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
|
||||||
|
public class Rma : AbstractBase
|
||||||
|
{
|
||||||
|
private readonly int _period;
|
||||||
|
private readonly double _alpha;
|
||||||
|
private double _lastRMA;
|
||||||
|
private double _savedLastRMA;
|
||||||
|
|
||||||
|
public Rma(int period)
|
||||||
|
{
|
||||||
|
if (period < 1)
|
||||||
|
{
|
||||||
|
throw new ArgumentException("Period must be greater than or equal to 1.", nameof(period));
|
||||||
|
}
|
||||||
|
_period = period;
|
||||||
|
WarmupPeriod = period * 2;
|
||||||
|
_alpha = 1.0 / _period; // Wilder's smoothing factor
|
||||||
|
Name = $"Rma({_period})";
|
||||||
|
Init();
|
||||||
|
}
|
||||||
|
|
||||||
|
public Rma(object source, int period) : this(period)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
|
|
||||||
|
public override void Init()
|
||||||
|
{
|
||||||
|
base.Init();
|
||||||
|
_lastRMA = 0;
|
||||||
|
_savedLastRMA = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void ManageState(bool isNew)
|
||||||
|
{
|
||||||
|
if (!isNew)
|
||||||
|
{
|
||||||
|
_lastRMA = _savedLastRMA;
|
||||||
|
return;
|
||||||
|
}
|
||||||
|
|
||||||
|
_savedLastRMA = _lastRMA;
|
||||||
|
_lastValidValue = Input.Value;
|
||||||
|
_index++;
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override double Calculation()
|
||||||
|
{
|
||||||
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
|
double rma;
|
||||||
|
|
||||||
|
if (_index == 1)
|
||||||
|
{
|
||||||
|
return Input.Value;
|
||||||
|
}
|
||||||
|
|
||||||
|
if (_index <= _period)
|
||||||
|
{
|
||||||
|
// Simple average during initial period
|
||||||
|
return (_lastRMA * (_index - 1) + Input.Value) / _index;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Wilder's smoothing method
|
||||||
|
return _alpha * (Input.Value - _lastRMA) + _lastRMA;
|
||||||
|
}
|
||||||
|
|
||||||
|
_lastRMA = rma;
|
||||||
|
IsHot = _index >= WarmupPeriod;
|
||||||
|
>>>>>>> dev
|
||||||
|
|
||||||
public override void Init()
|
public override void Init()
|
||||||
{
|
{
|
||||||
@@ -78,4 +153,8 @@ namespace QuanTAlib
|
|||||||
return rma;
|
return rma;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
<<<<<<< HEAD
|
||||||
|
}
|
||||||
|
=======
|
||||||
|
}
|
||||||
|
>>>>>>> dev
|
||||||
|
|||||||
+1
-1
@@ -6,7 +6,7 @@ public class Sma : AbstractBase
|
|||||||
// inherited _value
|
// inherited _value
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
|
|
||||||
public Sma(int period) : base()
|
public Sma(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ public class Smma : AbstractBase
|
|||||||
private CircularBuffer? _buffer;
|
private CircularBuffer? _buffer;
|
||||||
private double _lastSmma, _p_lastSmma;
|
private double _lastSmma, _p_lastSmma;
|
||||||
|
|
||||||
public Smma(int period) : base()
|
public Smma(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ public class Tema : AbstractBase
|
|||||||
private double _lastEma3, _p_lastEma3;
|
private double _lastEma3, _p_lastEma3;
|
||||||
private double _k, _e, _p_e;
|
private double _k, _e, _p_e;
|
||||||
|
|
||||||
public Tema(int period) : base()
|
public Tema(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -30,14 +30,7 @@ public class Trima : AbstractBase
|
|||||||
|
|
||||||
for (int i = 0; i < period; i++)
|
for (int i = 0; i < period; i++)
|
||||||
{
|
{
|
||||||
if (i < halfPeriod)
|
kernel[i] = i < halfPeriod ? i + 1 : period - i;
|
||||||
{
|
|
||||||
kernel[i] = i + 1;
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
kernel[i] = period - i;
|
|
||||||
}
|
|
||||||
weightSum += kernel[i];
|
weightSum += kernel[i];
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|||||||
@@ -7,11 +7,11 @@ public class Zlema : AbstractBase
|
|||||||
{
|
{
|
||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private CircularBuffer? _buffer;
|
private CircularBuffer? _buffer;
|
||||||
private double _alpha;
|
private readonly double _alpha;
|
||||||
private int _lag;
|
private readonly int _lag;
|
||||||
private double _lastZLEMA, _p_lastZLEMA;
|
private double _lastZLEMA, _p_lastZLEMA;
|
||||||
|
|
||||||
public Zlema(int period) : base()
|
public Zlema(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
+72
-13
@@ -8,13 +8,16 @@ namespace QuanTAlib;
|
|||||||
/// and methods used by inheriting indicator types. It handles the basic flow of
|
/// and methods used by inheriting indicator types. It handles the basic flow of
|
||||||
/// receiving data, performing calculations, and publishing results.
|
/// receiving data, performing calculations, and publishing results.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public abstract class AbstractBase : iTValue
|
public abstract class AbstractBase : ITValue
|
||||||
{
|
{
|
||||||
public DateTime Time { get; set; }
|
public DateTime Time { get; set; }
|
||||||
public double Value { get; set; }
|
public double Value { get; set; }
|
||||||
public bool IsNew { get; set; }
|
public bool IsNew { get; set; }
|
||||||
public bool IsHot { get; set; }
|
public bool IsHot { get; set; }
|
||||||
public TValue Input { get; set; }
|
public TValue Input { get; set; }
|
||||||
|
public TValue Input2 { get; set; }
|
||||||
|
public TBar BarInput { get; set; }
|
||||||
|
public TBar BarInput2 { get; set; }
|
||||||
public String Name { get; set; } = "";
|
public String Name { get; set; } = "";
|
||||||
public int WarmupPeriod { get; set; }
|
public int WarmupPeriod { get; set; }
|
||||||
public TValue Tick => new(Time, Value, IsNew, IsHot);
|
public TValue Tick => new(Time, Value, IsNew, IsHot);
|
||||||
@@ -34,6 +37,11 @@ public abstract class AbstractBase : iTValue
|
|||||||
/// <param name="args">The argument containing the new data point.</param>
|
/// <param name="args">The argument containing the new data point.</param>
|
||||||
public void Sub(object source, in ValueEventArgs args) => Calc(args.Tick);
|
public void Sub(object source, in ValueEventArgs args) => Calc(args.Tick);
|
||||||
|
|
||||||
|
public void Sub(object source1, object source2, in ValueEventArgs args1, in ValueEventArgs args2) =>
|
||||||
|
Calc(args1.Tick, args2.Tick);
|
||||||
|
|
||||||
|
public void Sub(object source, in TBarEventArgs args) => Calc(args.Bar);
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the indicator's state.
|
/// Initializes the indicator's state.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
@@ -43,24 +51,75 @@ public abstract class AbstractBase : iTValue
|
|||||||
_lastValidValue = 0;
|
_lastValidValue = 0;
|
||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
|
||||||
/// Calculates the indicator value based on the input.
|
|
||||||
/// </summary>
|
|
||||||
/// <param name="input">The input value for the calculation.</param>
|
|
||||||
/// <returns>A TValue representing the calculated indicator value.</returns>
|
|
||||||
/// <remarks>
|
|
||||||
/// This method calls the specific Calculation() method where the actual implementation is.
|
|
||||||
/// If the input value is NaN or infinity, it returns the last valid value instead.
|
|
||||||
/// </remarks>
|
|
||||||
public virtual TValue Calc(TValue input)
|
public virtual TValue Calc(TValue input)
|
||||||
{
|
{
|
||||||
Input = input;
|
Input = input;
|
||||||
if (double.IsNaN(input.Value) || double.IsInfinity(input.Value))
|
Input2 = new(Time: Input.Time, Value: double.NaN, IsNew: Input.IsNew, IsHot: Input.IsHot);
|
||||||
|
return HandleErrorCalculations(input.Value, input.Time, input.IsNew);
|
||||||
|
}
|
||||||
|
|
||||||
|
public virtual TValue Calc(TBar barInput)
|
||||||
|
{
|
||||||
|
BarInput = barInput;
|
||||||
|
return HandleErrorCalculations(barInput.Close, barInput.Time, barInput.IsNew);
|
||||||
|
}
|
||||||
|
|
||||||
|
public virtual TValue Calc(TValue input1, TValue input2)
|
||||||
|
{
|
||||||
|
Input = input1;
|
||||||
|
Input2 = input2;
|
||||||
|
return HandleErrorCalculations(input1.Value, input2.Value, input1.Time, input1.IsNew);
|
||||||
|
}
|
||||||
|
|
||||||
|
public virtual TValue Calc(TBar input1, TBar input2)
|
||||||
|
{
|
||||||
|
BarInput = input1;
|
||||||
|
BarInput2 = input2;
|
||||||
|
return HandleErrorCalculations(input1.Close, input2.Close, input1.Time, input1.IsNew);
|
||||||
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Handles error calculations and invalid input values.
|
||||||
|
/// </summary>
|
||||||
|
/// <param name="value">The primary input value to check.</param>
|
||||||
|
/// <param name="time">The timestamp of the input.</param>
|
||||||
|
/// <param name="isNew">Indicates if the input is new.</param>
|
||||||
|
/// <returns>A TValue object with the calculated or last valid value.</returns>
|
||||||
|
/// <remarks>
|
||||||
|
/// This method checks for NaN or infinity in the input value. If an invalid value is detected,
|
||||||
|
/// it returns the last valid value. Otherwise, it proceeds with the calculation.
|
||||||
|
/// </remarks>
|
||||||
|
protected virtual TValue HandleErrorCalculations(double value, DateTime time, bool isNew)
|
||||||
|
{
|
||||||
|
if (double.IsNaN(value) || double.IsInfinity(value))
|
||||||
{
|
{
|
||||||
return Process(new TValue(input.Time, GetLastValid(), input.IsNew, input.IsHot));
|
return Process(new TValue(time, GetLastValid(), isNew, this.IsHot));
|
||||||
}
|
}
|
||||||
this.Value = Calculation();
|
this.Value = Calculation();
|
||||||
return Process(new TValue(Time: Input.Time, Value: this.Value, IsNew: Input.IsNew, IsHot: this.IsHot));
|
return Process(new TValue(Time: time, Value: this.Value, IsNew: isNew, IsHot: this.IsHot));
|
||||||
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Handles error calculations for inputs with two values.
|
||||||
|
/// </summary>
|
||||||
|
/// <param name="value1">The first input value to check.</param>
|
||||||
|
/// <param name="value2">The second input value to check.</param>
|
||||||
|
/// <param name="time">The timestamp of the input.</param>
|
||||||
|
/// <param name="isNew">Indicates if the input is new.</param>
|
||||||
|
/// <returns>A TValue object with the calculated or last valid value.</returns>
|
||||||
|
/// <remarks>
|
||||||
|
/// This method checks for NaN or infinity in both input values. If any invalid value is detected,
|
||||||
|
/// it returns the last valid value. Otherwise, it proceeds with the calculation.
|
||||||
|
/// </remarks>
|
||||||
|
protected virtual TValue HandleErrorCalculations(double value1, double value2, DateTime time, bool isNew)
|
||||||
|
{
|
||||||
|
if (double.IsNaN(value1) || double.IsInfinity(value1) ||
|
||||||
|
double.IsNaN(value2) || double.IsInfinity(value2))
|
||||||
|
{
|
||||||
|
return Process(new TValue(time, GetLastValid(), isNew, this.IsHot));
|
||||||
|
}
|
||||||
|
this.Value = Calculation();
|
||||||
|
return Process(new TValue(Time: time, Value: this.Value, IsNew: isNew, IsHot: this.IsHot));
|
||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
|
|||||||
@@ -221,11 +221,16 @@ public class CircularBuffer : IEnumerable<double>
|
|||||||
if (_start + _size <= Capacity)
|
if (_start + _size <= Capacity)
|
||||||
{
|
{
|
||||||
return new ReadOnlySpan<double>(_buffer, _start, _size);
|
return new ReadOnlySpan<double>(_buffer, _start, _size);
|
||||||
|
<<<<<<< HEAD
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
return new ReadOnlySpan<double>(ToArray());
|
return new ReadOnlySpan<double>(ToArray());
|
||||||
|
=======
|
||||||
|
>>>>>>> dev
|
||||||
}
|
}
|
||||||
|
|
||||||
|
return new ReadOnlySpan<double>(ToArray());
|
||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
|
|||||||
@@ -9,7 +9,7 @@ public static class Formatters
|
|||||||
const string pad = "18";
|
const string pad = "18";
|
||||||
public static void Initialize()
|
public static void Initialize()
|
||||||
{
|
{
|
||||||
Formatter.Register<iTValue>((tick, writer) =>
|
Formatter.Register<ITValue>((tick, writer) =>
|
||||||
{
|
{
|
||||||
var sb = new StringBuilder();
|
var sb = new StringBuilder();
|
||||||
sb.Append("<table style='border-collapse: collapse; text-align: left;'><tr>");
|
sb.Append("<table style='border-collapse: collapse; text-align: left;'><tr>");
|
||||||
|
|||||||
+2
-2
@@ -1,6 +1,6 @@
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public interface iTBar
|
public interface ITBar
|
||||||
{
|
{
|
||||||
DateTime Time { get; }
|
DateTime Time { get; }
|
||||||
double Open { get; }
|
double Open { get; }
|
||||||
@@ -11,7 +11,7 @@ public interface iTBar
|
|||||||
bool IsNew { get; }
|
bool IsNew { get; }
|
||||||
}
|
}
|
||||||
|
|
||||||
public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true) : iTBar
|
public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true) : ITBar
|
||||||
{
|
{
|
||||||
public DateTime Time { get; init; } = Time;
|
public DateTime Time { get; init; } = Time;
|
||||||
public double Open { get; init; } = Open;
|
public double Open { get; init; } = Open;
|
||||||
|
|||||||
+6
-5
@@ -1,6 +1,6 @@
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public interface iTValue
|
public interface ITValue
|
||||||
{
|
{
|
||||||
DateTime Time { get; }
|
DateTime Time { get; }
|
||||||
double Value { get; }
|
double Value { get; }
|
||||||
@@ -8,7 +8,7 @@ public interface iTValue
|
|||||||
bool IsHot { get; }
|
bool IsHot { get; }
|
||||||
}
|
}
|
||||||
|
|
||||||
public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true) : iTValue
|
public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true) : ITValue
|
||||||
{
|
{
|
||||||
public DateTime Time { get; init; } = Time;
|
public DateTime Time { get; init; } = Time;
|
||||||
public double Value { get; init; } = Value;
|
public double Value { get; init; } = Value;
|
||||||
@@ -52,12 +52,13 @@ public class TSeries : List<TValue>
|
|||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
if (pubEvent != null)
|
if (pubEvent != null)
|
||||||
{
|
{
|
||||||
/*
|
|
||||||
var nameProperty = source.GetType().GetProperty("Name");
|
var nameProperty = source.GetType().GetProperty("Name");
|
||||||
if (nameProperty != null) {
|
if (nameProperty != null)
|
||||||
|
{
|
||||||
Name = nameProperty.GetValue(nameProperty)?.ToString()!;
|
Name = nameProperty.GetValue(nameProperty)?.ToString()!;
|
||||||
}
|
}
|
||||||
*/
|
|
||||||
pubEvent.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -8,7 +8,11 @@ public class GbmFeed : TBarSeries
|
|||||||
private readonly Random _random;
|
private readonly Random _random;
|
||||||
private double _lastClose, _lastHigh, _lastLow;
|
private double _lastClose, _lastHigh, _lastLow;
|
||||||
|
|
||||||
|
<<<<<<< HEAD
|
||||||
public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2) : base()
|
public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2) : base()
|
||||||
|
=======
|
||||||
|
public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
_lastClose = _lastHigh = _lastLow = initialPrice;
|
_lastClose = _lastHigh = _lastLow = initialPrice;
|
||||||
_mu = mu;
|
_mu = mu;
|
||||||
|
|||||||
@@ -16,7 +16,7 @@ public class Entropy : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 2.
|
/// Thrown when the period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Entropy(int period) : base()
|
public Entropy(int period)
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -16,7 +16,7 @@ public class Kurtosis : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 4.
|
/// Thrown when the period is less than 4.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Kurtosis(int period) : base()
|
public Kurtosis(int period)
|
||||||
{
|
{
|
||||||
if (period < 4)
|
if (period < 4)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -20,7 +20,7 @@ public class Max : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 1 or decay is negative.
|
/// Thrown when the period is less than 1 or decay is negative.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Max(int period, double decay = 0) : base()
|
public Max(int period, double decay = 0)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -105,7 +105,7 @@ public class Max : AbstractBase
|
|||||||
}
|
}
|
||||||
|
|
||||||
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
|
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
|
||||||
_currentMax = _currentMax - decayRate * (_currentMax - _buffer.Average());
|
_currentMax -= decayRate * (_currentMax - _buffer.Average());
|
||||||
_currentMax = Math.Min(_currentMax, _buffer.Max());
|
_currentMax = Math.Min(_currentMax, _buffer.Max());
|
||||||
|
|
||||||
IsHot = true;
|
IsHot = true;
|
||||||
|
|||||||
@@ -16,7 +16,7 @@ public class Median : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 1.
|
/// Thrown when the period is less than 1.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Median(int period) : base()
|
public Median(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -76,16 +76,7 @@ public class Median : AbstractBase
|
|||||||
Array.Sort(sortedValues);
|
Array.Sort(sortedValues);
|
||||||
int middleIndex = sortedValues.Length / 2;
|
int middleIndex = sortedValues.Length / 2;
|
||||||
|
|
||||||
if (sortedValues.Length % 2 == 0)
|
median = (sortedValues.Length % 2 == 0) ? (sortedValues[middleIndex - 1] + sortedValues[middleIndex]) / 2.0 : sortedValues[middleIndex];
|
||||||
{
|
|
||||||
// Even number of values: average of two middle values
|
|
||||||
median = (sortedValues[middleIndex - 1] + sortedValues[middleIndex]) / 2.0;
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
// Odd number of values: middle value
|
|
||||||
median = sortedValues[middleIndex];
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -26,7 +26,11 @@ public class Min : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 1 or decay is negative.
|
/// Thrown when period is less than 1 or decay is negative.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Min(int period, double decay = 0) : base()
|
public Min(int period, double decay = 0) : base()
|
||||||
|
=======
|
||||||
|
public Min(int period, double decay = 0)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -109,7 +113,7 @@ public class Min : AbstractBase
|
|||||||
}
|
}
|
||||||
|
|
||||||
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMin / Period);
|
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMin / Period);
|
||||||
_currentMin = _currentMin + decayRate * (_buffer.Average() - _currentMin);
|
_currentMin += decayRate * (_buffer.Average() - _currentMin);
|
||||||
_currentMin = Math.Max(_currentMin, _buffer.Min());
|
_currentMin = Math.Max(_currentMin, _buffer.Min());
|
||||||
|
|
||||||
IsHot = true;
|
IsHot = true;
|
||||||
|
|||||||
@@ -21,7 +21,11 @@ public class Mode : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 1.
|
/// Thrown when period is less than 1.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Mode(int period) : base()
|
public Mode(int period) : base()
|
||||||
|
=======
|
||||||
|
public Mode(int period)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -24,7 +24,11 @@ public class Percentile : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2 or percent is not between 0 and 100.
|
/// Thrown when period is less than 2 or percent is not between 0 and 100.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Percentile(int period, double percent) : base()
|
public Percentile(int period, double percent) : base()
|
||||||
|
=======
|
||||||
|
public Percentile(int period, double percent)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -22,7 +22,11 @@ public class Skew : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 3.
|
/// Thrown when period is less than 3.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Skew(int period) : base()
|
public Skew(int period) : base()
|
||||||
|
=======
|
||||||
|
public Skew(int period)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 3)
|
if (period < 3)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -26,7 +26,11 @@ public class Stddev : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Stddev(int period, bool isPopulation = false) : base()
|
public Stddev(int period, bool isPopulation = false) : base()
|
||||||
|
=======
|
||||||
|
public Stddev(int period, bool isPopulation = false)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -26,7 +26,11 @@ public class Variance : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Variance(int period, bool isPopulation = false) : base()
|
public Variance(int period, bool isPopulation = false) : base()
|
||||||
|
=======
|
||||||
|
public Variance(int period, bool isPopulation = false)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -21,7 +21,11 @@ public class Zscore : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Zscore(int period) : base()
|
public Zscore(int period) : base()
|
||||||
|
=======
|
||||||
|
public Zscore(int period)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
+16
-4
@@ -8,7 +8,11 @@ namespace QuanTAlib;
|
|||||||
/// of the true range. The true range is the greatest of: current high - current low,
|
/// of the true range. The true range is the greatest of: current high - current low,
|
||||||
/// absolute value of current high - previous close, or absolute value of current low - previous close.
|
/// absolute value of current high - previous close, or absolute value of current low - previous close.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
|
<<<<<<< HEAD
|
||||||
public class Atr : AbstractBarBase
|
public class Atr : AbstractBarBase
|
||||||
|
=======
|
||||||
|
public class Atr : AbstractBase
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
private readonly Ema _ma;
|
private readonly Ema _ma;
|
||||||
private double _prevClose, _p_prevClose;
|
private double _prevClose, _p_prevClose;
|
||||||
@@ -82,23 +86,31 @@ public class Atr : AbstractBarBase
|
|||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
|
<<<<<<< HEAD
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
=======
|
||||||
|
ManageState(BarInput.IsNew);
|
||||||
|
>>>>>>> dev
|
||||||
|
|
||||||
double trueRange = Math.Max(
|
double trueRange = Math.Max(
|
||||||
Math.Max(
|
Math.Max(
|
||||||
Input.High - Input.Low,
|
BarInput.High - BarInput.Low,
|
||||||
Math.Abs(Input.High - _prevClose)
|
Math.Abs(BarInput.High - _prevClose)
|
||||||
),
|
),
|
||||||
Math.Abs(Input.Low - _prevClose)
|
Math.Abs(BarInput.Low - _prevClose)
|
||||||
);
|
);
|
||||||
if (_index < 2)
|
if (_index < 2)
|
||||||
{
|
{
|
||||||
|
<<<<<<< HEAD
|
||||||
trueRange = Input.High - Input.Low;
|
trueRange = Input.High - Input.Low;
|
||||||
|
=======
|
||||||
|
trueRange = BarInput.High - BarInput.Low;
|
||||||
|
>>>>>>> dev
|
||||||
}
|
}
|
||||||
|
|
||||||
TValue emaTrueRange = _ma.Calc(new TValue(Input.Time, trueRange, Input.IsNew));
|
TValue emaTrueRange = _ma.Calc(new TValue(Input.Time, trueRange, Input.IsNew));
|
||||||
IsHot = _ma.IsHot;
|
IsHot = _ma.IsHot;
|
||||||
_prevClose = Input.Close;
|
_prevClose = BarInput.Close;
|
||||||
|
|
||||||
return emaTrueRange.Value;
|
return emaTrueRange.Value;
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -25,7 +25,11 @@ public class Historical : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Historical(int period, bool isAnnualized = true) : base()
|
public Historical(int period, bool isAnnualized = true) : base()
|
||||||
|
=======
|
||||||
|
public Historical(int period, bool isAnnualized = true)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -25,7 +25,11 @@ public class Realized : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Realized(int period, bool isAnnualized = true) : base()
|
public Realized(int period, bool isAnnualized = true) : base()
|
||||||
|
=======
|
||||||
|
public Realized(int period, bool isAnnualized = true)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
+10
-2
@@ -16,8 +16,8 @@ namespace QuanTAlib;
|
|||||||
public class Rvi : AbstractBase
|
public class Rvi : AbstractBase
|
||||||
{
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private Stddev _upStdDev, _downStdDev;
|
private readonly Stddev _upStdDev, _downStdDev;
|
||||||
private Sma _upSma, _downSma;
|
private readonly Sma _upSma, _downSma;
|
||||||
private double _previousClose;
|
private double _previousClose;
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
@@ -27,7 +27,11 @@ public class Rvi : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
|
<<<<<<< HEAD
|
||||||
public Rvi(int period) : base()
|
public Rvi(int period) : base()
|
||||||
|
=======
|
||||||
|
public Rvi(int period)
|
||||||
|
>>>>>>> dev
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
@@ -105,6 +109,7 @@ public class Rvi : AbstractBase
|
|||||||
_downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
|
_downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
|
||||||
|
|
||||||
double rvi;
|
double rvi;
|
||||||
|
<<<<<<< HEAD
|
||||||
if (_upSma.Value + _downSma.Value != 0)
|
if (_upSma.Value + _downSma.Value != 0)
|
||||||
{
|
{
|
||||||
rvi = 100 * _upSma.Value / (_upSma.Value + _downSma.Value);
|
rvi = 100 * _upSma.Value / (_upSma.Value + _downSma.Value);
|
||||||
@@ -113,6 +118,9 @@ public class Rvi : AbstractBase
|
|||||||
{
|
{
|
||||||
rvi = 0;
|
rvi = 0;
|
||||||
}
|
}
|
||||||
|
=======
|
||||||
|
rvi = (_upSma.Value + _downSma.Value != 0) ? 100 * _upSma.Value / (_upSma.Value + _downSma.Value) : 0;
|
||||||
|
>>>>>>> dev
|
||||||
|
|
||||||
_previousClose = close;
|
_previousClose = close;
|
||||||
IsHot = _index >= WarmupPeriod;
|
IsHot = _index >= WarmupPeriod;
|
||||||
|
|||||||
+13
-9
@@ -10,15 +10,19 @@ QuanTAlib.Formatters.Initialize();
|
|||||||
|
|
||||||
#!csharp
|
#!csharp
|
||||||
|
|
||||||
Sma ma1 = new(6);
|
TSeries input = new();
|
||||||
Gmean ma2 = new (6);
|
Sma ma1 = new (6);
|
||||||
Hmean ma3 = new (6);
|
Sma ma2 = new (input, 6);
|
||||||
|
|
||||||
double[] input = new[]{1.0, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11,12,13,14,15,16,17,18,19,20};
|
Random random = new Random();
|
||||||
for (int i=0; i<input.Length; i++) {
|
|
||||||
double out1 = ma1.Calc(input[i]);
|
|
||||||
double out2 = ma2.Calc(input[i]);
|
|
||||||
double out3 = ma3.Calc(input[i]);
|
|
||||||
|
|
||||||
Console.WriteLine($"{input[i]:F2}\t {out1:F2}\t {out2:F2}\t {out3:F2}");
|
for (int i = 0; i < 100; i++) {
|
||||||
|
double randomValue = random.NextDouble() * 100;
|
||||||
|
input.Add(randomValue);
|
||||||
|
ma1.Calc(randomValue);
|
||||||
}
|
}
|
||||||
|
|
||||||
|
#!csharp
|
||||||
|
|
||||||
|
display(ma1);
|
||||||
|
display(ma2);
|
||||||
|
|||||||
@@ -7,7 +7,7 @@ public class AtrIndicator : IndicatorBarBase
|
|||||||
public int Period { get; set; } = 20;
|
public int Period { get; set; } = 20;
|
||||||
|
|
||||||
private Atr? atr;
|
private Atr? atr;
|
||||||
protected override AbstractBarBase QuanTAlib => atr!;
|
protected override AbstractBase QuanTAlib => atr!;
|
||||||
public override string ShortName => $"ATR {Period}";
|
public override string ShortName => $"ATR {Period}";
|
||||||
public AtrIndicator()
|
public AtrIndicator()
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -19,7 +19,7 @@ public abstract class IndicatorBarBase : Indicator, IWatchlistIndicator
|
|||||||
// LineSeries.LineSeries(string, Color, int, LineStyle)'
|
// LineSeries.LineSeries(string, Color, int, LineStyle)'
|
||||||
|
|
||||||
protected LineSeries? Series;
|
protected LineSeries? Series;
|
||||||
protected abstract AbstractBarBase QuanTAlib { get; }
|
protected abstract AbstractBase QuanTAlib { get; }
|
||||||
|
|
||||||
int IWatchlistIndicator.MinHistoryDepths => 0;
|
int IWatchlistIndicator.MinHistoryDepths => 0;
|
||||||
|
|
||||||
@@ -80,7 +80,7 @@ public abstract class IndicatorBarBase : Indicator, IWatchlistIndicator
|
|||||||
int barX = (int)converter.GetChartX(Time(i));
|
int barX = (int)converter.GetChartX(Time(i));
|
||||||
int barY = (int)converter.GetChartY(Series![i]);
|
int barY = (int)converter.GetChartY(Series![i]);
|
||||||
int halfBarWidth = CurrentChart.BarsWidth / 2;
|
int halfBarWidth = CurrentChart.BarsWidth / 2;
|
||||||
Point point = new Point(barX + halfBarWidth, barY);
|
Point point = new(barX + halfBarWidth, barY);
|
||||||
allPoints.Add(point);
|
allPoints.Add(point);
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -94,22 +94,21 @@ public abstract class IndicatorBarBase : Indicator, IWatchlistIndicator
|
|||||||
{
|
{
|
||||||
if (allPoints.Count < 2) { return; }
|
if (allPoints.Count < 2) { return; }
|
||||||
|
|
||||||
using (Pen defaultPen = new(Series!.Color, Series.Width) { DashStyle = ConvertLineStyleToDashStyle(Series.Style) })
|
using Pen defaultPen = new(Series!.Color, Series.Width) { DashStyle = ConvertLineStyleToDashStyle(Series.Style) };
|
||||||
using (Pen coldPen = new(Series!.Color, Series.Width) { DashStyle = DashStyle.Dot })
|
using Pen coldPen = new(Series!.Color, Series.Width) { DashStyle = DashStyle.Dot };
|
||||||
{
|
|
||||||
// Draw the hot part
|
|
||||||
if (hotCount > 0)
|
|
||||||
{
|
|
||||||
var hotPoints = allPoints.Take(Math.Min(hotCount + 1, allPoints.Count)).ToArray();
|
|
||||||
gr.DrawCurve(defaultPen, hotPoints, 0, hotPoints.Length - 1, (float)0.1);
|
|
||||||
}
|
|
||||||
|
|
||||||
// Draw the cold part
|
// Draw the hot part
|
||||||
if (ShowColdValues && hotCount < allPoints.Count)
|
if (hotCount > 0)
|
||||||
{
|
{
|
||||||
var coldPoints = allPoints.Skip(Math.Max(0, hotCount)).ToArray();
|
var hotPoints = allPoints.Take(Math.Min(hotCount + 1, allPoints.Count)).ToArray();
|
||||||
gr.DrawCurve(coldPen, coldPoints, 0, coldPoints.Length - 1, (float)0.1);
|
gr.DrawCurve(defaultPen, hotPoints, 0, hotPoints.Length - 1, (float)0.1);
|
||||||
}
|
}
|
||||||
|
|
||||||
|
// Draw the cold part
|
||||||
|
if (ShowColdValues && hotCount < allPoints.Count)
|
||||||
|
{
|
||||||
|
var coldPoints = allPoints.Skip(Math.Max(0, hotCount)).ToArray();
|
||||||
|
gr.DrawCurve(coldPen, coldPoints, 0, coldPoints.Length - 1, (float)0.1);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
private static DashStyle ConvertLineStyleToDashStyle(LineStyle lineStyle)
|
private static DashStyle ConvertLineStyleToDashStyle(LineStyle lineStyle)
|
||||||
@@ -125,9 +124,9 @@ public abstract class IndicatorBarBase : Indicator, IWatchlistIndicator
|
|||||||
}
|
}
|
||||||
protected static void DrawText(Graphics gr, string text, Rectangle clientRect)
|
protected static void DrawText(Graphics gr, string text, Rectangle clientRect)
|
||||||
{
|
{
|
||||||
Font font = new Font("Inter", 8);
|
Font font = new("Inter", 8);
|
||||||
SizeF textSize = gr.MeasureString(text, font);
|
SizeF textSize = gr.MeasureString(text, font);
|
||||||
RectangleF textRect = new RectangleF(clientRect.Left + 5,
|
RectangleF textRect = new(clientRect.Left + 5,
|
||||||
clientRect.Bottom - textSize.Height - 10,
|
clientRect.Bottom - textSize.Height - 10,
|
||||||
textSize.Width + 10, textSize.Height + 10);
|
textSize.Width + 10, textSize.Height + 10);
|
||||||
gr.FillRectangle(SystemBrushes.ControlDarkDark, textRect);
|
gr.FillRectangle(SystemBrushes.ControlDarkDark, textRect);
|
||||||
|
|||||||
Reference in New Issue
Block a user