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Update RSI_Series to check for period != 0 before calculating RSI

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This commit is contained in:
Miha Kralj
2023-04-27 22:23:50 -07:00
parent c80f57ddab
commit abdcbf5f20
145 changed files with 4826 additions and 4207 deletions
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Calculations/Basics/MAX_Series.cs
-25
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namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
MAX - Maximum value in the given period in the series.
If period = 0 => period = full length of the series
</summary> */
public class MAX_Series : Single_TSeries_Indicator
{
public MAX_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((DateTime t, double v) TValue, bool update)
{
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _max = _buffer.Max();
base.Add((TValue.t, _max), update, _NaN);
}
}
Calculations/Basics/MIDPOINT_Series.cs
-37
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namespace QuanTAlib;
using System;
/* <summary>
MIDPOINT: Midpoint value (max+min)/2 in the given period in the series.
If period = 0 => period = full length of the series
Sources:
https://thefaqblog.com/what-is-the-midpoint-in-statistics/
</summary> */
public class MIDPOINT_Series : Single_TSeries_Indicator
{
public MIDPOINT_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0)
{ base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((DateTime t, double v) TValue, bool update)
{
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _max = TValue.v;
double _min = TValue.v;
for (int i = 0; i < this._buffer.Count; i++)
{
_max = Math.Max(this._buffer[i], _max);
_min = Math.Min(this._buffer[i], _min);
}
double _mid = (_max + _min) * 0.5;
base.Add((TValue.t, _mid), update, _NaN);
}
}
Calculations/Basics/MIN_Series.cs
-25
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namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
MIN - Minimum value in the given period in the series.
If period = 0 => period = full length of the series
</summary> */
public class MIN_Series : Single_TSeries_Indicator
{
public MIN_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) TValue, bool update)
{
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _min = _buffer.Min();
base.Add((TValue.t, _min), update, _NaN);
}
}
Calculations/Basics/SUM_Series.cs
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namespace QuanTAlib;
using System;
/* <summary>
SUM: Cumulative Sum (aka Running Total)
SUM across a period provides a rolling sum of all values across the period.
If SUM values would be divided with period, the output would be SMA()
Sources:
https://en.wikipedia.org/wiki/CUSUM
</summary> */
public class SUM_Series : Single_TSeries_Indicator
{
public SUM_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sum = 0;
for (int i = 0; i < _buffer.Count; i++) { _sum += _buffer[i]; }
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _sum);
base.Add(result, update);
}
}
Calculations/Basics/ZL_Series.cs
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namespace QuanTAlib;
using System;
/* <summary>
ZL: Zero Lag
Data is de-lagged by removing the data from “lag” days ago, thus removing
(or attempting to) the cumulative effect of the moving average.
Calculation:
Lag = (Period-1)/2
ZL = Data + (Data - Data(Lag days ago) )
Sources:
https://mudrex.com/blog/zero-lag-ema-trading-strategy/
</summary> */
public class ZL_Series : Single_TSeries_Indicator
{
public ZL_Series(TSeries source, int period, bool useNaN = false) : base(source, period:period, useNaN:useNaN) {
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((DateTime t, double v) TValue, bool update)
{
int _lag = (int)((_p-1) * 0.5);
_lag = (this.Count-_lag < 0) ? 0 : this.Count-_lag;
double _zl = TValue.v + (TValue.v - _data[_lag].v);
var ret = (TValue.t, (base.Count==0 && base._NaN) ? double.NaN : _zl );
base.Add(ret, update);
}
}