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https://github.com/mihakralj/QuanTAlib.git
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Update RSI_Series to check for period != 0 before calculating RSI
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@@ -0,0 +1,100 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Threading.Tasks;
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using System.Numerics;
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using System.Linq;
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/* <summary>
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FWMA: Fibonacci's Weighted Moving Average is similar to a Weighted Moving Average
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(WMA) where the weights are based on the Fibonacci Sequence.
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</summary> */
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public class FWMA_Series : TSeries {
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private readonly List<double> _buffer = new();
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private List<double> _weights = new();
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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protected int _len;
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public FWMA_Series(int period, bool useNaN) : base() {
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_period = period;
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_NaN = useNaN;
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Name = $"FWMA({period})";
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_len = 0;
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_weights = CalculateWeights(_period);
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}
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public FWMA_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(_data);
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}
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public FWMA_Series() : this(period: 0, useNaN: false) { }
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public FWMA_Series(int period) : this(period: period, useNaN: false) { }
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public FWMA_Series(TBars source) : this(source.Close, 0, false) { }
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public FWMA_Series(TBars source, int period) : this(source.Close, period, false) { }
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public FWMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
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public FWMA_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
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BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
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if (_period == 0) {
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_len++;
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_weights = CalculateWeights(_len);
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}
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double _fwma = 0;
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double totalWeights = _weights.Sum();
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object lockObj = new object();
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Parallel.For(0, _buffer.Count, i =>
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{
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double temp = _buffer[i] * _weights[i];
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lock (lockObj) { _fwma += temp; }
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});
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_fwma /= totalWeights;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _fwma);
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return base.Add(res, update);
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}
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public new (DateTime t, double v) Add((DateTime t, double v) TValue) {
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return Add(TValue, false);
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TValue: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TValue: _data.Last, update: e.update);
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}
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private static List<double> CalculateWeights(int period) {
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//to prevent overflow, max period can be no more than 1476
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period = (period > 1476) ? 1476 : period;
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List<double> weights = new List<double>(period);
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BigInteger a = 0;
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BigInteger b = 1;
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for (int i = 0; i < period; i++) {
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BigInteger temp = a;
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a = b;
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b = temp + b;
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weights.Add((double)Decimal.Parse(a.ToString()));
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}
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return weights;
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}
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public override void Reset() {
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_weights = CalculateWeights(_period);
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_buffer.Clear();
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}
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}
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