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

2026-08-21 20:18:05 +00:00 · 2023-04-27 22:23:50 -07:00
parent c80f57ddab
commit abdcbf5f20
145 changed files with 4826 additions and 4207 deletions
@@ -0,0 +1,88 @@
+using System.Linq;
+
+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+
+/* <summary>
+MAPE: Mean Absolute Percentage Error
+  Measures the size of the error in percentage terms
+
+Calculation:
+  MAPE = Σ(|close – SMA| / |close|) / n
+
+Sources:
+  https://en.wikipedia.org/wiki/Mean_absolute_percentage_error
+
+Remark: 
+  returns infinity if any of observations is 0. 
+  Use SMAPE or WMAPE instead to avoid division-by-zero in MAPE
+
+</summary> */
+
+public class MAPE_Series : TSeries {
+	private readonly System.Collections.Generic.List<double> _buffer = new();
+	protected readonly int _period;
+	protected readonly bool _NaN;
+	protected readonly TSeries _data;
+
+	//core constructors
+	public MAPE_Series(int period, bool useNaN) : base() {
+		_period = period;
+		_NaN = useNaN;
+		Name = $"MAPE({period})";
+	}
+	public MAPE_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) {
+		_data = source;
+		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+		_data.Pub += Sub;
+		Add(_data);
+	}
+	public MAPE_Series() : this(period: 0, useNaN: false) { }
+	public MAPE_Series(int period) : this(period: period, useNaN: false) { }
+	public MAPE_Series(TBars source) : this(source.Close, 0, false) { }
+	public MAPE_Series(TBars source, int period) : this(source.Close, period, false) { }
+	public MAPE_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
+	public MAPE_Series(TSeries source) : this(source, 0, false) { }
+	public MAPE_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
+
+	//////////////////
+	// core Add() algo
+	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
+		BufferTrim(buffer:_buffer, value:TValue.v, period:_period, update: update);
+
+		double _sma = _buffer.Average();
+
+		double _mape = 0;
+		for (int i = 0; i < _buffer.Count; i++) {
+			_mape += (_buffer[i] != 0) ? Math.Abs(_buffer[i] - _sma) / Math.Abs(_buffer[i]) : double.PositiveInfinity;
+		}
+		_mape /= (_buffer.Count > 0) ? _buffer.Count : 1;
+
+		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _mape);
+		return base.Add(res, update);
+	}
+
+	public override (DateTime t, double v) Add(TSeries data) {
+		if (data == null) { return (DateTime.Today, Double.NaN); }
+		foreach (var item in data) { Add(item, false); }
+		return _data.Last;
+	}
+	public new (DateTime t, double v) Add((DateTime t, double v) TValue) {
+		return Add(TValue, false);
+	}
+	public (DateTime t, double v) Add(bool update) {
+		return this.Add(TValue: _data.Last, update: update);
+	}
+	public (DateTime t, double v) Add() {
+		return Add(TValue: _data.Last, update: false);
+	}
+	private new void Sub(object source, TSeriesEventArgs e) {
+		Add(TValue: _data.Last, update: e.update);
+	}
+
+	//reset calculation
+	public override void Reset() {
+		_buffer.Clear();
+	}
+}