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

2026-08-23 13:08:04 +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 +1,107 @@
+namespace QuanTAlib;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Threading;
+using System.Threading.Tasks;
+
+/* <summary>
+WMA: (linearly) Weighted Moving Average
+    The weights are linearly decreasing over the period and the most recent data has
+    the heaviest weight.
+
+Sources:
+    https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/weighted-moving-average-wma/
+    https://www.technicalindicators.net/indicators-technical-analysis/83-moving-averages-simple-exponential-weighted
+
+</summary> */
+
+public class WMA_Series : TSeries {
+	private readonly System.Collections.Generic.List<double> _buffer = new();
+	private System.Collections.Generic.List<double> _weights = new();
+	protected int _period;
+	protected readonly bool _NaN;
+	protected readonly TSeries _data;
+	protected int _len;
+	public int Len {
+		get { return _len; }
+		set { _len = value; }
+	}
+
+	//core constructors
+	public WMA_Series(int period, bool useNaN) : base() {
+		_period = period;
+		_NaN = useNaN;
+		Name = $"WMA({period})";
+		_len  = 1;
+		_weights = CalculateWeights(_period);
+	}
+	public WMA_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 WMA_Series() : this(period: 0, useNaN: false) { }
+	public WMA_Series(int period) : this(period: period, useNaN: false) { }
+	public WMA_Series(TBars source) : this(source.Close, 0, false) { }
+	public WMA_Series(TBars source, int period) : this(source.Close, period, false) { }
+	public WMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
+	public WMA_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);
+		if (_period == 0) {
+			_weights = CalculateWeights(_len);
+			_len++;
+		}
+		double _wma = 0;
+		double totalWeights = (_buffer.Count * (_buffer.Count + 1)) * 0.5;
+		object lockObj = new object();
+		Parallel.For(0, _buffer.Count, i =>
+		{
+			double temp = _buffer[i] * this._weights[i];
+			lock (lockObj) { _wma += temp; }
+		});
+		_wma /= totalWeights;
+		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _wma);
+		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);
+	}
+
+	//calculating weights
+	private static List<double> CalculateWeights(int period) {
+		List<double> weights = new List<double>(period);
+		for (int i = 0; i < period; i++) {
+			weights.Add(i + 1);
+		}
+		return weights;
+	}
+
+	//reset calculation
+	public override void Reset() {
+		_len = 0;
+		_weights = CalculateWeights(_period);
+		_buffer.Clear();
+	}
+}