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 +1,93 @@
+namespace QuanTAlib;
+
+using System;
+using System.Linq;
+
+/* <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: TSeries {
+	private readonly System.Collections.Generic.List<double> _buffer = new();
+	private int _len;
+	protected readonly int _period;
+	protected readonly bool _NaN;
+	protected readonly TSeries _data;
+	private readonly EMA_Series _ema;
+
+	//core constructor
+	public ZL_Series(int period, bool useNaN, bool useSMA) : base() {
+		_period = period;
+		_NaN = useNaN;
+		Name = $"ZL({period})";
+		_len = 1;
+		_ema = new(period);
+	}
+	//generic constructors (source)
+
+	public ZL_Series() : this(0, false, true) { }
+	public ZL_Series(int period) : this(period, false, true) { }
+	public ZL_Series(TBars source) : this(source.Close, 0, false) { }
+	public ZL_Series(TBars source, int period) : this(source.Close, period, false) { }
+	public ZL_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
+	public ZL_Series(TSeries source, int period) : this(source, period, false, true) { }
+	public ZL_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
+	public ZL_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
+		_data = source;
+		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+		_data.Pub += Sub;
+		Add(_data);
+	}
+
+	// core Add() algo
+	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update) {
+		BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
+		int _lag;
+		if (_period == 0) { 
+			_lag = (int)((_len - 1) * 0.5);
+			_len++;
+		}
+		else { _lag = (int)((_period - 1) * 0.5); }
+		_lag = Math.Min(_lag, _buffer.Count - 1);
+		_lag = Math.Max(_lag, 0) + 1;
+		double _zlValue = 2 * TValue.v - _buffer[^_lag];
+
+		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _zlValue);
+		return base.Add(res, update);
+	}
+
+	//variation of Add()
+	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();
+		_ema.Reset();
+	}
+}