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xml doc rewrite

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Miha
2024-10-27 09:38:53 -07:00
parent c21b96152c
commit b2fcdda785
71 changed files with 2607 additions and 1102 deletions
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lib/averages/Jma.cs
+39 -29
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@@ -1,9 +1,31 @@
/// <summary>
/// Represents a Jurik Moving Average, based on known and reverse-engineered insights
/// </summary>
using System;
namespace QuanTAlib;
/// <summary>
/// JMA: Jurik Moving Average
/// A sophisticated moving average that combines adaptive volatility measurement with
/// phase-shifted smoothing. JMA provides excellent noise reduction while maintaining
/// responsiveness to significant price movements.
/// </summary>
/// <remarks>
/// The JMA calculation process:
/// 1. Calculates adaptive volatility bands
/// 2. Uses volatility to adjust smoothing parameters
/// 3. Applies phase-shifted smoothing for lag reduction
/// 4. Combines multiple smoothing stages for final output
///
/// Key characteristics:
/// - Adaptive smoothing based on price volatility
/// - Phase-shifting to reduce lag
/// - Excellent noise reduction
/// - Maintains responsiveness to significant moves
/// - Provides volatility bands as additional outputs
///
/// Implementation:
/// Based on known and reverse-engineered insights from Jurik Research
/// Original work by Mark Jurik
/// </remarks>
public class Jma : AbstractBase
{
private readonly double _period;
@@ -18,7 +40,6 @@ public class Jma : AbstractBase
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _vSum, _p_vSum;
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
@@ -27,11 +48,11 @@ public class Jma : AbstractBase
/// <summary>
/// Initializes a new instance of the Jma class with the specified parameters.
/// </summary>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
/// <param name="period">The period over which to calculate the JMA.</param>
/// <param name="phase">The phase parameter (-100 to +100) controlling lag compensation.</param>
/// <param name="factor">The factor controlling volatility adaptation (default 0.45).</param>
/// <param name="buffer">The size of the volatility buffer (default 10).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
public Jma(int period, int phase = 0, double factor = 0.45, int buffer = 10)
{
if (period < 1)
@@ -51,20 +72,19 @@ public class Jma : AbstractBase
}
/// <summary>
/// Initializes a new instance of the Jvolty class with the specified source and parameters.
/// Initializes a new instance of the Jma class with a specified source.
/// </summary>
/// <param name="source">The source object to subscribe to for value updates.</param>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The period over which to calculate the JMA.</param>
/// <param name="phase">The phase parameter (-100 to +100) controlling lag compensation.</param>
/// <param name="factor">The factor controlling volatility adaptation (default 0.45).</param>
/// <param name="buffer">The size of the volatility buffer (default 10).</param>
public Jma(object source, int period, int phase = 0, double factor = 0.45, int buffer = 10) : this(period, phase, factor, buffer)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Jma instance by setting up the initial state.
/// </summary>
public override void Init()
{
base.Init();
@@ -76,10 +96,6 @@ public class Jma : AbstractBase
_vsumBuff.Clear();
}
/// <summary>
/// Manages the state of the Jma instance based on whether a new value is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new value.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -105,12 +121,6 @@ public class Jma : AbstractBase
}
}
/// <summary>
/// Performs the Jma calculation for the current value.
/// </summary>
/// <returns>
/// The calculated Jma value for the current input.
/// </returns>
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -141,10 +151,10 @@ public class Jma : AbstractBase
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
double _alpha = Math.Pow(_beta, pow2);
double ma1 = Input.Value + _alpha * (_prevMa1 - Input.Value); //original: (1 - _alpha) * Input.Value + _alpha * _prevMa1;
double ma1 = Input.Value + _alpha * (_prevMa1 - Input.Value);
_prevMa1 = ma1;
double det0 = price + _beta * (_prevDet0 - price + ma1) - ma1; //original: (price - ma1) * (1 - _beta) + _beta * _prevDet0;
double det0 = price + _beta * (_prevDet0 - price + ma1) - ma1;
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;