From b76731fcf63991975cb738814c35e6a5abc3ef09 Mon Sep 17 00:00:00 2001 From: Miha Kralj Date: Thu, 10 Nov 2022 20:10:35 -0800 Subject: [PATCH] Version 0.1.17 --- Source/QuanTAlib.csproj | 2 +- docs/Comparing_w_TALIB.ipynb | 148 ----------------- docs/QuanTAlib_Indicators.dib | 66 -------- docs/QuantLib_test.ipynb | 305 ---------------------------------- docs/coverage.md | 2 +- docs/getting_started.ipynb | 53 +++--- docs/ma-comparison.dib | 244 --------------------------- docs/macd_example.ipynb | 190 --------------------- docs/readme.md | 182 ++++++++++++++++++-- 9 files changed, 193 insertions(+), 999 deletions(-) delete mode 100644 docs/Comparing_w_TALIB.ipynb delete mode 100644 docs/QuanTAlib_Indicators.dib delete mode 100644 docs/QuantLib_test.ipynb delete mode 100644 docs/ma-comparison.dib delete mode 100644 docs/macd_example.ipynb diff --git a/Source/QuanTAlib.csproj b/Source/QuanTAlib.csproj index 1bf85a74..443980bc 100644 --- a/Source/QuanTAlib.csproj +++ b/Source/QuanTAlib.csproj @@ -1,7 +1,7 @@  - 0.1.16 + 0.1.17 QuanTAlib diff --git a/docs/Comparing_w_TALIB.ipynb b/docs/Comparing_w_TALIB.ipynb deleted file mode 100644 index 4f245ac7..00000000 --- a/docs/Comparing_w_TALIB.ipynb +++ /dev/null @@ -1,148 +0,0 @@ -{ - "cells": [ - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
Installed Packages
  • QuanTAlib, 0.1.10-beta
  • TALib.NETCore, 0.4.4
" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "#r \"nuget: TALib.NETCore, 0.4.4\" \n", - "#r \"nuget: QuanTAlib, 0.1.10-beta\" \n", - "\n", - "using QuanTAlib;\n", - "using TALib;\n" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "ename": "Error", - "evalue": "(1,1): error CS0246: The type or namespace name 'YAHOO_Feed' could not be found (are you missing a using directive or an assembly reference?)", - "output_type": "error", - "traceback": [ - "(1,1): error CS0246: The type or namespace name 'YAHOO_Feed' could not be found (are you missing a using directive or an assembly reference?)" - ] - } - ], - "source": [ - "YAHOO_Feed aapl = new(2020,\"AAPL\");\n", - "TSeries data = aapl.Close;\n", - "\n", - "data.Count()" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [], - "source": [ - "int period = 10;\n", - "\n", - "//QuanTAlib SMA algorithm\n", - "SMA_Series e = new(data, period, false); \n", - "\n", - "// direct call to SMA from TA-LIB - with stitching NaNs in front\n", - "int outBegIdx, outNbElement;\n", - "double[] output = new double[data.Count];\n", - "double[] nans = new double[period];\n", - "double[] ta_temp = new double[data.Count-period+1];\n", - "Array.Fill(nans, double.NaN);\n", - "Core.Sma(data.v.ToArray(), 0, data.Count-1, ta_temp, out outBegIdx, out outNbElement, period); //TA-LIB SMA method\n", - "nans.CopyTo(output,0);\n", - "ta_temp.CopyTo(output,period-1);\n" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "QuantLib\t TA-LIB\n", - "164.31\t\t 164.31\n", - "166.81\t\t 166.81\n", - "169.20\t\t 169.20\n", - "171.01\t\t 171.01\n", - "172.41\t\t 172.41\n", - "173.45\t\t 173.45\n", - "174.75\t\t 174.75\n", - "175.38\t\t 175.38\n", - "175.54\t\t 175.54\n", - "\n", - "1394\t\t 1394\n" - ] - } - ], - "source": [ - "// comparing the tail of QuanTAlib and TA-LIB\n", - "Console.Write($\"QuanTAlib\\t TA-LIB\\n\");\n", - "for (int i=data.Count-10; iOCMin)? 2*OCMin-Low : Low; - - double Volume = GBM_value(seed*10, volatility*2, Drift:0); - - base.Add((timestamp, Open, High, Low, Close, Volume), update); - seed = Close; - } - - private static double GBM_value (double Seed, double Volatility, double Drift) { - Random rnd = new((int)(DateTime.UtcNow.Ticks)); - double U1 = 1.0-rnd.NextDouble(); - double U2 = 1.0-rnd.NextDouble(); - double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2); - return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z); - } -} - -#!csharp - -GBM1_Feed tqqq = new(30); -TSeries data = tqqq.Close; -SMA_Series sma = new(data, 5, false); -MED_Series med = new(data, 5); -WMA_Series wma = new(data, 5, false); -EMA_Series ema = new(data, 5, false); -HMA_Series hma = new(data, 5, false); -DEMA_Series dema = new(data, 5, false); -TEMA_Series tema = new(data, 5, false); -ZLEMA_Series zlema = new(data, 5, false); -JMA_Series jma = new(data, 10, 0.0, false); - -Console.WriteLine($"date\t\t Value\t SMA\t MED\t WMA\t EMA\t HMA\t DEMA\t TEMA \tZLEMA\t JMA"); -for (int i=0; i < data.Length; i++) { - Console.Write($"{data[i].t:yyyy-MM-dd}\t {data[i].v:f2}\t {sma[i].v:f2}\t {med[i].v:f2}\t {wma[i].v:f2}\t {ema[i].v:f2}\t {hma[i].v:f2}\t {dema[i].v:f2}\t {tema[i].v:f2}\t {zlema[i].v:f2}\t {jma[i].v:f2}\n"); -} diff --git a/docs/QuantLib_test.ipynb b/docs/QuantLib_test.ipynb deleted file mode 100644 index aad0f425..00000000 --- a/docs/QuantLib_test.ipynb +++ /dev/null @@ -1,305 +0,0 @@ -{ - "cells": [ - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "#r \"nuget:YahooFinanceApi;\" \n", - "#r \"nuget:QuanTAlib;\" \n", - "using YahooFinanceApi;\n", - "using QuanTAlib;\n" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "Date\t\t Value\t SMA\t MAD\t STDDEV\t MSE\t MAPE\n", - " 2022-03-14\t 150.62\t 150.62\t 0.00\t 0.00\t 0.00\t 0.00\t\n", - "2022-03-15\t 155.09\t 152.85\t 2.24\t 3.16\t 5.00\t 0.01\t\n", - "2022-03-16\t 159.59\t 155.10\t 2.99\t 4.49\t 13.41\t 0.02\t\n", - "2022-03-17\t 160.62\t 156.48\t 3.62\t 4.59\t 15.77\t 0.02\t\n", - "2022-03-18\t 163.98\t 157.98\t 4.10\t 5.20\t 21.62\t 0.03\t\n", - "2022-03-21\t 165.38\t 160.93\t 3.00\t 4.03\t 13.02\t 0.02\t\n", - "2022-03-22\t 168.82\t 163.68\t 2.86\t 3.72\t 11.10\t 0.02\t\n", - "2022-03-23\t 170.21\t 165.80\t 2.97\t 3.84\t 11.78\t 0.02\t\n", - "2022-03-24\t 174.07\t 168.49\t 3.05\t 4.01\t 12.84\t 0.02\t\n", - "2022-03-25\t 174.72\t 170.64\t 3.00\t 3.86\t 11.92\t 0.02\t\n", - "2022-03-28\t 175.60\t 172.68\t 2.54\t 2.98\t 7.12\t 0.01\t\n", - "2022-03-29\t 178.96\t 174.71\t 2.06\t 3.14\t 7.90\t 0.01\t\n", - "2022-03-30\t 177.77\t 176.22\t 1.71\t 2.07\t 3.43\t 0.01\t\n", - "2022-03-31\t 174.61\t 176.33\t 1.63\t 1.94\t 3.01\t 0.01\t\n" - ] - } - ], - "source": [ - "TSeries data = new();\n", - "var history = await Yahoo.GetHistoricalAsync(\"AAPL\", DateTime.Today.AddDays(-19), DateTime.Now, Period.Daily);\n", - "SMA_Series sma = new(data, 5, false);\n", - "SUB_Series sub = new(sma.STDDEV,sma.MAD);\n", - "Console.Write($\"Date\\t\\t Value\\t SMA\\t MAD\\t STDDEV\\t MSE\\t MAPE\\n \");\n", - "foreach (var i in history) {\n", - " data.Add((i.DateTime, (double)i.Close));\n", - " Console.Write($\"{data[^1].t:yyyy-MM-dd}\\t {(double)data:f2}\\t {(double)sma:f2}\\t {(double)sma.MAD:f2}\\t {(double)sma.STDDEV:f2}\\t {(double)sma.MSE:f2}\\t {(double)sma.MAPE:f2}\\t\\n\");\n", - "}" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "date\t\t Value\t SMA\t WMA\t EMA\t HMA\t DEMA\t TEMA \tZLEMA \tJMA\r\n", - "2022-03-21\t 165.38\t 165.38\t 165.38\t 165.38\t 165.38\t 165.38\t 165.38\t 165.38\t 165.38\n", - "2022-03-22\t 168.82\t 167.10\t 167.67\t 166.53\t 166.91\t 167.29\t 167.80\t 167.67\t 168.29\n", - "2022-03-23\t 170.21\t 168.14\t 168.94\t 167.75\t 168.52\t 169.08\t 169.80\t 170.13\t 170.00\n", - "2022-03-24\t 174.07\t 169.62\t 170.99\t 169.86\t 171.53\t 172.15\t 173.27\t 173.19\t 173.30\n", - "2022-03-25\t 174.72\t 170.64\t 172.24\t 171.48\t 174.45\t 174.09\t 175.04\t 175.21\t 174.42\n", - "2022-03-28\t 175.60\t 172.68\t 173.89\t 172.85\t 175.90\t 175.51\t 176.18\t 175.85\t 175.23\n", - "2022-03-29\t 178.96\t 174.71\t 175.98\t 174.89\t 177.60\t 178.01\t 178.78\t 178.30\t 177.49\n", - "2022-03-30\t 177.77\t 176.22\t 177.00\t 175.85\t 178.50\t 178.57\t 178.81\t 178.85\t 177.95\n", - "2022-03-31\t 174.61\t 176.33\t 176.46\t 175.44\t 177.08\t 176.98\t 176.35\t 175.98\t 176.09\n" - ] - } - ], - "source": [ - "TSeries data = new();\n", - "var history = await Yahoo.GetHistoricalAsync(\"AAPL\", DateTime.Today.AddDays(-10), DateTime.Now, Period.Daily);\n", - "SMA_Series sma = new(data, 5);\n", - "WMA_Series wma = new(data, 5);\n", - "EMA_Series ema = new(data, 5);\n", - "HMA_Series hma = new(data, 5);\n", - "DEMA_Series dema = new(data, 5);\n", - "TEMA_Series tema = new(data, 5);\n", - "ZLEMA_Series zlema = new(data, 5);\n", - "JMA_Series jma = new(data, 5);\n", - "\n", - "Console.WriteLine($\"date\\t\\t Value\\t SMA\\t WMA\\t EMA\\t HMA\\t DEMA\\t TEMA \\tZLEMA \\tJMA\");\n", - "foreach (var i in history) {\n", - " data.Add((i.DateTime, (double)i.Close)); // adding data will signal dependant indicators\n", - "\n", - " Console.Write($\"{data[^1].t:yyyy-MM-dd}\\t {(double)data:f2}\\t {(double)sma:f2}\\t {(double)wma:f2}\\t {(double)ema:f2}\\t {(double)hma:f2}\\t {(double)dema:f2}\\t {(double)tema:f2}\\t {(double)zlema:f2}\\t {(double)jma:f2}\\n\");\n", - "}" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
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" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "ADD_Series two = new(zlema, jma); // even when indicator is created later, it will grab the data from its source table\n", - "DIV_Series mean = new(two, 2); // this pair here calculates mean of ZLEMA and JMA indicators\n", - "\n", - "mean" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [], - "source": [ - "public class ALMA_Series : TSeries\n", - "{\n", - " private readonly int _p;\n", - " private readonly bool _NaN;\n", - " private readonly TSeries _data;\n", - " private readonly double _offset, _sigma;\n", - " private double _norm;\n", - " private readonly System.Collections.Generic.List _buffer = new();\n", - " private readonly System.Collections.Generic.List _weights = new();\n", - "\n", - " public ALMA_Series(TSeries source, int period, double offset = 0.85, double sigma = 6.0, bool useNaN = false)\n", - " {\n", - " this._p = period;\n", - " this._data = source;\n", - " this._NaN = useNaN;\n", - " _offset = offset;\n", - " _sigma = sigma;\n", - "\n", - " double _m = _offset * (_p - 1);\n", - " double _s = _p / _sigma;\n", - "\n", - " _norm = 0;\n", - " for (int i = 0; i < this._p; i++)\n", - " {\n", - " double wt = Math.Exp(-((i - _m) * (i - _m)) / (2 * _s * _s));\n", - " this._weights.Add(wt);\n", - " _norm += wt;\n", - " }\n", - "\n", - " source.Pub += this.Sub;\n", - " if (source.Count > 0)\n", - " {\n", - " for (int i = 0; i < source.Count; i++)\n", - " {\n", - " this.Add(source[i], false);\n", - " }\n", - " }\n", - "\n", - " }\n", - " public new void Add((System.DateTime t, double v) data, bool update = false)\n", - " {\n", - " if (update) { this._buffer[this._buffer.Count - 1] = data.v; } else { this._buffer.Add(data.v); }\n", - " if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }\n", - "\n", - " double _wma = 0;\n", - " for (int i = 0; i < this._buffer.Count; i++) { _wma += this._buffer[i] * this._weights[i]; }\n", - " if (this._buffer.Count < this._p) {\n", - " _norm = 0;\n", - " for (int i = 0; i < this._buffer.Count; i++) { _norm += this._weights[i];}\n", - " }\n", - " _wma /= _norm;\n", - "\n", - " (System.DateTime t, double v) result = (data.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _wma);\n", - " if (update) { base[base.Count - 1] = result; } else { base.Add(result); }\n", - " }\n", - " public void Add(bool update = false)\n", - " {\n", - " this.Add(this._data[this._data.Count - 1], update);\n", - " }\n", - " public new void Sub(object source, TSeriesEventArgs e) { this.Add(this._data[this._data.Count - 1], e.update); }\n", - "\n", - "}" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [], - "source": [ - "TSeries data = new() {212.80, 214.06, 213.89, 214.66, 213.95, 213.95, 214.55, 214.02, 214.51, 213.75, 214.22, 213.43 };\n", - "ALMA_Series alma = new(data, period: 10, offset: 0.0, sigma: 6.0, useNaN: true);\n" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "2022-03-31\t 212.80\t NaN\t \n", - "2022-03-31\t 214.06\t NaN\t \n", - "2022-03-31\t 213.89\t NaN\t \n", - "2022-03-31\t 214.66\t NaN\t \n", - "2022-03-31\t 213.95\t NaN\t \n", - "2022-03-31\t 213.95\t NaN\t \n", - "2022-03-31\t 214.55\t NaN\t \n", - "2022-03-31\t 214.02\t NaN\t \n", - "2022-03-31\t 214.51\t NaN\t \n", - "2022-03-31\t 213.75\t 213.58\t \n", - "2022-03-31\t 214.22\t 214.11\t \n", - "2022-03-31\t 213.43\t 214.17\t \n" - ] - } - ], - "source": [ - "for (int i=0; i
" - ] - }, - "metadata": {}, - "output_type": "display_data" - }, { "name": "stdout", "output_type": "stream", "text": [ "index\t data\t\t sma(data)\t ema(sma(data))\t wma(ema(sma(data)))\n", - "0\t 2022-03-23\t 170.21\t\t 170.21\t\t NaN\n", - "1\t 2022-03-24\t 172.14\t\t 170.85\t\t NaN\n", - "2\t 2022-03-25\t 173.00\t\t 171.57\t\t NaN\n", - "3\t 2022-03-28\t 173.65\t\t 172.26\t\t NaN\n", - "4\t 2022-03-29\t 174.71\t\t 173.08\t\t 172.07\n", - "5\t 2022-03-30\t 176.22\t\t 174.13\t\t 172.92\n", - "6\t 2022-03-31\t 176.33\t\t 174.86\t\t 173.74\n", - "7\t 2022-04-01\t 176.25\t\t 175.32\t\t 174.46\n", - "8\t 2022-04-04\t 176.82\t\t 175.82\t\t 175.09\n", - "9\t 2022-04-05\t 176.04\t\t 175.89\t\t 175.51\n", - "10\t 2022-04-06\t 174.85\t\t 175.55\t\t 175.62\n", - "11\t 2022-04-07\t 174.36\t\t 175.15\t\t 175.51\n" + "0\t 2022-11-01\t 150.65\t\t 150.65\t\t NaN\n", + "1\t 2022-11-02\t 147.84\t\t 149.25\t\t NaN\n", + "2\t 2022-11-03\t 144.85\t\t 147.78\t\t NaN\n", + "3\t 2022-11-04\t 143.24\t\t 146.64\t\t NaN\n", + "4\t 2022-11-07\t 142.37\t\t 145.79\t\t 147.20\n", + "5\t 2022-11-08\t 140.14\t\t 143.91\t\t 145.83\n", + "6\t 2022-11-09\t 138.11\t\t 141.97\t\t 144.26\n", + "7\t 2022-11-10\t 139.71\t\t 141.22\t\t 142.93\n" ] } ], @@ -60,14 +47,14 @@ "#r \"nuget:QuanTAlib;\"\n", "using QuanTAlib;\n", "\n", - "YAHOO_Feed aapl = new(15, \"AAPL\");\n", + "Yahoo_Feed aapl = new(\"AAPL\", 10);\n", "TSeries data = aapl.Close;\n", "SMA_Series sma = new(source: data, period: 5, useNaN: false);\n", "EMA_Series ema = new(sma, period: 5); // by default, indicators expose all data, no NaN values\n", "WMA_Series wma = new(ema, 5, useNaN: true); // for the final calculation we can hide early data with NaNs\n", "\n", "Console.Write($\"index\\t data\\t\\t sma(data)\\t ema(sma(data))\\t wma(ema(sma(data)))\\n\");\n", - "for (int i=0; iindexItem1Item202022-04-07 00:00:00Z
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" ] }, "metadata": {}, @@ -258,7 +245,7 @@ } ], "source": [ - "YAHOO_Feed aapl = new(20, \"AAPL\");\n", + "Yahoo_Feed aapl = new(\"AAPL\", 100);\n", "TSeries close = aapl.Close; // close will get data from history\n", "EMA_Series slow = new(close,26); // slow gets data from slow through pub-sub eventing\n", "EMA_Series fast = new(close,12); // fast gets data from slow (via eventing)\n", diff --git a/docs/ma-comparison.dib b/docs/ma-comparison.dib deleted file mode 100644 index 21dfd75a..00000000 --- a/docs/ma-comparison.dib +++ /dev/null @@ -1,244 +0,0 @@ -#!csharp - -#r "nuget: Plotly.NET, 2.0.0-preview.18 " -#r "nuget: Plotly.NET.Interactive, 2.0.0-preview.18 " -#r "nuget: QuanTAlib" - -using Plotly.NET; -using Plotly.NET.LayoutObjects; -using QuanTAlib; - -List x = new() {1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46,47,48,49,50,51,52,53,54,55,56,57,58,59,60,61,62,63,64,65,66,67,68,69,70,71,72,73,74,75,76,77,78,79,80,81,82,83,84,85,86,87,88,89,90,91,92,93,94,95,96}; -List Spike = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0}; -List Impulse = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1}; -List Triangle = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2}; -List Sawtooth = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0}; -List Sine = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.39,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74}; -List Chirp = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97}; -List White = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0.03,-0.4,-0.47,0.19,-0.4,-0.23,0.31,0.41,0.19,0.16,-0.5,-0.31,-0.21,0.25,0.18,-0.48,-0.1,0.38,0.29,-0.38,-0.08,-0.21,0.34,0.01,-0.46,0.28,-0.48,0.11,0.02,-0.37,0.19,-0.2,0.1,0.24,0.08,-0.22,-0.12,0.15,0.36,-0.43,-0.03,-0.32,0.45,-0.5,-0.04,-0.04,-0.08,-0.18,0.13,-0.33,-0.19,0.36,-0.39,0.2,-0.31,0.28,-0.13,-0.07,-0.29,0.37,0.03,-0.25,-0.06,-0.3,-0.08,-0.09}; -List Gauss = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61}; -List B = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06}; -List HF = new() {-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86}; -List ImpulseHF = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71}; -List SawtoothHF = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3}; -List SineG = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35}; -List ChirpG = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58}; -List Complex = new() {175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83}; -List Market = new() {68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,67.75,67.75,72.75,74.75,72.25,71.25,71.75,72.75,77.75,76,76,76,74.75,75.5,74.75,73.75,74,74.75,72.25,72.5,72.25,74.5,74.75,75.75,75.75,75.75,74.25,73.75,74.75,72,71.75,72.5,72.25,71,72,71.75,71.75,73.25,72.5,73.75,74,76.75,75.75,75,75.75,74.5,74.25,73.5,71.75,70.5,69,70.5,70,68.75,67.25,68.5,70.75,70,70.5,68.25,68.25,68.25,63.75,64.25}; - -#!csharp - -TSeries data = new(); - -// change these two values - the period and the type of observed indicator -// currently available indicators are: DEMA_Series, EMA_Series, HEMA_Series, HMA_Series, JMA_Series, RMA_Series, SMA_Series, TEMA_Series, WMA_Series and ZLEMA_Series -int Period = 20; -HMA_Series indicator=new(source: data, period: Period); - -//On charts below, blue line is the data input, the green line is a JMA reference - -#!csharp - -var series = Spike; -ZLEMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Spike"); -chart - -#!csharp - -var series = Impulse; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Impulse"); -chart - -#!csharp - -var series = Triangle; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x, series, false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Triangle"); -chart - -#!csharp - -var series = Sawtooth; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Sawtooth"); -chart - -#!csharp - -var series = Sine; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Sine"); -chart - -#!csharp - -var series = Chirp; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Chirp"); -chart - -#!csharp - -var series = White; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("White"); -chart - -#!csharp - -var series = Gauss; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Gauss"); -chart - -#!csharp - -var series = B; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("B"); -chart - -#!csharp - -var series = HF; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("HF"); -chart - -#!csharp - -var series = ImpulseHF; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("ImpulseHF"); -chart - -#!csharp - -var series = SawtoothHF; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("SawtoothHF"); -chart - -#!csharp - -var series = SineG; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("SineG"); -chart - -#!csharp - -var series = ChirpG; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("ChirpG"); -chart - -#!csharp - -var series = Complex; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Complex"); -chart - -#!csharp - -var series = Market; -data = new(); -indicator=new(source: data, period: Period); -JMA_Series reference = new(source: data, period: Period); -for (int i=0; i(x,series,false,"data").WithLineStyle(Width: 1.0, Color: Color.fromString("blue")); -GenericChart.GenericChart ch2 = Chart2D.Chart.Line(x,indicator.v,false,"sig").WithLineStyle(Width: 2, Color: Color.fromString("red")); -GenericChart.GenericChart ch3 = Chart2D.Chart.Line(x,reference.v,false,"ref").WithLineStyle(Width: 1.5, Color: Color.fromString("green")); -var chart = Chart.Combine(new []{ch1,ch2,ch3}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle("Maket"); -chart diff --git a/docs/macd_example.ipynb b/docs/macd_example.ipynb deleted file mode 100644 index 04a4d6ff..00000000 --- a/docs/macd_example.ipynb +++ /dev/null @@ -1,190 +0,0 @@ -{ - "cells": [ - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
Installed Packages
  • Plotly.NET, 2.0.0
  • Plotly.NET.Interactive, 2.0.0
  • QuanTAlib, 0.1.13
" - ] - }, - "metadata": {}, - "output_type": "display_data" - }, - { - "data": { - "text/markdown": [ - "Loading extensions from `Plotly.NET.Interactive.dll`" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "// This is .NET Interactive Notebook. It can run in VS.Code with .NET interactive extension installed\n", - "\n", - "#r \"nuget: Plotly.NET, 2.0.0\"\n", - "#r \"nuget: Plotly.NET.Interactive, 2.0.0\"\n", - "#r \"nuget: QuanTAlib\"\n", - "\n", - "using Plotly.NET;\n", - "using Plotly.NET.LayoutObjects;\n", - "using QuanTAlib;" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
380
" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "// defining the MACD model through clasess that connect to each other with Events\n", - "\n", - "RND_Feed tsla = new(380);\n", - "TSeries close = tsla.Close; // close will get data from YAHOO tsla feed\n", - "EMA_Series slow = new(close,26); // slow gets data from slow through pub-sub eventing\n", - "EMA_Series fast = new(close,12); // fast gets data from slow (via eventing)\n", - "SUB_Series macd = new(fast,slow); // macd is a SUBtraction of fast-slow\n", - "EMA_Series signal = new(macd,9); // signal is EMA of macd\n", - "SUB_Series histogram = new(macd, signal); // histogran is SUBtraction macd-signal\n", - "\n", - "slow.Count" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
indexvalue
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100.11
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101.38
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101.09
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100.31
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97.19
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96.13
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93.34
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91.46
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91.65
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91.63
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90.39
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(360 more)
" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "tsla.Open.v" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "dotnet-interactive.csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "\r\n", - "
\r\n", - "
\r\n", - "\r\n", - "\r\n", - " \r\n", - "
(tsla.Open.v, tsla.High.v, tsla.Low.v, tsla.Close.v, tsla.Open.t, \"candles\");\n", - "var ch1 = Chart2D.Chart.Line(macd.t,macd.v,false,\"macd\").WithLineStyle(Width: 2, Color: Color.fromString(\"red\"));\n", - "var ch2 = Chart2D.Chart.Line(signal.t,signal.v,false,\"signal\").WithLineStyle(Width: 1.5, Color: Color.fromString(\"green\"));\n", - "//GenericChart.GenericChart hist = Chart2D.Chart.Column(histogram.t,histogram.v).WithLineStyle(Width: 1.5, Color: Color.fromString(\"green\"));\n", - "\n", - "var chart = Chart.Combine(new []{candles,ch1,ch2}).WithSize(1200,400).WithMargin(Margin.init(1,1,60,1,1,false)).WithTitle(\"MACD using EMA\");\n", - "\n", - "chart" - ] - } - ], - "metadata": { - "kernelspec": { - "display_name": ".NET (C#)", - "language": "C#", - "name": ".net-csharp" - }, - "language_info": { - "file_extension": ".cs", - "mimetype": "text/x-csharp", - "name": "C#", - "pygments_lexer": "csharp", - "version": "9.0" - }, - "orig_nbformat": 4 - }, - "nbformat": 4, - "nbformat_minor": 2 -} diff --git a/docs/readme.md b/docs/readme.md index 95dd5319..bac062ff 100644 --- a/docs/readme.md +++ b/docs/readme.md @@ -14,20 +14,180 @@ Quantitative TA Library (**QuanTAlib**) is an easy-to-use C# library for quantitative technical analysis with base algorithms, charts, signals and strategies useful for trading securities with [Quantower](https://www.quantower.com/) and other C#-based trading platforms. -**QuanTAlib** is written with some specific design criteria in mind - this is a list of reasons why there is '_yet another C# TA library_': +**QuanTAlib** is written with some specific design criteria in mind - some reasons why there is '_yet another C# TA library_': - Written in native C# - no code conversion from TA-LIB or other imported/converted TA libraries -- No usage of Decimal datatypes, LINQ, interface abstractions, or static classes (all for performance reasons) +- No usage of Decimal datatypes, LINQ, interface abstractions, or static classes with tons of methods (all for performance reasons) - Supports both **historical data analysis** (working on bulk of historical arrays) and **real-time analysis** (adding one data item at the time without the need to re-calculate the whole history) -- Separation of calculations (**algos**) and visualizations (**charts**) -- Handle early data right - no hiding of poor calculations with NaN values (unless explicitly requested), data is as valid as mathematically possible from the first value -- Preservation of time-value integrity of each data throughout the calculation chain (each data point has a timestamp) -- Usage of events - each data series is an event publisher, each indicator is a subscriber - this allows seamless data flow between indicators without the need of plumbing (see [MACD example](https://github.com/mihakralj/QuanTAlib/blob/main/docs/macd_example.ipynb) to understand how events allow chaining of indicators) +- Calculate early data right - no hiding of incomplete calculations with NaN values (unless explicitly requested with useNan: true), data is as valid as mathematically possible from the first value +- Usage of events - each data series is an event publisher, each indicator is a subscriber - this allows seamless data flow between indicators) +- Seamlessly integrates with **Polyglot notebooks** (.NET Interactive) and used in Jupyter notebooks - see the examples and documentation. -QuanTAlib does not provide OHLCV quotes - but it can easily connect to any data feeds. There are some data feed classess -available (**RND_Feed** for random OHLCV, **YAHOO_Feed** for Yahoo Finance daily stock data) +QuanTAlib does not focus on sources of OHLCV quotes. There are some basic data feeds available to use in learning and strategy exploration: `RND_Feed` and `GBM_Feed` for random data feed, `Yahoo_Feed` and `Alphavantage_Feed` for quick grab of basic daily data of US stock market. -See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/getting_started.ipynb) .NET interactive notebook to get a feel how library works. Developers can use QuanTAlib in .NET interactive or in console apps, but the best -usage of the library is withing C#-enabled trading platforms - see **QuanTower_Charts** folder for Quantower examples. +See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/getting_started.ipynb) .NET interactive notebook to get a feel how library works. Developers can use QuanTAlib in .NET interactive or in console apps, but the best usage of the library is withing C#-enabled trading platforms - see **QuanTower_Charts** folder for Quantower examples. -[**List of available and planned indicators**](https://github.com/mihakralj/QuanTAlib/blob/main/docs/coverage.md). **So. Much. To. Do...** +# Coverage + +⭐= Calculation is validated against other TA libraries + +✔️= Calculation exists but has no cross-validation tests + +⛔= Not implemented (yet) + +| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | +|--|:--:|:--:|:--:| +| ✔️ OC2 - (Open+Close)/2 |️ `.OC2` || ️`GetBaseQuote` | +| ⭐ HL2 - Median Price | `.HL2` | `MEDPRICE` | ️`GetBaseQuote` | +| ⭐ HLC3 - Typical Price | `.HLC3` | `TYPPRICE` || +| ✔️ OHL3 - (Open+High+Low)/3 | `.OHL3` ||| +| ⭐ OHLC4 - Average Price | `.OHLC4` | `AVGPRICE` |️ `GetBaseQuote` | +| ⭐ HLCC4 - Weighted Price | `.HLCC4` | `WCLPRICE` || +| ✔️ ZL - De-lagged price (Zero-Lag) | `ZL_Series` ||| +| ⭐ MAX - Max value | `MAX_Series` | `MAX` || +| ⛔ MID - Midpoint value || `MIDPOINT` || +| ⛔ MIDP - Midpoint price || `MIDPRICE` || +| ⭐ MIN - Min value | `MIN_Series` | `MIN` || +| ⭐ ADD - Addition | `ADD_Series` | `ADD` || +| ⭐ SUB - Subtraction | `SUB_Series` | `SUB` || +| ⭐ MUL - Multiplication | `MUL_Series` | `MUL` || +| ⭐ DIV - Division | `DIV_Series` | `DIV` || +||||| +| **STATISTICS & NUMERICAL ANALYSIS** | **QuanTAlib** | **TA-LIB** | **Skender** | +| ✔️ BIAS - Bias | BIAS_Series ||| +| ⛔ CORREL - Pearson's Correlation Coefficient || CORREL | GetCorrelation | +| ⛔ COVAR - Covariance ||| GetCorrelation | +| ✔️ ENTP - Entropy | ENTP_Series ||| +| ✔️ KURT - Kurtosis | KURT_Series ||| +| ⭐ LINREG - Linear Regression | LINREG_Series || GetSlope | +| ⭐ MAD - Mean Absolute Deviation | MAD_Series || GetSma | +| ⭐ MAPE - Mean Absolute Percent Error | MAPE_Series || GetSma | +| ✔️ MED - Median value | MED_Series ||| +| ✔️ MSE - Mean Squared Error | MSE_Series || GetSma | +| ⛔ SKEW - Skewness |||| +| ⭐ SDEV - Standard Deviation (Volatility) | SDEV_Series ||| +| ✔️ SSDEV - Sample Standard Deviation | SSDEV_Series ||| +| ✔️ SMAPE - Symmetric Mean Absolute Percent Error | SMAPE_Series ||| +| ✔️ VAR - Population Variance | VAR_Series ||| +| ✔️ SVAR - Sample Variance | SVAR_Series ||| +| ⛔ QUANT - Quantile |||| +| ✔️ WMAPE - Weighted Mean Absolute Percent Error | WMAPE_Series ||| +| ⛔ ZSCORE - Number of standard deviations from mean |||| +||||| +| **TREND INDICATORS & AVERAGES** | **QuanTAlib** | **TA-LIB** | **Skender** | +| ⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average |||| +| ⭐ ALMA - Arnaud Legoux Moving Average | ALMA_Series || GetAlma | +| ⛔ ARIMA - Autoregressive Integrated Moving Average |||| +| ⭐ DEMA - Double EMA Average | DEMA_Series | DEMA | GetDema | +| ⭐ EMA - Exponential Moving Average | EMA_Series || GetEma | +| ⛔ EPMA - Endpoint Moving Average ||| GetEpma | +| ⛔ FWMA - Fibonacci's Weighted Moving Average |||| +| ✔️ HEMA - Hull/EMA Average | HEMA_Series ||| +| ⛔ Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline | +| ⭐ HMA - Hull Moving Average | HMA_Series || GetHma | +| ⛔ HWMA - Holt-Winter Moving Average |||| +| ✔️ JMA - Jurik Moving Average | JMA_Series ||| +| ⭐ KAMA - Kaufman's Adaptive Moving Average | KAMA_Series | KAMA | GetKama | +| ⛔ LSMA - Least Squares Moving Average |||| +| ⭐ MACD - Moving Average Convergence/Divergence | MACD_Series | MACD | GetMacd | +| ⛔ MAMA - MESA Adaptive Moving Average || MAMA | GetMama | +| ⛔ MMA - Modified Moving Average |||| +| ⛔ PPMA - Pivot Point Moving Average |||| +| ⛔ PWMA - Pascal's Weighted Moving Average |||| +| ✔️ RMA - WildeR's Moving Average | RMA__Series ||| +| ⛔ SINWMA - Sine Weighted Moving Average |||| +| ⭐ SMA - Simple Moving Average | SMA_Series ||| +| ⭐ SMMA - Smoothed Moving Average | SMMA_Series ||| +| ⛔ SSF - Ehler's Super Smoother Filter |||| +| ⛔ SUP - Supertrend |||| +| ⛔ SWMA - Symmetric Weighted Moving Average |||| +| ⛔ T3 - Tillson T3 Moving Average |||| +| ⭐ TEMA - Triple EMA Average | TEMA_Series ||| +| ⛔ TRIMA - Triangular Moving Average |||| +| ⛔ VIDYA - Variable Index Dynamic Average |||| +| ⭐ WMA - Weighted Moving Average | WMA_Series ||| +| ✔️ ZLEMA - Zero Lag EMA Average | ZLEMA_Series ||| +||||| +| **VOLATILITY INDICATORS** | **QuanTAlib** | **TA-LIB** | **Skender** | +| ⭐ ADL - Chaikin Accumulation Distribution Line | ADL_Series | AD | GetAdl | +| ⭐ ADOSC - Chaikin Accumulation Distribution Oscillator | ADOSC_Series | ADOSC| GetAdl | +| ⭐ ATR - Average True Range | ATR_Series | ATR | GetAtr | +| ⭐ ATRP - Average True Range Percent | ATRP_Series || GetAtr | +| ✔️ BETA - Beta coefficient || BETA | GetBeta | +| ⭐ BBANDS - Bollinger Bands® | BBANDS_Series | BBANDS | GetBollingerBands | +| ⛔ CRSI - Connor RSI ||| GetConnorsRsi | +| ⛔ DON - Donchian Channels ||| GetDonchian | +| ⛔ FCB - Fractal Chaos Bands ||| GetFcb | +| ⛔ HV - Historical Volatility |||| +| ⛔ ICH - Ichimoku ||| GetIchimoku | +| ⛔ KEL - Keltner Channels ||| GetKeltner | +| ⛔ NATR - Normalized Average True Range || NATR | GetAtr | +| ⭐ RSI - Relative Strength Index | RSI_Series || +| ⛔ SAR - Parabolic Stop and Reverse || SAR | GetParabolicSar | +| ⛔ SRSI - Stochastic RSI |||| +| ⛔ STARC - Starc Bands |||| +| ⭐ TR - True Range | TR_Series ||| +| ⛔ UI - Ulcer Index |||| +| ⛔ VSTOP - Volatility Stop |||| +||||| +| **MOMENTUM INDICATORS & OSCILLATORS** | **QuanTAlib** | **TA-LIB** | **Skender** | +| ⛔ AC - Acceleration Oscillator |||| +| ⛔ ADX - Average Directional Movement Index || ADX | GetAdx | +| ⛔ ADXR - Average Directional Movement Index Rating || ADXR | GetAdx | +| ⛔ AO - Awesome Oscillator ||| GetAwesome | +| ⛔ APO - Absolute Price Oscillator || APO || +| ⛔ AROON - Aroon oscillator || AROON | GetAroon | +| ⛔ BOP - Balance of Power || BOP | GetBop | +| ⭐ CCI - Commodity Channel Index | CCI_Series | CCI | GetCci | +| ⛔ CFO - Chande Forcast Oscillator |||| +| ⛔ CMF - Chaikin Money Flow |||| +| ⛔ CMO - Chande Momentum Oscillator || CMO | GetCmo | +| ⛔ COG - Center of Gravity |||| +| ⛔ CTI - Ehler's Correlation Trend Indicator |||| +| ⛔ DPO - Detrended Price Oscillator ||| GetDpo | +| ⛔ DMI - Directional Movement Index || DX | GetAdx | +| ⛔ EFI - Elder Ray's Force Index ||| GetElderRay | +| ⛔ GAT - Alligator oscillator ||| GetGator | +| ⛔ HURST - Hurst Exponent ||| GetHurst | +| ⛔ KRI - Kairi Relative Index |||| +| ⛔ KVO - Klinger Volume Oscillator |||| +| ⛔ MFI - Money Flow Index || MFI | GetMfi | +| ⛔ ROC - Rate of Change (Momentum) || MOM | GetRoc | +| ⛔ NVI - Negative Volume Index |||| +| ⛔ PO - Price Oscillator |||| +| ⛔ PPO - Percentage Price Oscillator || PPO || +| ⛔ PMO - Price Momentum Oscillator |||| +| ⛔ PVI - Positive Volume Index |||| +| ⛔ RVGI - Relative Vigor Index |||| +| ⛔ SMI - Stochastic Momentum Index |||| +| ⛔ STOCH - Stochastic Oscillator |||| +| ⛔ TRIX - 1-day ROC of TEMA |||| +| ⛔ TSI - True Strength Index |||| +| ⛔ UO - Ultimate Oscillator |||| +| ⛔ WGAT - Williams Alligator |||| +||||| +| **VOLUME INDICATORS** | **QuanTAlib** | **TA-LIB** | **Skender** | +| ⛔ AOBV - Archer On-Balance Volume |||| +| ⛔ OBV - On-Balance Volume || OBV | GetObv | +| ⛔ PRS - Price Relative Strength ||| +| ⛔ PVOL - Price-Volume |||| +| ⛔ PVO - Percentage Volume Oscillator |||| +| ⛔ PVR - Price Volume Rank |||| +| ⛔ PVT - Price Volume Trend |||| +| ⛔ VP - Volume Profile |||| +| ⛔ VWAP - Volume Weighted Average Price |||| +| ⛔ VWMA - Volume Weighted Moving Average |||| +||||| +|**Unsorted** | **QuanTAlib** | **TA-LIB** | **Skender** | +| ⛔ CHN - Price Channel |||| +| ⛔ COPPOCK - Coppock Curve |||| +| ⛔ EOM - Ease of Movement |||| +| ⛔ HILO - Gann High-Low Activator |||| +| ⛔ HT - HT Trendline |||| +| ⛔ MCGD - McGinley Dynamic |||| +| ⛔ STC - Schaff Trend Cycle |||| +| ⛔ WILLR - Larry Williams' %R |||| +| ⛔ VOR - Vortex Indicator |||| +| ⛔ PVT - Pivot Points |||| +| ⛔ KDJ - KDJ Index |||| +| ⛔ CHAND - Chandelier Exit ||||