mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 04:58:08 +00:00
clean code fixes
This commit is contained in:
+145
-156
@@ -1,162 +1,151 @@
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using System;
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namespace QuanTAlib;
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namespace QuanTAlib
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public class Afirma : AbstractBase
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{
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public class Afirma : AbstractBase
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public enum WindowType
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{
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public enum WindowType
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{
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Rectangular,
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Hanning1,
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Hanning2,
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Blackman,
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BlackmanHarris
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}
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private readonly int Periods;
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private readonly int Taps;
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private readonly WindowType Window;
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private readonly CircularBuffer _buffer;
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private readonly double[] _weights;
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private readonly double _wsum;
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private readonly double[] _armaBuffer;
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private readonly int _n;
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private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;
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public Afirma(int periods, int taps, WindowType window)
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{
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if (periods < 1)
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{
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throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
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}
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if (taps < 1)
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{
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throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
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}
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Periods = periods;
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Taps = taps;
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Window = window;
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WarmupPeriod = taps;
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_buffer = new CircularBuffer(taps);
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_weights = new double[taps];
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_wsum = CalculateWeights();
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_armaBuffer = new double[taps];
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_n = (Taps - 1) / 2;
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// Calculate least squares coefficients in the constructor
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_sx2 = (2 * _n + 1) / 3.0;
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_sx3 = _n * (_n + 1) / 2.0;
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_sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
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_sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
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_sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
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_den = _sx6 * _sx4 / _sx5 - _sx5;
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Name = "Afirma";
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Init();
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}
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public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Input.Value;
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_index++;
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}
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}
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protected override double Calculation()
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{
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ManageState(IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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if (_index >= Taps)
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{
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double a0 = _buffer[_n];
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double a1 = _buffer[_n] - _buffer[_n + 1];
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double sx2y = 0.0;
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double sx3y = 0.0;
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for (int i = 0; i <= _n; i++)
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{
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sx2y += i * i * _buffer[_n - i];
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sx3y += i * i * i * _buffer[_n - i];
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}
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sx2y = 2.0 * sx2y / _n / (_n + 1);
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sx3y = 2.0 * sx3y / _n / (_n + 1);
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double p = sx2y - a0 * _sx2 - a1 * _sx3;
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double q = sx3y - a0 * _sx3 - a1 * _sx4;
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double a2 = (p * _sx6 / _sx5 - q) / _den;
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double a3 = (q * _sx4 / _sx5 - p) / _den;
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for (int k = 0; k <= _n; k++)
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{
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_armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
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}
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}
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double result = 0.0;
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for (int k = 0; k < Taps; k++)
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{
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result += _buffer[k] * _weights[k] / _wsum;
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}
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IsHot = _index >= WarmupPeriod;
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return result;
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}
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private double CalculateWeights()
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{
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double wsum = 0.0;
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double centerTap = (Taps - 1) / 2.0;
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for (int k = 0; k < Taps; k++)
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{
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double windowWeight;
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switch (Window)
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{
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case WindowType.Rectangular:
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windowWeight = 1.0;
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break;
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case WindowType.Hanning1:
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windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
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break;
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case WindowType.Hanning2:
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windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
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break;
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case WindowType.Blackman:
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windowWeight = 0.42 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.08 * Math.Cos(4.0 * Math.PI * k / (Taps - 1));
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break;
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case WindowType.BlackmanHarris:
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windowWeight = 0.35875 - 0.48829 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.14128 * Math.Cos(4.0 * Math.PI * k / (Taps - 1)) - 0.01168 * Math.Cos(6.0 * Math.PI * k / (Taps - 1));
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break;
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default:
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windowWeight = 1.0;
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break;
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}
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double sincWeight;
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if (Math.Abs(k - centerTap) < 1e-10)
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{
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sincWeight = 1.0;
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}
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else
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{
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sincWeight = Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
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}
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_weights[k] = windowWeight * sincWeight;
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wsum += _weights[k];
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}
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return wsum;
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}
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Rectangular,
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Hanning1,
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Hanning2,
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Blackman,
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BlackmanHarris
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}
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private readonly int Periods;
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private readonly int Taps;
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private readonly WindowType Window;
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private readonly CircularBuffer _buffer;
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private readonly double[] _weights;
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private readonly double _wsum;
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private readonly double[] _armaBuffer;
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private readonly int _n;
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private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;
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public Afirma(int periods, int taps, WindowType window)
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{
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if (periods < 1)
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{
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throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
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}
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if (taps < 1)
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{
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throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
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}
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Periods = periods;
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Taps = taps;
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Window = window;
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WarmupPeriod = taps;
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_buffer = new CircularBuffer(taps);
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_weights = new double[taps];
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_wsum = CalculateWeights();
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_armaBuffer = new double[taps];
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_n = (Taps - 1) / 2;
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// Calculate least squares coefficients in the constructor
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_sx2 = (2 * _n + 1) / 3.0;
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_sx3 = _n * (_n + 1) / 2.0;
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_sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
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_sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
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_sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
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_den = _sx6 * _sx4 / _sx5 - _sx5;
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Name = "Afirma";
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Init();
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}
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public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Input.Value;
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_index++;
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}
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}
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protected override double Calculation()
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{
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ManageState(IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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if (_index >= Taps)
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{
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double a0 = _buffer[_n];
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double a1 = _buffer[_n] - _buffer[_n + 1];
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double sx2y = 0.0;
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double sx3y = 0.0;
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for (int i = 0; i <= _n; i++)
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{
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sx2y += i * i * _buffer[_n - i];
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sx3y += i * i * i * _buffer[_n - i];
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}
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sx2y = 2.0 * sx2y / _n / (_n + 1);
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sx3y = 2.0 * sx3y / _n / (_n + 1);
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double p = sx2y - a0 * _sx2 - a1 * _sx3;
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double q = sx3y - a0 * _sx3 - a1 * _sx4;
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double a2 = (p * _sx6 / _sx5 - q) / _den;
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double a3 = (q * _sx4 / _sx5 - p) / _den;
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for (int k = 0; k <= _n; k++)
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{
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_armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
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}
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}
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double result = 0.0;
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for (int k = 0; k < Taps; k++)
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{
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result += _buffer[k] * _weights[k] / _wsum;
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}
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IsHot = _index >= WarmupPeriod;
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return result;
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}
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private double CalculateWeights()
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{
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double wsum = 0.0;
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double centerTap = (Taps - 1) / 2.0;
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for (int k = 0; k < Taps; k++)
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{
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double windowWeight;
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switch (Window)
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{
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case WindowType.Rectangular:
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windowWeight = 1.0;
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break;
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case WindowType.Hanning1:
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windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
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break;
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case WindowType.Hanning2:
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windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
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break;
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case WindowType.Blackman:
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windowWeight = 0.42 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.08 * Math.Cos(4.0 * Math.PI * k / (Taps - 1));
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break;
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case WindowType.BlackmanHarris:
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windowWeight = 0.35875 - 0.48829 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.14128 * Math.Cos(4.0 * Math.PI * k / (Taps - 1)) - 0.01168 * Math.Cos(6.0 * Math.PI * k / (Taps - 1));
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break;
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default:
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windowWeight = 1.0;
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break;
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}
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double sincWeight;
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sincWeight = Math.Abs(k - centerTap) < 1e-10 ? 1.0 : Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
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_weights[k] = windowWeight * sincWeight;
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wsum += _weights[k];
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}
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return wsum;
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}
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}
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@@ -25,7 +25,7 @@ public class Alma : AbstractBase
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/// <param name="offset">Controls the smoothness and high-frequency filtering. Default is 0.85.</param>
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/// <param name="sigma">Controls the shape of the Gaussian distribution. Default is 6.</param>
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/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
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public Alma(int period, double offset = 0.85, double sigma = 6) : base()
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public Alma(int period, double offset = 0.85, double sigma = 6)
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{
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if (period < 1)
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{
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@@ -4,8 +4,8 @@ public class Convolution : AbstractBase
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{
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private readonly double[] _kernel;
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private readonly int _kernelSize;
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private CircularBuffer _buffer;
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private double[] _normalizedKernel;
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private readonly CircularBuffer _buffer;
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private readonly double[] _normalizedKernel;
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public Convolution(double[] kernel)
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{
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@@ -28,7 +28,7 @@ public class Dema : AbstractBase
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private double _lastEma2, _p_lastEma2;
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private double _k, _e, _p_e;
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public Dema(int period) : base()
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public Dema(int period)
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{
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if (period < 1)
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{
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+6
-4
@@ -27,10 +27,12 @@ public class Ema : AbstractBase
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private readonly int _period;
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private CircularBuffer _sma;
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private double _lastEma, _p_lastEma;
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private double _k, _e, _p_e;
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private bool _isInit, _p_isInit, _useSma;
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private double _e, _p_e;
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private readonly double _k;
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private bool _isInit, _p_isInit;
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private readonly bool _useSma;
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public Ema(int period, bool useSma = true) : base()
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public Ema(int period, bool useSma = true)
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{
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if (period < 1)
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{
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@@ -45,7 +47,7 @@ public class Ema : AbstractBase
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Init();
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}
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public Ema(double alpha) : base()
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public Ema(double alpha)
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{
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_k = alpha;
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_useSma = false;
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+75
-76
@@ -1,99 +1,98 @@
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using System;
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namespace QuanTAlib
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namespace QuanTAlib;
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public class Frama : AbstractBase
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{
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public class Frama : AbstractBase
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private readonly int _period;
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private readonly double _fc;
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private readonly CircularBuffer _buffer;
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private double _lastFrama;
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private double _prevLastFrama;
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public Frama(int period, double fc = 0.5)
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{
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private readonly int _period;
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private readonly double _fc;
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private CircularBuffer _buffer;
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private double _lastFrama;
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private double _prevLastFrama;
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if (period < 2)
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throw new ArgumentException("Period must be at least 2", nameof(period));
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public Frama(int period, double fc = 0.5) : base()
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_period = period;
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_fc = fc;
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_buffer = new CircularBuffer(period);
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WarmupPeriod = period;
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}
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public override void Init()
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{
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base.Init();
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_buffer.Clear();
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_lastFrama = 0;
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_prevLastFrama = 0;
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}
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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if (period < 2)
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throw new ArgumentException("Period must be at least 2", nameof(period));
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_prevLastFrama = _lastFrama;
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_index++;
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}
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else
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{
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_lastFrama = _prevLastFrama;
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}
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}
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_period = period;
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_fc = fc;
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_buffer = new CircularBuffer(period);
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WarmupPeriod = period;
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protected override double Calculation()
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{
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ManageState(Input.IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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if (_buffer.Count < _period)
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{
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_lastFrama = _buffer.Average();
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return _lastFrama;
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}
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public override void Init()
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{
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base.Init();
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_buffer.Clear();
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_lastFrama = 0;
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_prevLastFrama = 0;
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}
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int half = _period / 2;
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double hh = double.MinValue, ll = double.MaxValue;
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double hh1 = double.MinValue, ll1 = double.MaxValue;
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double hh2 = double.MinValue, ll2 = double.MaxValue;
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protected override void ManageState(bool isNew)
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for (int i = 0; i < _period; i++)
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{
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if (isNew)
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double price = _buffer[i];
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hh = Math.Max(hh, price);
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ll = Math.Min(ll, price);
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if (i < half)
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{
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_prevLastFrama = _lastFrama;
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_index++;
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hh1 = Math.Max(hh1, price);
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ll1 = Math.Min(ll1, price);
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}
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else
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{
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_lastFrama = _prevLastFrama;
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hh2 = Math.Max(hh2, price);
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ll2 = Math.Min(ll2, price);
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}
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}
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protected override double Calculation()
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{
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ManageState(Input.IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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double n1 = (hh - ll) / _period;
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double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
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if (_buffer.Count < _period)
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{
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_lastFrama = _buffer.Average();
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return _lastFrama;
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}
|
||||
double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
|
||||
|
||||
int half = _period / 2;
|
||||
double hh = double.MinValue, ll = double.MaxValue;
|
||||
double hh1 = double.MinValue, ll1 = double.MaxValue;
|
||||
double hh2 = double.MinValue, ll2 = double.MaxValue;
|
||||
double alpha = Math.Exp(-4.6 * (d - 1));
|
||||
alpha = Math.Max(Math.Min(alpha, 1), 0.01); // Ensure alpha is between 0.01 and 1
|
||||
|
||||
for (int i = 0; i < _period; i++)
|
||||
{
|
||||
double price = _buffer[i];
|
||||
hh = Math.Max(hh, price);
|
||||
ll = Math.Min(ll, price);
|
||||
_lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
|
||||
|
||||
if (i < half)
|
||||
{
|
||||
hh1 = Math.Max(hh1, price);
|
||||
ll1 = Math.Min(ll1, price);
|
||||
}
|
||||
else
|
||||
{
|
||||
hh2 = Math.Max(hh2, price);
|
||||
ll2 = Math.Min(ll2, price);
|
||||
}
|
||||
}
|
||||
|
||||
double n1 = (hh - ll) / _period;
|
||||
double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
|
||||
|
||||
double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
|
||||
|
||||
double alpha = Math.Exp(-4.6 * (d - 1));
|
||||
alpha = Math.Max(Math.Min(alpha, 1), 0.01); // Ensure alpha is between 0.01 and 1
|
||||
|
||||
_lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
|
||||
|
||||
IsHot = _index >= WarmupPeriod;
|
||||
return _lastFrama;
|
||||
}
|
||||
|
||||
protected override double GetLastValid()
|
||||
{
|
||||
return _lastFrama;
|
||||
}
|
||||
IsHot = _index >= WarmupPeriod;
|
||||
return _lastFrama;
|
||||
}
|
||||
}
|
||||
|
||||
protected override double GetLastValid()
|
||||
{
|
||||
return _lastFrama;
|
||||
}
|
||||
}
|
||||
|
||||
@@ -1,7 +1,7 @@
|
||||
//not working yet
|
||||
//TODO consistency test
|
||||
|
||||
using QuanTAlib;
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class Htit : AbstractBase
|
||||
{
|
||||
@@ -21,7 +21,7 @@ public class Htit : AbstractBase
|
||||
private double _lastPd = 0;
|
||||
private double _p_lastPd = 0;
|
||||
|
||||
public Htit() : base()
|
||||
public Htit()
|
||||
{
|
||||
Name = "Htit";
|
||||
WarmupPeriod = 12;
|
||||
@@ -138,9 +138,7 @@ public class Htit : AbstractBase
|
||||
{
|
||||
return ((4 * _itBuffer[0]) + (3 * _itBuffer[1]) + (2 * _itBuffer[2]) + _itBuffer[3]) / 10;
|
||||
}
|
||||
else
|
||||
{
|
||||
return pr;
|
||||
}
|
||||
|
||||
return pr;
|
||||
}
|
||||
}
|
||||
@@ -15,7 +15,7 @@ public class Hwma : AbstractBase
|
||||
{
|
||||
}
|
||||
|
||||
public Hwma(int period, double nA, double nB, double nC) : base()
|
||||
public Hwma(int period, double nA, double nB, double nC)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
|
||||
+6
-6
@@ -1,20 +1,20 @@
|
||||
using QuanTAlib;
|
||||
namespace QuanTAlib;
|
||||
//TODO consistency test
|
||||
public class Jma : AbstractBase
|
||||
{
|
||||
public readonly int Period;
|
||||
private readonly double _phase;
|
||||
private readonly int _vshort, _vlong;
|
||||
private CircularBuffer _values;
|
||||
private CircularBuffer _voltyShort;
|
||||
private CircularBuffer _vsumBuff;
|
||||
private CircularBuffer _avoltyBuff;
|
||||
private readonly CircularBuffer _values;
|
||||
private readonly CircularBuffer _voltyShort;
|
||||
private readonly CircularBuffer _vsumBuff;
|
||||
private readonly CircularBuffer _avoltyBuff;
|
||||
|
||||
private double _beta, _len1, _pow1;
|
||||
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
||||
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
|
||||
|
||||
public Jma(int period, double phase = 0, int vshort = 10) : base()
|
||||
public Jma(int period, double phase = 0, int vshort = 10)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
|
||||
@@ -1,5 +1,3 @@
|
||||
using System;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class Kama : AbstractBase
|
||||
@@ -9,7 +7,7 @@ public class Kama : AbstractBase
|
||||
private CircularBuffer? _buffer;
|
||||
private double _lastKama, _p_lastKama;
|
||||
|
||||
public Kama(int period, int fast = 2, int slow = 30) : base()
|
||||
public Kama(int period, int fast = 2, int slow = 30)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
|
||||
@@ -10,7 +10,7 @@ public class Ltma : AbstractBase
|
||||
|
||||
public double Gamma => _gamma;
|
||||
|
||||
public Ltma(double gamma = 0.1) : base()
|
||||
public Ltma(double gamma = 0.1)
|
||||
{
|
||||
if (gamma < 0 || gamma > 1)
|
||||
throw new ArgumentOutOfRangeException(nameof(gamma), "Gamma must be between 0 and 1.");
|
||||
|
||||
@@ -8,12 +8,13 @@ public class Maaf : AbstractBase
|
||||
{
|
||||
private readonly CircularBuffer _priceBuffer;
|
||||
private readonly CircularBuffer _smoothBuffer;
|
||||
private double _prevFilter, _prevValue2, _threshold;
|
||||
private double _prevFilter, _prevValue2;
|
||||
private readonly double _threshold;
|
||||
private double _p_prevFilter, _p_prevValue2;
|
||||
|
||||
private readonly int _period;
|
||||
|
||||
public Maaf(int Period = 39, double Threshold = 0.002) : base()
|
||||
public Maaf(int Period = 39, double Threshold = 0.002)
|
||||
{
|
||||
_period = Period;
|
||||
_threshold = Threshold;
|
||||
|
||||
@@ -1,17 +1,16 @@
|
||||
using QuanTAlib;
|
||||
using System;
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class Mama : AbstractBase
|
||||
{
|
||||
private readonly double _fastLimit, _slowLimit;
|
||||
private CircularBuffer _pr, _sm, _dt, _i1, _q1, _i2, _q2, _re, _im, _pd, _ph;
|
||||
private readonly CircularBuffer _pr, _sm, _dt, _i1, _q1, _i2, _q2, _re, _im, _pd, _ph;
|
||||
private double _mama, _fama;
|
||||
private double _prevMama, _prevFama, _sumPr;
|
||||
private double _p_prevMama, _p_prevFama, _p_sumPr;
|
||||
|
||||
public TValue Fama { get; private set; }
|
||||
|
||||
public Mama(double fastLimit = 0.5, double slowLimit = 0.05) : base()
|
||||
public Mama(double fastLimit = 0.5, double slowLimit = 0.05)
|
||||
{
|
||||
Fama = new TValue();
|
||||
Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
|
||||
|
||||
@@ -5,7 +5,7 @@ public class Mgdi : AbstractBase
|
||||
private readonly int _period;
|
||||
private readonly double _kFactor;
|
||||
private double _prevMd, _p_prevMd;
|
||||
public Mgdi(int period, double kFactor = 0.6) : base()
|
||||
public Mgdi(int period, double kFactor = 0.6)
|
||||
{
|
||||
if (period <= 0)
|
||||
{
|
||||
|
||||
+65
-69
@@ -1,78 +1,74 @@
|
||||
using System;
|
||||
using System.Linq;
|
||||
namespace QuanTAlib;
|
||||
|
||||
namespace QuanTAlib
|
||||
public class Mma : AbstractBase
|
||||
{
|
||||
public class Mma : AbstractBase
|
||||
private readonly int _period;
|
||||
private readonly CircularBuffer _buffer;
|
||||
private double _lastMma;
|
||||
|
||||
public Mma(int period)
|
||||
{
|
||||
private readonly int _period;
|
||||
private readonly CircularBuffer _buffer;
|
||||
private double _lastMma;
|
||||
|
||||
public Mma(int period) : base()
|
||||
if (period < 2)
|
||||
{
|
||||
if (period < 2)
|
||||
{
|
||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||
}
|
||||
_period = period;
|
||||
_buffer = new CircularBuffer(period);
|
||||
Name = "Mma";
|
||||
WarmupPeriod = period;
|
||||
Init();
|
||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||
}
|
||||
_period = period;
|
||||
_buffer = new CircularBuffer(period);
|
||||
Name = "Mma";
|
||||
WarmupPeriod = period;
|
||||
Init();
|
||||
}
|
||||
|
||||
public Mma(object source, int period) : this(period)
|
||||
public Mma(object source, int period) : this(period)
|
||||
{
|
||||
var pubEvent = source.GetType().GetEvent("Pub");
|
||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||
}
|
||||
|
||||
public override void Init()
|
||||
{
|
||||
base.Init();
|
||||
_lastMma = 0;
|
||||
_buffer.Clear();
|
||||
}
|
||||
|
||||
protected override void ManageState(bool isNew)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
var pubEvent = source.GetType().GetEvent("Pub");
|
||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||
}
|
||||
|
||||
public override void Init()
|
||||
{
|
||||
base.Init();
|
||||
_lastMma = 0;
|
||||
_buffer.Clear();
|
||||
}
|
||||
|
||||
protected override void ManageState(bool isNew)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_index++;
|
||||
}
|
||||
}
|
||||
|
||||
protected override double Calculation()
|
||||
{
|
||||
ManageState(Input.IsNew);
|
||||
_buffer.Add(Input.Value, Input.IsNew);
|
||||
|
||||
if (_index >= _period)
|
||||
{
|
||||
double T = _buffer.Sum();
|
||||
double S = CalculateWeightedSum();
|
||||
_lastMma = (T / _period) + (6 * S) / ((_period + 1) * _period);
|
||||
}
|
||||
else
|
||||
{
|
||||
// Use simple average until we have enough data points
|
||||
_lastMma = _buffer.Average();
|
||||
}
|
||||
|
||||
IsHot = _index >= _period;
|
||||
return _lastMma;
|
||||
}
|
||||
|
||||
private double CalculateWeightedSum()
|
||||
{
|
||||
double sum = 0;
|
||||
for (int i = 0; i < _period; i++)
|
||||
{
|
||||
double weight = (_period - (2 * i + 1)) / 2.0;
|
||||
sum += weight * _buffer[^(i + 1)];
|
||||
}
|
||||
return sum;
|
||||
_index++;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
protected override double Calculation()
|
||||
{
|
||||
ManageState(Input.IsNew);
|
||||
_buffer.Add(Input.Value, Input.IsNew);
|
||||
|
||||
if (_index >= _period)
|
||||
{
|
||||
double T = _buffer.Sum();
|
||||
double S = CalculateWeightedSum();
|
||||
_lastMma = (T / _period) + (6 * S) / ((_period + 1) * _period);
|
||||
}
|
||||
else
|
||||
{
|
||||
// Use simple average until we have enough data points
|
||||
_lastMma = _buffer.Average();
|
||||
}
|
||||
|
||||
IsHot = _index >= _period;
|
||||
return _lastMma;
|
||||
}
|
||||
|
||||
private double CalculateWeightedSum()
|
||||
{
|
||||
double sum = 0;
|
||||
for (int i = 0; i < _period; i++)
|
||||
{
|
||||
double weight = (_period - (2 * i + 1)) / 2.0;
|
||||
sum += weight * _buffer[^(i + 1)];
|
||||
}
|
||||
return sum;
|
||||
}
|
||||
}
|
||||
|
||||
@@ -6,7 +6,7 @@ public class Qema : AbstractBase
|
||||
private readonly Ema _ema1, _ema2, _ema3, _ema4;
|
||||
private double _lastQema, _p_lastQema;
|
||||
|
||||
public Qema(double k1=0.2, double k2=0.2, double k3=0.2, double k4=0.2) : base()
|
||||
public Qema(double k1=0.2, double k2=0.2, double k3=0.2, double k4=0.2)
|
||||
{
|
||||
if (k1 <= 0 || k2 <= 0 || k3 <= 0 || k4 <= 0 )
|
||||
{
|
||||
|
||||
@@ -12,7 +12,7 @@ public class Rema : AbstractBase
|
||||
public int Period => _period;
|
||||
public double Lambda => _lambda;
|
||||
|
||||
public Rema(int period, double lambda = 0.5) : base()
|
||||
public Rema(int period, double lambda = 0.5)
|
||||
{
|
||||
if (period < 1)
|
||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||
|
||||
+30
-15
@@ -1,16 +1,20 @@
|
||||
using System;
|
||||
using System.Runtime.CompilerServices;
|
||||
|
||||
namespace QuanTAlib {
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class Rma : AbstractBase {
|
||||
|
||||
public class Rma : AbstractBase
|
||||
{
|
||||
private readonly int _period;
|
||||
private double _alpha;
|
||||
private readonly double _alpha;
|
||||
private double _lastRMA;
|
||||
private double _savedLastRMA;
|
||||
|
||||
public Rma(int period) : base() {
|
||||
if (period < 1) {
|
||||
public Rma(int period)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be greater than or equal to 1.", nameof(period));
|
||||
}
|
||||
_period = period;
|
||||
@@ -20,38 +24,50 @@ public class Rma : AbstractBase {
|
||||
Init();
|
||||
}
|
||||
|
||||
public Rma(object source, int period) : this(period) {
|
||||
public Rma(object source, int period) : this(period)
|
||||
{
|
||||
var pubEvent = source.GetType().GetEvent("Pub");
|
||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||
}
|
||||
|
||||
public override void Init() {
|
||||
public override void Init()
|
||||
{
|
||||
base.Init();
|
||||
_lastRMA = 0;
|
||||
_savedLastRMA = 0;
|
||||
}
|
||||
|
||||
protected override void ManageState(bool isNew) {
|
||||
if (isNew) {
|
||||
protected override void ManageState(bool isNew)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_savedLastRMA = _lastRMA;
|
||||
_lastValidValue = Input.Value;
|
||||
_index++;
|
||||
} else {
|
||||
}
|
||||
else
|
||||
{
|
||||
_lastRMA = _savedLastRMA;
|
||||
}
|
||||
}
|
||||
|
||||
protected override double Calculation() {
|
||||
protected override double Calculation()
|
||||
{
|
||||
ManageState(Input.IsNew);
|
||||
|
||||
double rma;
|
||||
|
||||
if (_index == 1) {
|
||||
if (_index == 1)
|
||||
{
|
||||
rma = Input.Value;
|
||||
} else if (_index <= _period) {
|
||||
}
|
||||
else if (_index <= _period)
|
||||
{
|
||||
// Simple average during initial period
|
||||
rma = (_lastRMA * (_index - 1) + Input.Value) / _index;
|
||||
} else {
|
||||
}
|
||||
else
|
||||
{
|
||||
// Wilder's smoothing method
|
||||
rma = _alpha * (Input.Value - _lastRMA) + _lastRMA;
|
||||
}
|
||||
@@ -62,4 +78,3 @@ public class Rma : AbstractBase {
|
||||
return rma;
|
||||
}
|
||||
}
|
||||
}
|
||||
+1
-1
@@ -6,7 +6,7 @@ public class Sma : AbstractBase
|
||||
// inherited _value
|
||||
private readonly CircularBuffer _buffer;
|
||||
|
||||
public Sma(int period) : base()
|
||||
public Sma(int period)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
|
||||
@@ -8,7 +8,7 @@ public class Smma : AbstractBase
|
||||
private CircularBuffer? _buffer;
|
||||
private double _lastSmma, _p_lastSmma;
|
||||
|
||||
public Smma(int period) : base()
|
||||
public Smma(int period)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
|
||||
@@ -8,7 +8,7 @@ public class Tema : AbstractBase
|
||||
private double _lastEma3, _p_lastEma3;
|
||||
private double _k, _e, _p_e;
|
||||
|
||||
public Tema(int period) : base()
|
||||
public Tema(int period)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
@@ -58,7 +58,7 @@ public class Tema : AbstractBase
|
||||
{
|
||||
double result, _ema1, _ema2, _ema3;
|
||||
ManageState(Input.IsNew);
|
||||
|
||||
|
||||
_e = (_e > 1e-10) ? (1 - _k) * _e : 0;
|
||||
double _invE = (_e > 1e-10) ? 1 / (1 - _e) : 1;
|
||||
|
||||
|
||||
@@ -30,14 +30,7 @@ public class Trima : AbstractBase
|
||||
|
||||
for (int i = 0; i < period; i++)
|
||||
{
|
||||
if (i < halfPeriod)
|
||||
{
|
||||
kernel[i] = i + 1;
|
||||
}
|
||||
else
|
||||
{
|
||||
kernel[i] = period - i;
|
||||
}
|
||||
kernel[i] = i < halfPeriod ? i + 1 : period - i;
|
||||
weightSum += kernel[i];
|
||||
}
|
||||
|
||||
|
||||
@@ -7,11 +7,11 @@ public class Zlema : AbstractBase
|
||||
{
|
||||
private readonly int _period;
|
||||
private CircularBuffer? _buffer;
|
||||
private double _alpha;
|
||||
private int _lag;
|
||||
private readonly double _alpha;
|
||||
private readonly int _lag;
|
||||
private double _lastZLEMA, _p_lastZLEMA;
|
||||
|
||||
public Zlema(int period) : base()
|
||||
public Zlema(int period)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
@@ -55,7 +55,7 @@ public class Zlema : AbstractBase
|
||||
protected override double Calculation()
|
||||
{
|
||||
ManageState(Input.IsNew);
|
||||
|
||||
|
||||
_buffer!.Add(Input.Value, Input.IsNew);
|
||||
|
||||
int lag = Math.Max(Math.Min((int)((_period - 1) * 0.5), _buffer.Count - 1), 0) + 1;
|
||||
|
||||
Reference in New Issue
Block a user