mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 13:58:04 +00:00
clean code fixes
This commit is contained in:
Miha Kralj
@@ -26,7 +26,8 @@ jobs:
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|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '9.x'
|
||||||
|
dotnet-quality: 'preview'
|
||||||
|
|
||||||
- name: Install JDK11 for Sonar Scanner
|
- name: Install JDK11 for Sonar Scanner
|
||||||
uses: actions/setup-java@v3
|
uses: actions/setup-java@v3
|
||||||
@@ -79,7 +80,8 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '9.x'
|
||||||
|
dotnet-quality: 'preview'
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||||||
|
|
||||||
- name: Install dotnet tools
|
- name: Install dotnet tools
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||||||
run: |
|
run: |
|
||||||
@@ -134,7 +136,8 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
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dotnet-version: '9.x'
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||||||
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dotnet-quality: 'preview'
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||||||
|
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||||||
- name: Initialize CodeQL
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- name: Initialize CodeQL
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||||||
uses: github/codeql-action/init@v3
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uses: github/codeql-action/init@v3
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||||||
@@ -150,39 +153,41 @@ jobs:
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|||||||
- name: Perform CodeQL Analysis
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- name: Perform CodeQL Analysis
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||||||
uses: github/codeql-action/analyze@v3
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uses: github/codeql-action/analyze@v3
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||||||
|
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||||||
SecurityCodeScan:
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#SecurityCodeScan:
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||||||
runs-on: windows-latest
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# runs-on: windows-latest
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||||||
steps:
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# steps:
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||||||
- name: Checkout repository
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# - name: Checkout repository
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||||||
uses: actions/checkout@v4
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# uses: actions/checkout@v4
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||||||
with:
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# with:
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||||||
fetch-depth: 0
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# fetch-depth: 0
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||||||
|
#
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||||||
- name: Setup NuGet
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# - name: Setup NuGet
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uses: nuget/setup-nuget@v1
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# uses: nuget/setup-nuget@v1
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||||||
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#
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||||||
- name: Setup MSBuild
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# - name: Setup MSBuild
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||||||
uses: microsoft/setup-msbuild@v1
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# uses: microsoft/setup-msbuild@v1
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||||||
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#
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||||||
- name: Setup .NET SDK
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# - name: Setup .NET SDK
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||||||
uses: actions/setup-dotnet@v3
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# uses: actions/setup-dotnet@v3
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||||||
with:
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# with:
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||||||
dotnet-version: '3.1.x'
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# dotnet-version: |
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# 9.x
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- name: Set up projects for analysis
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# 3.1.x
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uses: security-code-scan/security-code-scan-add-action@v1
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# dotnet-quality: 'preview'
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||||||
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#
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- name: Restore dependencies
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# - name: Set up projects for analysis
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run: dotnet restore
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# uses: security-code-scan/security-code-scan-add-action@v1
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||||||
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#
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- name: Build
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# - name: Build
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||||||
run: dotnet build --no-restore --configuration Debug
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# run: |
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# dotnet restore
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- name: Convert SARIF for uploading to GitHub
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# dotnet build --no-restore --configuration Debug
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||||||
uses: security-code-scan/security-code-scan-results-action@v1
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#
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||||||
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# - name: Convert SARIF for uploading to GitHub
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||||||
- name: Upload SARIF
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# uses: security-code-scan/security-code-scan-results-action@v1
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||||||
uses: github/codeql-action/upload-sarif@v3
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#
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||||||
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# - name: Upload SARIF
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||||||
|
# uses: github/codeql-action/upload-sarif@v3
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||||||
|
|
||||||
Codacy_Scan:
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Codacy_Scan:
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||||||
runs-on: ubuntu-latest
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runs-on: ubuntu-latest
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@@ -212,7 +217,7 @@ jobs:
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sarif_file: results.sarif
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sarif_file: results.sarif
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||||||
|
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build_publish:
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build_publish:
|
||||||
needs: [SonarCloud, Code_Coverage, CodeQL, SecurityCodeScan, Codacy_Scan]
|
needs: [SonarCloud, Code_Coverage, CodeQL, Codacy_Scan]
|
||||||
if: success()
|
if: success()
|
||||||
runs-on: ubuntu-latest
|
runs-on: ubuntu-latest
|
||||||
steps:
|
steps:
|
||||||
@@ -224,7 +229,8 @@ jobs:
|
|||||||
- name: Setup .NET SDK
|
- name: Setup .NET SDK
|
||||||
uses: actions/setup-dotnet@v3
|
uses: actions/setup-dotnet@v3
|
||||||
with:
|
with:
|
||||||
dotnet-version: '8.0.x'
|
dotnet-version: '9.x'
|
||||||
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dotnet-quality: 'preview'
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||||||
|
|
||||||
- name: Install GitVersion
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- name: Install GitVersion
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||||||
uses: gittools/actions/gitversion/setup@v0
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uses: gittools/actions/gitversion/setup@v0
|
||||||
|
|||||||
Vendored
+4
-1
@@ -10,5 +10,8 @@
|
|||||||
"sonarlint.connectedMode.project": {
|
"sonarlint.connectedMode.project": {
|
||||||
"connectionId": "mihakralj",
|
"connectionId": "mihakralj",
|
||||||
"projectKey": "mihakralj_QuanTAlib"
|
"projectKey": "mihakralj_QuanTAlib"
|
||||||
}
|
},
|
||||||
|
"dotnet.dotnetPath": "C:/Program Files/dotnet",
|
||||||
|
"omnisharp.useModernNet": true,
|
||||||
|
"omnisharp.sdkPath": "C:/Program Files/dotnet/sdk"
|
||||||
}
|
}
|
||||||
@@ -20,12 +20,6 @@
|
|||||||
<SymbolPackageFormat>snupkg</SymbolPackageFormat>
|
<SymbolPackageFormat>snupkg</SymbolPackageFormat>
|
||||||
<PlatformTarget>AnyCPU</PlatformTarget>
|
<PlatformTarget>AnyCPU</PlatformTarget>
|
||||||
<IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
|
<IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
|
||||||
|
|
||||||
<!-- GitVersion Properties -->
|
|
||||||
<Version>$(GitVersion_NuGetVersion)</Version>
|
|
||||||
<AssemblyVersion>$(GitVersion_AssemblySemVer)</AssemblyVersion>
|
|
||||||
<FileVersion>$(GitVersion_AssemblySemFileVer)</FileVersion>
|
|
||||||
<InformationalVersion>$(GitVersion_InformationalVersion)</InformationalVersion>
|
|
||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
|
|
||||||
<PropertyGroup Condition="'$(Configuration)' == 'Release'">
|
<PropertyGroup Condition="'$(Configuration)' == 'Release'">
|
||||||
@@ -50,10 +44,6 @@
|
|||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
<PackageReference Include="Microsoft.SourceLink.GitHub" Version="1.1.1" PrivateAssets="All"/>
|
<PackageReference Include="Microsoft.SourceLink.GitHub" Version="1.1.1" PrivateAssets="All"/>
|
||||||
<PackageReference Include="GitVersion.MsBuild" Version="6.0.2">
|
|
||||||
<PrivateAssets>all</PrivateAssets>
|
|
||||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
|
|
||||||
</PackageReference>
|
|
||||||
<PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
|
<PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
|
||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
@@ -63,5 +53,3 @@
|
|||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
|
|
||||||
</Project>
|
</Project>
|
||||||
|
|
||||||
|
|
||||||
|
|||||||
+38
-30
@@ -1,18 +1,21 @@
|
|||||||
|
|
||||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||||
# Visual Studio Version 17
|
# Visual Studio Version 17
|
||||||
VisualStudioVersion = 17.0.31903.59
|
VisualStudioVersion = 17.0.31903.59
|
||||||
MinimumVisualStudioVersion = 10.0.40219.1
|
MinimumVisualStudioVersion = 10.0.40219.1
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "quantalib", "lib\quantalib.csproj", "{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "quantalib", "lib\quantalib.csproj", "{1E050FA4-630E-4801-9DE9-D2536DACA9B0}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Tests", "Tests\Tests.csproj", "{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}"
|
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "quantower", "quantower", "{1B9AC248-76F8-44DD-958D-F1DC08EE1E87}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SyntheticVendor", "SyntheticVendor\SyntheticVendor.csproj", "{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Statistics", "quantower\Statistics\Statistics.csproj", "{2E9427C7-144F-488E-A29D-789ACC1C32AE}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Averages", "quantower\Averages\Averages.csproj", "{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Averages", "quantower\Averages\Averages.csproj", "{6BE10C39-4127-446C-818B-7976FCDD51D5}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Statistics", "quantower\Statistics\Statistics.csproj", "{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Volatility", "quantower\Volatility\Volatility.csproj", "{B7DC44F7-D3A3-4C70-9025-513E0182B646}"
|
||||||
EndProject
|
EndProject
|
||||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Volatility", "quantower\Volatility\Volatility.csproj", "{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}"
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SyntheticVendor", "SyntheticVendor\SyntheticVendor.csproj", "{1CF111D9-33E6-4A11-8FEC-F23300A78D15}"
|
||||||
|
EndProject
|
||||||
|
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Tests", "Tests\Tests.csproj", "{E204F173-5840-4AA3-BED1-98C8D2F813E3}"
|
||||||
EndProject
|
EndProject
|
||||||
Global
|
Global
|
||||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||||
@@ -23,29 +26,34 @@ Global
|
|||||||
HideSolutionNode = FALSE
|
HideSolutionNode = FALSE
|
||||||
EndGlobalSection
|
EndGlobalSection
|
||||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{A1B2C3D4-E5F6-47G8-H9I0-J1K2L3M4N5O6}.Release|Any CPU.Build.0 = Release|Any CPU
|
{1E050FA4-630E-4801-9DE9-D2536DACA9B0}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{B2C3D4E5-F6G7-48H9-I0J1-K2L3M4N5O6P7}.Release|Any CPU.Build.0 = Release|Any CPU
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{C3D4E5F6-G7H8-49I0-J1K2-L3M4N5O6P7Q8}.Release|Any CPU.Build.0 = Release|Any CPU
|
{6BE10C39-4127-446C-818B-7976FCDD51D5}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{D4E5F6G7-H8I9-50J1-K2L3-M4N5O6P7Q8R9}.Release|Any CPU.Build.0 = Release|Any CPU
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{E5F6G7H8-I9J0-51K2-L3M4-N5O6P7Q8R9S0}.Release|Any CPU.Build.0 = Release|Any CPU
|
{1CF111D9-33E6-4A11-8FEC-F23300A78D15}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||||
{F6G7H8I9-J0K1-52L3-M4N5-O6P7Q8R9S0T1}.Release|Any CPU.Build.0 = Release|Any CPU
|
{E204F173-5840-4AA3-BED1-98C8D2F813E3}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||||
|
EndGlobalSection
|
||||||
|
GlobalSection(NestedProjects) = preSolution
|
||||||
|
{2E9427C7-144F-488E-A29D-789ACC1C32AE} = {1B9AC248-76F8-44DD-958D-F1DC08EE1E87}
|
||||||
|
{6BE10C39-4127-446C-818B-7976FCDD51D5} = {1B9AC248-76F8-44DD-958D-F1DC08EE1E87}
|
||||||
|
{B7DC44F7-D3A3-4C70-9025-513E0182B646} = {1B9AC248-76F8-44DD-958D-F1DC08EE1E87}
|
||||||
EndGlobalSection
|
EndGlobalSection
|
||||||
EndGlobal
|
EndGlobal
|
||||||
|
|||||||
+11
-5
@@ -1,22 +1,27 @@
|
|||||||
<Project Sdk="Microsoft.NET.Sdk">
|
<Project Sdk="Microsoft.NET.Sdk">
|
||||||
<PropertyGroup>
|
<PropertyGroup>
|
||||||
<TargetFramework>net8.0</TargetFramework>
|
<TargetFramework>net9.0</TargetFramework>
|
||||||
<RootNamespace>QuanTAlib.Tests</RootNamespace>
|
<RootNamespace>QuanTAlib.Tests</RootNamespace>
|
||||||
<AssemblyName>QuanTAlib.Tests</AssemblyName>
|
<AssemblyName>QuanTAlib.Tests</AssemblyName>
|
||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
<PackageReference Include="xunit" Version="2.4.1" />
|
<PackageReference Include="xunit" Version="2.9.2" />
|
||||||
<PackageReference Include="xunit.runner.visualstudio" Version="2.4.3">
|
<PackageReference Include="coverlet.collector" Version="6.0.2" />
|
||||||
|
<PackageReference Include="xunit.runner.visualstudio" Version="3.0.0-pre.35">
|
||||||
<PrivateAssets>all</PrivateAssets>
|
<PrivateAssets>all</PrivateAssets>
|
||||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
|
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
|
||||||
</PackageReference>
|
</PackageReference>
|
||||||
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.0.0" />
|
<PackageReference Include="xunit.runner.console" Version="2.9.2">
|
||||||
|
<PrivateAssets>all</PrivateAssets>
|
||||||
|
<IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
|
||||||
|
</PackageReference>
|
||||||
|
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.11.1" />
|
||||||
|
|
||||||
<PackageReference Include="System.Text.RegularExpressions" Version="4.3.1" />
|
<PackageReference Include="System.Text.RegularExpressions" Version="4.3.1" />
|
||||||
<PackageReference Include="System.Net.Http" Version="4.3.4" />
|
<PackageReference Include="System.Net.Http" Version="4.3.4" />
|
||||||
<PackageReference Include="Newtonsoft.Json" Version="13.0.3" />
|
<PackageReference Include="Newtonsoft.Json" Version="13.0.3" />
|
||||||
<PackageReference Include="Microsoft.Extensions.Logging.Abstractions" Version="8.0.0" />
|
<PackageReference Include="Microsoft.Extensions.Logging.Abstractions" Version="8.0.0" />
|
||||||
|
|
||||||
|
|
||||||
<PackageReference Include="Skender.Stock.Indicators" Version="2.5.0" />
|
<PackageReference Include="Skender.Stock.Indicators" Version="2.5.0" />
|
||||||
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
|
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
|
||||||
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
|
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
|
||||||
@@ -29,6 +34,7 @@
|
|||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
|
<Using Include="Xunit" />
|
||||||
<ProjectReference Include="..\lib\quantalib.csproj" />
|
<ProjectReference Include="..\lib\quantalib.csproj" />
|
||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
|
|||||||
+3
-3
@@ -17,14 +17,14 @@ public class BarIndicatorTests
|
|||||||
rnd = new Random((int)DateTime.Now.Ticks);
|
rnd = new Random((int)DateTime.Now.Ticks);
|
||||||
}
|
}
|
||||||
|
|
||||||
private static readonly iTValue[] indicators = new iTValue[]
|
private static readonly ITValue[] indicators = new ITValue[]
|
||||||
{
|
{
|
||||||
new Atr(period: 14),
|
new Atr(period: 14),
|
||||||
};
|
};
|
||||||
|
|
||||||
[Theory]
|
[Theory]
|
||||||
[MemberData(nameof(GetIndicators))]
|
[MemberData(nameof(GetIndicators))]
|
||||||
public void IndicatorIsNew(iTValue indicator)
|
public void IndicatorIsNew(ITValue indicator)
|
||||||
{
|
{
|
||||||
var indicator1 = indicator;
|
var indicator1 = indicator;
|
||||||
var indicator2 = indicator;
|
var indicator2 = indicator;
|
||||||
@@ -32,7 +32,7 @@ public class BarIndicatorTests
|
|||||||
MethodInfo calcMethod = indicator.GetType().GetMethod("Calc")!;
|
MethodInfo calcMethod = indicator.GetType().GetMethod("Calc")!;
|
||||||
if (calcMethod == null)
|
if (calcMethod == null)
|
||||||
{
|
{
|
||||||
throw new Exception($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
throw new InvalidOperationException($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
||||||
}
|
}
|
||||||
|
|
||||||
for (int i = 0; i < SeriesLen; i++)
|
for (int i = 0; i < SeriesLen; i++)
|
||||||
|
|||||||
@@ -17,8 +17,8 @@ public class IndicatorTests
|
|||||||
rnd = new Random((int)DateTime.Now.Ticks);
|
rnd = new Random((int)DateTime.Now.Ticks);
|
||||||
}
|
}
|
||||||
|
|
||||||
private static readonly iTValue[] indicators =
|
private static readonly ITValue[] indicators =
|
||||||
[
|
{
|
||||||
new Ema(period: 10, useSma: true),
|
new Ema(period: 10, useSma: true),
|
||||||
new Alma(period: 14, offset: 0.85, sigma: 6),
|
new Alma(period: 14, offset: 0.85, sigma: 6),
|
||||||
new Afirma(periods: 4, taps: 4, window: Afirma.WindowType.Blackman),
|
new Afirma(periods: 4, taps: 4, window: Afirma.WindowType.Blackman),
|
||||||
@@ -60,11 +60,11 @@ public class IndicatorTests
|
|||||||
new Variance(period: 14),
|
new Variance(period: 14),
|
||||||
new Zscore(period: 14)
|
new Zscore(period: 14)
|
||||||
|
|
||||||
];
|
};
|
||||||
|
|
||||||
[Theory]
|
[Theory]
|
||||||
[MemberData(nameof(GetIndicators))]
|
[MemberData(nameof(GetIndicators))]
|
||||||
public void IndicatorIsNew(iTValue indicator)
|
public void IndicatorIsNew(ITValue indicator)
|
||||||
{
|
{
|
||||||
var indicator1 = indicator;
|
var indicator1 = indicator;
|
||||||
var indicator2 = indicator;
|
var indicator2 = indicator;
|
||||||
@@ -72,7 +72,7 @@ public class IndicatorTests
|
|||||||
MethodInfo calcMethod = indicator.GetType().GetMethod("Calc")!;
|
MethodInfo calcMethod = indicator.GetType().GetMethod("Calc")!;
|
||||||
if (calcMethod == null)
|
if (calcMethod == null)
|
||||||
{
|
{
|
||||||
throw new Exception($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
throw new InvalidOperationException($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
||||||
}
|
}
|
||||||
|
|
||||||
for (int i = 0; i < SeriesLen; i++)
|
for (int i = 0; i < SeriesLen; i++)
|
||||||
|
|||||||
@@ -12,7 +12,8 @@ public class SkenderTests
|
|||||||
private readonly GbmFeed feed;
|
private readonly GbmFeed feed;
|
||||||
private readonly Random rnd;
|
private readonly Random rnd;
|
||||||
private readonly double range;
|
private readonly double range;
|
||||||
private int period, iterations;
|
private int period;
|
||||||
|
private readonly int iterations;
|
||||||
private readonly IEnumerable<Quote> quotes;
|
private readonly IEnumerable<Quote> quotes;
|
||||||
|
|
||||||
|
|
||||||
@@ -338,7 +339,7 @@ public class SkenderTests
|
|||||||
var SK = quotes.GetAtr(lookbackPeriods: period).Select(i => i.Atr.Null2NaN()!);
|
var SK = quotes.GetAtr(lookbackPeriods: period).Select(i => i.Atr.Null2NaN()!);
|
||||||
Assert.Equal(QL.Length, QL.Length);
|
Assert.Equal(QL.Length, QL.Length);
|
||||||
|
|
||||||
for (int i = QL.Length - 1; i > period +500; i--)
|
for (int i = QL.Length - 1; i > period + 500; i--)
|
||||||
{
|
{
|
||||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||||
}
|
}
|
||||||
|
|||||||
+145
-156
@@ -1,162 +1,151 @@
|
|||||||
using System;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
namespace QuanTAlib
|
public class Afirma : AbstractBase
|
||||||
{
|
{
|
||||||
|
|
||||||
public class Afirma : AbstractBase
|
public enum WindowType
|
||||||
{
|
{
|
||||||
|
Rectangular,
|
||||||
public enum WindowType
|
Hanning1,
|
||||||
{
|
Hanning2,
|
||||||
Rectangular,
|
Blackman,
|
||||||
Hanning1,
|
BlackmanHarris
|
||||||
Hanning2,
|
|
||||||
Blackman,
|
|
||||||
BlackmanHarris
|
|
||||||
}
|
|
||||||
|
|
||||||
private readonly int Periods;
|
|
||||||
private readonly int Taps;
|
|
||||||
private readonly WindowType Window;
|
|
||||||
private readonly CircularBuffer _buffer;
|
|
||||||
private readonly double[] _weights;
|
|
||||||
private readonly double _wsum;
|
|
||||||
private readonly double[] _armaBuffer;
|
|
||||||
private readonly int _n;
|
|
||||||
private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;
|
|
||||||
|
|
||||||
public Afirma(int periods, int taps, WindowType window)
|
|
||||||
{
|
|
||||||
if (periods < 1)
|
|
||||||
{
|
|
||||||
throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
|
|
||||||
}
|
|
||||||
if (taps < 1)
|
|
||||||
{
|
|
||||||
throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
|
|
||||||
}
|
|
||||||
Periods = periods;
|
|
||||||
Taps = taps;
|
|
||||||
Window = window;
|
|
||||||
WarmupPeriod = taps;
|
|
||||||
_buffer = new CircularBuffer(taps);
|
|
||||||
_weights = new double[taps];
|
|
||||||
_wsum = CalculateWeights();
|
|
||||||
_armaBuffer = new double[taps];
|
|
||||||
_n = (Taps - 1) / 2;
|
|
||||||
|
|
||||||
// Calculate least squares coefficients in the constructor
|
|
||||||
_sx2 = (2 * _n + 1) / 3.0;
|
|
||||||
_sx3 = _n * (_n + 1) / 2.0;
|
|
||||||
_sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
|
|
||||||
_sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
|
|
||||||
_sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
|
|
||||||
_den = _sx6 * _sx4 / _sx5 - _sx5;
|
|
||||||
|
|
||||||
Name = "Afirma";
|
|
||||||
Init();
|
|
||||||
}
|
|
||||||
|
|
||||||
public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
|
|
||||||
{
|
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override void ManageState(bool isNew)
|
|
||||||
{
|
|
||||||
if (isNew)
|
|
||||||
{
|
|
||||||
_lastValidValue = Input.Value;
|
|
||||||
_index++;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override double Calculation()
|
|
||||||
{
|
|
||||||
ManageState(IsNew);
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
|
||||||
|
|
||||||
if (_index >= Taps)
|
|
||||||
{
|
|
||||||
double a0 = _buffer[_n];
|
|
||||||
double a1 = _buffer[_n] - _buffer[_n + 1];
|
|
||||||
double sx2y = 0.0;
|
|
||||||
double sx3y = 0.0;
|
|
||||||
|
|
||||||
for (int i = 0; i <= _n; i++)
|
|
||||||
{
|
|
||||||
sx2y += i * i * _buffer[_n - i];
|
|
||||||
sx3y += i * i * i * _buffer[_n - i];
|
|
||||||
}
|
|
||||||
|
|
||||||
sx2y = 2.0 * sx2y / _n / (_n + 1);
|
|
||||||
sx3y = 2.0 * sx3y / _n / (_n + 1);
|
|
||||||
double p = sx2y - a0 * _sx2 - a1 * _sx3;
|
|
||||||
double q = sx3y - a0 * _sx3 - a1 * _sx4;
|
|
||||||
double a2 = (p * _sx6 / _sx5 - q) / _den;
|
|
||||||
double a3 = (q * _sx4 / _sx5 - p) / _den;
|
|
||||||
|
|
||||||
for (int k = 0; k <= _n; k++)
|
|
||||||
{
|
|
||||||
_armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
double result = 0.0;
|
|
||||||
for (int k = 0; k < Taps; k++)
|
|
||||||
{
|
|
||||||
result += _buffer[k] * _weights[k] / _wsum;
|
|
||||||
}
|
|
||||||
|
|
||||||
IsHot = _index >= WarmupPeriod;
|
|
||||||
return result;
|
|
||||||
}
|
|
||||||
|
|
||||||
private double CalculateWeights()
|
|
||||||
{
|
|
||||||
double wsum = 0.0;
|
|
||||||
double centerTap = (Taps - 1) / 2.0;
|
|
||||||
for (int k = 0; k < Taps; k++)
|
|
||||||
{
|
|
||||||
double windowWeight;
|
|
||||||
switch (Window)
|
|
||||||
{
|
|
||||||
case WindowType.Rectangular:
|
|
||||||
windowWeight = 1.0;
|
|
||||||
break;
|
|
||||||
case WindowType.Hanning1:
|
|
||||||
windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
|
||||||
break;
|
|
||||||
case WindowType.Hanning2:
|
|
||||||
windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
|
||||||
break;
|
|
||||||
case WindowType.Blackman:
|
|
||||||
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));
|
|
||||||
break;
|
|
||||||
case WindowType.BlackmanHarris:
|
|
||||||
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));
|
|
||||||
break;
|
|
||||||
default:
|
|
||||||
windowWeight = 1.0;
|
|
||||||
break;
|
|
||||||
}
|
|
||||||
|
|
||||||
double sincWeight;
|
|
||||||
if (Math.Abs(k - centerTap) < 1e-10)
|
|
||||||
{
|
|
||||||
sincWeight = 1.0;
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
sincWeight = Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
|
|
||||||
}
|
|
||||||
|
|
||||||
_weights[k] = windowWeight * sincWeight;
|
|
||||||
wsum += _weights[k];
|
|
||||||
}
|
|
||||||
return wsum;
|
|
||||||
}
|
|
||||||
|
|
||||||
}
|
}
|
||||||
|
|
||||||
|
private readonly int Periods;
|
||||||
|
private readonly int Taps;
|
||||||
|
private readonly WindowType Window;
|
||||||
|
private readonly CircularBuffer _buffer;
|
||||||
|
private readonly double[] _weights;
|
||||||
|
private readonly double _wsum;
|
||||||
|
private readonly double[] _armaBuffer;
|
||||||
|
private readonly int _n;
|
||||||
|
private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;
|
||||||
|
|
||||||
|
public Afirma(int periods, int taps, WindowType window)
|
||||||
|
{
|
||||||
|
if (periods < 1)
|
||||||
|
{
|
||||||
|
throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
|
||||||
|
}
|
||||||
|
if (taps < 1)
|
||||||
|
{
|
||||||
|
throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
|
||||||
|
}
|
||||||
|
Periods = periods;
|
||||||
|
Taps = taps;
|
||||||
|
Window = window;
|
||||||
|
WarmupPeriod = taps;
|
||||||
|
_buffer = new CircularBuffer(taps);
|
||||||
|
_weights = new double[taps];
|
||||||
|
_wsum = CalculateWeights();
|
||||||
|
_armaBuffer = new double[taps];
|
||||||
|
_n = (Taps - 1) / 2;
|
||||||
|
|
||||||
|
// Calculate least squares coefficients in the constructor
|
||||||
|
_sx2 = (2 * _n + 1) / 3.0;
|
||||||
|
_sx3 = _n * (_n + 1) / 2.0;
|
||||||
|
_sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
|
||||||
|
_sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
|
||||||
|
_sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
|
||||||
|
_den = _sx6 * _sx4 / _sx5 - _sx5;
|
||||||
|
|
||||||
|
Name = "Afirma";
|
||||||
|
Init();
|
||||||
|
}
|
||||||
|
|
||||||
|
public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
|
||||||
|
{
|
||||||
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void ManageState(bool isNew)
|
||||||
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
|
_lastValidValue = Input.Value;
|
||||||
|
_index++;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override double Calculation()
|
||||||
|
{
|
||||||
|
ManageState(IsNew);
|
||||||
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
|
if (_index >= Taps)
|
||||||
|
{
|
||||||
|
double a0 = _buffer[_n];
|
||||||
|
double a1 = _buffer[_n] - _buffer[_n + 1];
|
||||||
|
double sx2y = 0.0;
|
||||||
|
double sx3y = 0.0;
|
||||||
|
|
||||||
|
for (int i = 0; i <= _n; i++)
|
||||||
|
{
|
||||||
|
sx2y += i * i * _buffer[_n - i];
|
||||||
|
sx3y += i * i * i * _buffer[_n - i];
|
||||||
|
}
|
||||||
|
|
||||||
|
sx2y = 2.0 * sx2y / _n / (_n + 1);
|
||||||
|
sx3y = 2.0 * sx3y / _n / (_n + 1);
|
||||||
|
double p = sx2y - a0 * _sx2 - a1 * _sx3;
|
||||||
|
double q = sx3y - a0 * _sx3 - a1 * _sx4;
|
||||||
|
double a2 = (p * _sx6 / _sx5 - q) / _den;
|
||||||
|
double a3 = (q * _sx4 / _sx5 - p) / _den;
|
||||||
|
|
||||||
|
for (int k = 0; k <= _n; k++)
|
||||||
|
{
|
||||||
|
_armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
double result = 0.0;
|
||||||
|
for (int k = 0; k < Taps; k++)
|
||||||
|
{
|
||||||
|
result += _buffer[k] * _weights[k] / _wsum;
|
||||||
|
}
|
||||||
|
|
||||||
|
IsHot = _index >= WarmupPeriod;
|
||||||
|
return result;
|
||||||
|
}
|
||||||
|
|
||||||
|
private double CalculateWeights()
|
||||||
|
{
|
||||||
|
double wsum = 0.0;
|
||||||
|
double centerTap = (Taps - 1) / 2.0;
|
||||||
|
for (int k = 0; k < Taps; k++)
|
||||||
|
{
|
||||||
|
double windowWeight;
|
||||||
|
switch (Window)
|
||||||
|
{
|
||||||
|
case WindowType.Rectangular:
|
||||||
|
windowWeight = 1.0;
|
||||||
|
break;
|
||||||
|
case WindowType.Hanning1:
|
||||||
|
windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
||||||
|
break;
|
||||||
|
case WindowType.Hanning2:
|
||||||
|
windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
|
||||||
|
break;
|
||||||
|
case WindowType.Blackman:
|
||||||
|
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));
|
||||||
|
break;
|
||||||
|
case WindowType.BlackmanHarris:
|
||||||
|
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));
|
||||||
|
break;
|
||||||
|
default:
|
||||||
|
windowWeight = 1.0;
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
|
||||||
|
double sincWeight;
|
||||||
|
sincWeight = Math.Abs(k - centerTap) < 1e-10 ? 1.0 : Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
|
||||||
|
|
||||||
|
_weights[k] = windowWeight * sincWeight;
|
||||||
|
wsum += _weights[k];
|
||||||
|
}
|
||||||
|
return wsum;
|
||||||
|
}
|
||||||
|
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -25,7 +25,7 @@ public class Alma : AbstractBase
|
|||||||
/// <param name="offset">Controls the smoothness and high-frequency filtering. Default is 0.85.</param>
|
/// <param name="offset">Controls the smoothness and high-frequency filtering. Default is 0.85.</param>
|
||||||
/// <param name="sigma">Controls the shape of the Gaussian distribution. Default is 6.</param>
|
/// <param name="sigma">Controls the shape of the Gaussian distribution. Default is 6.</param>
|
||||||
/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
|
/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
|
||||||
public Alma(int period, double offset = 0.85, double sigma = 6) : base()
|
public Alma(int period, double offset = 0.85, double sigma = 6)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -4,8 +4,8 @@ public class Convolution : AbstractBase
|
|||||||
{
|
{
|
||||||
private readonly double[] _kernel;
|
private readonly double[] _kernel;
|
||||||
private readonly int _kernelSize;
|
private readonly int _kernelSize;
|
||||||
private CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
private double[] _normalizedKernel;
|
private readonly double[] _normalizedKernel;
|
||||||
|
|
||||||
public Convolution(double[] kernel)
|
public Convolution(double[] kernel)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -28,7 +28,7 @@ public class Dema : AbstractBase
|
|||||||
private double _lastEma2, _p_lastEma2;
|
private double _lastEma2, _p_lastEma2;
|
||||||
private double _k, _e, _p_e;
|
private double _k, _e, _p_e;
|
||||||
|
|
||||||
public Dema(int period) : base()
|
public Dema(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
+6
-4
@@ -27,10 +27,12 @@ public class Ema : AbstractBase
|
|||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private CircularBuffer _sma;
|
private CircularBuffer _sma;
|
||||||
private double _lastEma, _p_lastEma;
|
private double _lastEma, _p_lastEma;
|
||||||
private double _k, _e, _p_e;
|
private double _e, _p_e;
|
||||||
private bool _isInit, _p_isInit, _useSma;
|
private readonly double _k;
|
||||||
|
private bool _isInit, _p_isInit;
|
||||||
|
private readonly bool _useSma;
|
||||||
|
|
||||||
public Ema(int period, bool useSma = true) : base()
|
public Ema(int period, bool useSma = true)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -45,7 +47,7 @@ public class Ema : AbstractBase
|
|||||||
Init();
|
Init();
|
||||||
}
|
}
|
||||||
|
|
||||||
public Ema(double alpha) : base()
|
public Ema(double alpha)
|
||||||
{
|
{
|
||||||
_k = alpha;
|
_k = alpha;
|
||||||
_useSma = false;
|
_useSma = false;
|
||||||
|
|||||||
+75
-76
@@ -1,99 +1,98 @@
|
|||||||
using System;
|
using System;
|
||||||
|
|
||||||
namespace QuanTAlib
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
public class Frama : AbstractBase
|
||||||
{
|
{
|
||||||
public class Frama : AbstractBase
|
private readonly int _period;
|
||||||
|
private readonly double _fc;
|
||||||
|
private readonly CircularBuffer _buffer;
|
||||||
|
private double _lastFrama;
|
||||||
|
private double _prevLastFrama;
|
||||||
|
|
||||||
|
public Frama(int period, double fc = 0.5)
|
||||||
{
|
{
|
||||||
private readonly int _period;
|
if (period < 2)
|
||||||
private readonly double _fc;
|
throw new ArgumentException("Period must be at least 2", nameof(period));
|
||||||
private CircularBuffer _buffer;
|
|
||||||
private double _lastFrama;
|
|
||||||
private double _prevLastFrama;
|
|
||||||
|
|
||||||
public Frama(int period, double fc = 0.5) : base()
|
_period = period;
|
||||||
|
_fc = fc;
|
||||||
|
_buffer = new CircularBuffer(period);
|
||||||
|
WarmupPeriod = period;
|
||||||
|
}
|
||||||
|
|
||||||
|
public override void Init()
|
||||||
|
{
|
||||||
|
base.Init();
|
||||||
|
_buffer.Clear();
|
||||||
|
_lastFrama = 0;
|
||||||
|
_prevLastFrama = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void ManageState(bool isNew)
|
||||||
|
{
|
||||||
|
if (isNew)
|
||||||
{
|
{
|
||||||
if (period < 2)
|
_prevLastFrama = _lastFrama;
|
||||||
throw new ArgumentException("Period must be at least 2", nameof(period));
|
_index++;
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
_lastFrama = _prevLastFrama;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
_period = period;
|
protected override double Calculation()
|
||||||
_fc = fc;
|
{
|
||||||
_buffer = new CircularBuffer(period);
|
ManageState(Input.IsNew);
|
||||||
WarmupPeriod = period;
|
|
||||||
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
|
if (_buffer.Count < _period)
|
||||||
|
{
|
||||||
|
_lastFrama = _buffer.Average();
|
||||||
|
return _lastFrama;
|
||||||
}
|
}
|
||||||
|
|
||||||
public override void Init()
|
int half = _period / 2;
|
||||||
{
|
double hh = double.MinValue, ll = double.MaxValue;
|
||||||
base.Init();
|
double hh1 = double.MinValue, ll1 = double.MaxValue;
|
||||||
_buffer.Clear();
|
double hh2 = double.MinValue, ll2 = double.MaxValue;
|
||||||
_lastFrama = 0;
|
|
||||||
_prevLastFrama = 0;
|
|
||||||
}
|
|
||||||
|
|
||||||
protected override void ManageState(bool isNew)
|
for (int i = 0; i < _period; i++)
|
||||||
{
|
{
|
||||||
if (isNew)
|
double price = _buffer[i];
|
||||||
|
hh = Math.Max(hh, price);
|
||||||
|
ll = Math.Min(ll, price);
|
||||||
|
|
||||||
|
if (i < half)
|
||||||
{
|
{
|
||||||
_prevLastFrama = _lastFrama;
|
hh1 = Math.Max(hh1, price);
|
||||||
_index++;
|
ll1 = Math.Min(ll1, price);
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
_lastFrama = _prevLastFrama;
|
hh2 = Math.Max(hh2, price);
|
||||||
|
ll2 = Math.Min(ll2, price);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
protected override double Calculation()
|
double n1 = (hh - ll) / _period;
|
||||||
{
|
double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
|
||||||
ManageState(Input.IsNew);
|
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
|
||||||
|
|
||||||
if (_buffer.Count < _period)
|
double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
|
||||||
{
|
|
||||||
_lastFrama = _buffer.Average();
|
|
||||||
return _lastFrama;
|
|
||||||
}
|
|
||||||
|
|
||||||
int half = _period / 2;
|
double alpha = Math.Exp(-4.6 * (d - 1));
|
||||||
double hh = double.MinValue, ll = double.MaxValue;
|
alpha = Math.Max(Math.Min(alpha, 1), 0.01); // Ensure alpha is between 0.01 and 1
|
||||||
double hh1 = double.MinValue, ll1 = double.MaxValue;
|
|
||||||
double hh2 = double.MinValue, ll2 = double.MaxValue;
|
|
||||||
|
|
||||||
for (int i = 0; i < _period; i++)
|
_lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
|
||||||
{
|
|
||||||
double price = _buffer[i];
|
|
||||||
hh = Math.Max(hh, price);
|
|
||||||
ll = Math.Min(ll, price);
|
|
||||||
|
|
||||||
if (i < half)
|
IsHot = _index >= WarmupPeriod;
|
||||||
{
|
return _lastFrama;
|
||||||
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;
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
}
|
|
||||||
|
protected override double GetLastValid()
|
||||||
|
{
|
||||||
|
return _lastFrama;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|||||||
@@ -1,7 +1,7 @@
|
|||||||
//not working yet
|
//not working yet
|
||||||
//TODO consistency test
|
//TODO consistency test
|
||||||
|
|
||||||
using QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public class Htit : AbstractBase
|
public class Htit : AbstractBase
|
||||||
{
|
{
|
||||||
@@ -21,7 +21,7 @@ public class Htit : AbstractBase
|
|||||||
private double _lastPd = 0;
|
private double _lastPd = 0;
|
||||||
private double _p_lastPd = 0;
|
private double _p_lastPd = 0;
|
||||||
|
|
||||||
public Htit() : base()
|
public Htit()
|
||||||
{
|
{
|
||||||
Name = "Htit";
|
Name = "Htit";
|
||||||
WarmupPeriod = 12;
|
WarmupPeriod = 12;
|
||||||
@@ -138,9 +138,7 @@ public class Htit : AbstractBase
|
|||||||
{
|
{
|
||||||
return ((4 * _itBuffer[0]) + (3 * _itBuffer[1]) + (2 * _itBuffer[2]) + _itBuffer[3]) / 10;
|
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)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
+6
-6
@@ -1,20 +1,20 @@
|
|||||||
using QuanTAlib;
|
namespace QuanTAlib;
|
||||||
//TODO consistency test
|
//TODO consistency test
|
||||||
public class Jma : AbstractBase
|
public class Jma : AbstractBase
|
||||||
{
|
{
|
||||||
public readonly int Period;
|
public readonly int Period;
|
||||||
private readonly double _phase;
|
private readonly double _phase;
|
||||||
private readonly int _vshort, _vlong;
|
private readonly int _vshort, _vlong;
|
||||||
private CircularBuffer _values;
|
private readonly CircularBuffer _values;
|
||||||
private CircularBuffer _voltyShort;
|
private readonly CircularBuffer _voltyShort;
|
||||||
private CircularBuffer _vsumBuff;
|
private readonly CircularBuffer _vsumBuff;
|
||||||
private CircularBuffer _avoltyBuff;
|
private readonly CircularBuffer _avoltyBuff;
|
||||||
|
|
||||||
private double _beta, _len1, _pow1;
|
private double _beta, _len1, _pow1;
|
||||||
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
||||||
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_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)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -1,5 +1,3 @@
|
|||||||
using System;
|
|
||||||
|
|
||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public class Kama : AbstractBase
|
public class Kama : AbstractBase
|
||||||
@@ -9,7 +7,7 @@ public class Kama : AbstractBase
|
|||||||
private CircularBuffer? _buffer;
|
private CircularBuffer? _buffer;
|
||||||
private double _lastKama, _p_lastKama;
|
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)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -10,7 +10,7 @@ public class Ltma : AbstractBase
|
|||||||
|
|
||||||
public double Gamma => _gamma;
|
public double Gamma => _gamma;
|
||||||
|
|
||||||
public Ltma(double gamma = 0.1) : base()
|
public Ltma(double gamma = 0.1)
|
||||||
{
|
{
|
||||||
if (gamma < 0 || gamma > 1)
|
if (gamma < 0 || gamma > 1)
|
||||||
throw new ArgumentOutOfRangeException(nameof(gamma), "Gamma must be between 0 and 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 _priceBuffer;
|
||||||
private readonly CircularBuffer _smoothBuffer;
|
private readonly CircularBuffer _smoothBuffer;
|
||||||
private double _prevFilter, _prevValue2, _threshold;
|
private double _prevFilter, _prevValue2;
|
||||||
|
private readonly double _threshold;
|
||||||
private double _p_prevFilter, _p_prevValue2;
|
private double _p_prevFilter, _p_prevValue2;
|
||||||
|
|
||||||
private readonly int _period;
|
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;
|
_period = Period;
|
||||||
_threshold = Threshold;
|
_threshold = Threshold;
|
||||||
|
|||||||
@@ -1,17 +1,16 @@
|
|||||||
using QuanTAlib;
|
namespace QuanTAlib;
|
||||||
using System;
|
|
||||||
|
|
||||||
public class Mama : AbstractBase
|
public class Mama : AbstractBase
|
||||||
{
|
{
|
||||||
private readonly double _fastLimit, _slowLimit;
|
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 _mama, _fama;
|
||||||
private double _prevMama, _prevFama, _sumPr;
|
private double _prevMama, _prevFama, _sumPr;
|
||||||
private double _p_prevMama, _p_prevFama, _p_sumPr;
|
private double _p_prevMama, _p_prevFama, _p_sumPr;
|
||||||
|
|
||||||
public TValue Fama { get; private set; }
|
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();
|
Fama = new TValue();
|
||||||
Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
|
Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
|
||||||
|
|||||||
@@ -5,7 +5,7 @@ public class Mgdi : AbstractBase
|
|||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private readonly double _kFactor;
|
private readonly double _kFactor;
|
||||||
private double _prevMd, _p_prevMd;
|
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)
|
if (period <= 0)
|
||||||
{
|
{
|
||||||
|
|||||||
+65
-69
@@ -1,78 +1,74 @@
|
|||||||
using System;
|
namespace QuanTAlib;
|
||||||
using System.Linq;
|
|
||||||
|
|
||||||
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;
|
if (period < 2)
|
||||||
private readonly CircularBuffer _buffer;
|
|
||||||
private double _lastMma;
|
|
||||||
|
|
||||||
public Mma(int period) : base()
|
|
||||||
{
|
{
|
||||||
if (period < 2)
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 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();
|
|
||||||
}
|
}
|
||||||
|
_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");
|
_index++;
|
||||||
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;
|
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
|
||||||
|
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 readonly Ema _ema1, _ema2, _ema3, _ema4;
|
||||||
private double _lastQema, _p_lastQema;
|
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 )
|
if (k1 <= 0 || k2 <= 0 || k3 <= 0 || k4 <= 0 )
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -12,7 +12,7 @@ public class Rema : AbstractBase
|
|||||||
public int Period => _period;
|
public int Period => _period;
|
||||||
public double Lambda => _lambda;
|
public double Lambda => _lambda;
|
||||||
|
|
||||||
public Rema(int period, double lambda = 0.5) : base()
|
public Rema(int period, double lambda = 0.5)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 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;
|
||||||
using System.Runtime.CompilerServices;
|
using System.Runtime.CompilerServices;
|
||||||
|
|
||||||
namespace QuanTAlib {
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public class Rma : AbstractBase {
|
|
||||||
|
public class Rma : AbstractBase
|
||||||
|
{
|
||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private double _alpha;
|
private readonly double _alpha;
|
||||||
private double _lastRMA;
|
private double _lastRMA;
|
||||||
private double _savedLastRMA;
|
private double _savedLastRMA;
|
||||||
|
|
||||||
public Rma(int period) : base() {
|
public Rma(int period)
|
||||||
if (period < 1) {
|
{
|
||||||
|
if (period < 1)
|
||||||
|
{
|
||||||
throw new ArgumentException("Period must be greater than or equal to 1.", nameof(period));
|
throw new ArgumentException("Period must be greater than or equal to 1.", nameof(period));
|
||||||
}
|
}
|
||||||
_period = period;
|
_period = period;
|
||||||
@@ -20,38 +24,50 @@ public class Rma : AbstractBase {
|
|||||||
Init();
|
Init();
|
||||||
}
|
}
|
||||||
|
|
||||||
public Rma(object source, int period) : this(period) {
|
public Rma(object source, int period) : this(period)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
|
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_lastRMA = 0;
|
_lastRMA = 0;
|
||||||
_savedLastRMA = 0;
|
_savedLastRMA = 0;
|
||||||
}
|
}
|
||||||
|
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_savedLastRMA = _lastRMA;
|
_savedLastRMA = _lastRMA;
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
_lastRMA = _savedLastRMA;
|
_lastRMA = _savedLastRMA;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
double rma;
|
double rma;
|
||||||
|
|
||||||
if (_index == 1) {
|
if (_index == 1)
|
||||||
|
{
|
||||||
rma = Input.Value;
|
rma = Input.Value;
|
||||||
} else if (_index <= _period) {
|
}
|
||||||
|
else if (_index <= _period)
|
||||||
|
{
|
||||||
// Simple average during initial period
|
// Simple average during initial period
|
||||||
rma = (_lastRMA * (_index - 1) + Input.Value) / _index;
|
rma = (_lastRMA * (_index - 1) + Input.Value) / _index;
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
// Wilder's smoothing method
|
// Wilder's smoothing method
|
||||||
rma = _alpha * (Input.Value - _lastRMA) + _lastRMA;
|
rma = _alpha * (Input.Value - _lastRMA) + _lastRMA;
|
||||||
}
|
}
|
||||||
@@ -62,4 +78,3 @@ public class Rma : AbstractBase {
|
|||||||
return rma;
|
return rma;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
|
||||||
+1
-1
@@ -6,7 +6,7 @@ public class Sma : AbstractBase
|
|||||||
// inherited _value
|
// inherited _value
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
|
|
||||||
public Sma(int period) : base()
|
public Sma(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ public class Smma : AbstractBase
|
|||||||
private CircularBuffer? _buffer;
|
private CircularBuffer? _buffer;
|
||||||
private double _lastSmma, _p_lastSmma;
|
private double _lastSmma, _p_lastSmma;
|
||||||
|
|
||||||
public Smma(int period) : base()
|
public Smma(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ public class Tema : AbstractBase
|
|||||||
private double _lastEma3, _p_lastEma3;
|
private double _lastEma3, _p_lastEma3;
|
||||||
private double _k, _e, _p_e;
|
private double _k, _e, _p_e;
|
||||||
|
|
||||||
public Tema(int period) : base()
|
public Tema(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -58,7 +58,7 @@ public class Tema : AbstractBase
|
|||||||
{
|
{
|
||||||
double result, _ema1, _ema2, _ema3;
|
double result, _ema1, _ema2, _ema3;
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_e = (_e > 1e-10) ? (1 - _k) * _e : 0;
|
_e = (_e > 1e-10) ? (1 - _k) * _e : 0;
|
||||||
double _invE = (_e > 1e-10) ? 1 / (1 - _e) : 1;
|
double _invE = (_e > 1e-10) ? 1 / (1 - _e) : 1;
|
||||||
|
|
||||||
|
|||||||
@@ -30,14 +30,7 @@ public class Trima : AbstractBase
|
|||||||
|
|
||||||
for (int i = 0; i < period; i++)
|
for (int i = 0; i < period; i++)
|
||||||
{
|
{
|
||||||
if (i < halfPeriod)
|
kernel[i] = i < halfPeriod ? i + 1 : period - i;
|
||||||
{
|
|
||||||
kernel[i] = i + 1;
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
kernel[i] = period - i;
|
|
||||||
}
|
|
||||||
weightSum += kernel[i];
|
weightSum += kernel[i];
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|||||||
@@ -7,11 +7,11 @@ public class Zlema : AbstractBase
|
|||||||
{
|
{
|
||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private CircularBuffer? _buffer;
|
private CircularBuffer? _buffer;
|
||||||
private double _alpha;
|
private readonly double _alpha;
|
||||||
private int _lag;
|
private readonly int _lag;
|
||||||
private double _lastZLEMA, _p_lastZLEMA;
|
private double _lastZLEMA, _p_lastZLEMA;
|
||||||
|
|
||||||
public Zlema(int period) : base()
|
public Zlema(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -55,7 +55,7 @@ public class Zlema : AbstractBase
|
|||||||
protected override double Calculation()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer!.Add(Input.Value, Input.IsNew);
|
_buffer!.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
int lag = Math.Max(Math.Min((int)((_period - 1) * 0.5), _buffer.Count - 1), 0) + 1;
|
int lag = Math.Max(Math.Min((int)((_period - 1) * 0.5), _buffer.Count - 1), 0) + 1;
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ namespace QuanTAlib;
|
|||||||
/// and methods used by inheriting indicator types. It handles the basic flow of
|
/// and methods used by inheriting indicator types. It handles the basic flow of
|
||||||
/// receiving bar data, performing calculations, and publishing results.
|
/// receiving bar data, performing calculations, and publishing results.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public abstract class AbstractBarBase : iTValue {
|
public abstract class AbstractBarBase : ITValue {
|
||||||
public DateTime Time { get; set; }
|
public DateTime Time { get; set; }
|
||||||
public double Value { get; set; }
|
public double Value { get; set; }
|
||||||
public bool IsNew { get; set; }
|
public bool IsNew { get; set; }
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ namespace QuanTAlib;
|
|||||||
/// and methods used by inheriting indicator types. It handles the basic flow of
|
/// and methods used by inheriting indicator types. It handles the basic flow of
|
||||||
/// receiving data, performing calculations, and publishing results.
|
/// receiving data, performing calculations, and publishing results.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public abstract class AbstractBase : iTValue
|
public abstract class AbstractBase : ITValue
|
||||||
{
|
{
|
||||||
public DateTime Time { get; set; }
|
public DateTime Time { get; set; }
|
||||||
public double Value { get; set; }
|
public double Value { get; set; }
|
||||||
|
|||||||
+95
-47
@@ -12,7 +12,8 @@ namespace QuanTAlib;
|
|||||||
/// a fixed-size buffer of double values. It uses SIMD operations for improved performance
|
/// a fixed-size buffer of double values. It uses SIMD operations for improved performance
|
||||||
/// on supported hardware.
|
/// on supported hardware.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class CircularBuffer : IEnumerable<double> {
|
public class CircularBuffer : IEnumerable<double>
|
||||||
|
{
|
||||||
private readonly double[] _buffer;
|
private readonly double[] _buffer;
|
||||||
private int _start = 0;
|
private int _start = 0;
|
||||||
private int _size = 0;
|
private int _size = 0;
|
||||||
@@ -31,7 +32,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// Initializes a new instance of the CircularBuffer class with the specified capacity.
|
/// Initializes a new instance of the CircularBuffer class with the specified capacity.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="capacity">The maximum number of elements the buffer can hold.</param>
|
/// <param name="capacity">The maximum number of elements the buffer can hold.</param>
|
||||||
public CircularBuffer(int capacity) {
|
public CircularBuffer(int capacity)
|
||||||
|
{
|
||||||
Capacity = capacity;
|
Capacity = capacity;
|
||||||
_buffer = GC.AllocateArray<double>(capacity, pinned: true);
|
_buffer = GC.AllocateArray<double>(capacity, pinned: true);
|
||||||
}
|
}
|
||||||
@@ -42,16 +44,23 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// <param name="item">The item to add to the buffer.</param>
|
/// <param name="item">The item to add to the buffer.</param>
|
||||||
/// <param name="isNew">Indicates whether the item is a new value or an update to the last added value.</param>
|
/// <param name="isNew">Indicates whether the item is a new value or an update to the last added value.</param>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public void Add(double item, bool isNew = true) {
|
public void Add(double item, bool isNew = true)
|
||||||
if (_size == 0 || isNew) {
|
{
|
||||||
if (_size < Capacity) {
|
if (_size == 0 || isNew)
|
||||||
|
{
|
||||||
|
if (_size < Capacity)
|
||||||
|
{
|
||||||
_buffer[(_start + _size) % Capacity] = item;
|
_buffer[(_start + _size) % Capacity] = item;
|
||||||
_size++;
|
_size++;
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
_buffer[_start] = item;
|
_buffer[_start] = item;
|
||||||
_start = (_start + 1) % Capacity;
|
_start = (_start + 1) % Capacity;
|
||||||
}
|
}
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
_buffer[(_start + _size - 1) % Capacity] = item;
|
_buffer[(_start + _size - 1) % Capacity] = item;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
@@ -61,15 +70,18 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="index">The zero-based index of the element to get or set.</param>
|
/// <param name="index">The zero-based index of the element to get or set.</param>
|
||||||
/// <returns>The element at the specified index.</returns>
|
/// <returns>The element at the specified index.</returns>
|
||||||
public double this[Index index] {
|
public double this[Index index]
|
||||||
|
{
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
get {
|
get
|
||||||
|
{
|
||||||
int actualIndex = index.IsFromEnd ? _size - index.Value : index.Value;
|
int actualIndex = index.IsFromEnd ? _size - index.Value : index.Value;
|
||||||
actualIndex = Math.Clamp(actualIndex, 0, _size - 1);
|
actualIndex = Math.Clamp(actualIndex, 0, _size - 1);
|
||||||
return _buffer[(_start + actualIndex) % Capacity];
|
return _buffer[(_start + actualIndex) % Capacity];
|
||||||
}
|
}
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
set {
|
set
|
||||||
|
{
|
||||||
int actualIndex = index.IsFromEnd ? _size - index.Value : index.Value;
|
int actualIndex = index.IsFromEnd ? _size - index.Value : index.Value;
|
||||||
actualIndex = Math.Clamp(actualIndex, 0, _size - 1);
|
actualIndex = Math.Clamp(actualIndex, 0, _size - 1);
|
||||||
_buffer[(_start + actualIndex) % Capacity] = value;
|
_buffer[(_start + actualIndex) % Capacity] = value;
|
||||||
@@ -77,7 +89,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
}
|
}
|
||||||
|
|
||||||
[MethodImpl(MethodImplOptions.NoInlining)]
|
[MethodImpl(MethodImplOptions.NoInlining)]
|
||||||
private static void ThrowArgumentOutOfRangeException() {
|
private static void ThrowArgumentOutOfRangeException()
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException("index", "Index is out of range.");
|
throw new ArgumentOutOfRangeException("index", "Index is out of range.");
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -86,7 +99,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>The newest element in the buffer.</returns>
|
/// <returns>The newest element in the buffer.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public double Newest() {
|
public double Newest()
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
return 0;
|
return 0;
|
||||||
return _buffer[(_start + _size - 1) % Capacity];
|
return _buffer[(_start + _size - 1) % Capacity];
|
||||||
@@ -97,14 +111,16 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>The oldest element in the buffer.</returns>
|
/// <returns>The oldest element in the buffer.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public double Oldest() {
|
public double Oldest()
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
ThrowInvalidOperationException();
|
ThrowInvalidOperationException();
|
||||||
return _buffer[_start];
|
return _buffer[_start];
|
||||||
}
|
}
|
||||||
|
|
||||||
[MethodImpl(MethodImplOptions.NoInlining)]
|
[MethodImpl(MethodImplOptions.NoInlining)]
|
||||||
private static void ThrowInvalidOperationException() {
|
private static void ThrowInvalidOperationException()
|
||||||
|
{
|
||||||
throw new InvalidOperationException("Buffer is empty.");
|
throw new InvalidOperationException("Buffer is empty.");
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -119,13 +135,15 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Represents an enumerator for the CircularBuffer.
|
/// Represents an enumerator for the CircularBuffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public struct Enumerator : IEnumerator<double> {
|
public struct Enumerator : IEnumerator<double>
|
||||||
|
{
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
private int _index;
|
private int _index;
|
||||||
private double _current;
|
private double _current;
|
||||||
|
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
internal Enumerator(CircularBuffer buffer) {
|
internal Enumerator(CircularBuffer buffer)
|
||||||
|
{
|
||||||
_buffer = buffer;
|
_buffer = buffer;
|
||||||
_index = -1;
|
_index = -1;
|
||||||
_current = default;
|
_current = default;
|
||||||
@@ -136,7 +154,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.</returns>
|
/// <returns>true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public bool MoveNext() {
|
public bool MoveNext()
|
||||||
|
{
|
||||||
if (_index + 1 >= _buffer._size)
|
if (_index + 1 >= _buffer._size)
|
||||||
return false;
|
return false;
|
||||||
|
|
||||||
@@ -154,7 +173,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Sets the enumerator to its initial position, which is before the first element in the buffer.
|
/// Sets the enumerator to its initial position, which is before the first element in the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public void Reset() {
|
public void Reset()
|
||||||
|
{
|
||||||
_index = -1;
|
_index = -1;
|
||||||
_current = default;
|
_current = default;
|
||||||
}
|
}
|
||||||
@@ -171,13 +191,17 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// <param name="destination">The one-dimensional array that is the destination of the elements copied from the buffer.</param>
|
/// <param name="destination">The one-dimensional array that is the destination of the elements copied from the buffer.</param>
|
||||||
/// <param name="destinationIndex">The zero-based index in array at which copying begins.</param>
|
/// <param name="destinationIndex">The zero-based index in array at which copying begins.</param>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public void CopyTo(double[] destination, int destinationIndex) {
|
public void CopyTo(double[] destination, int destinationIndex)
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
return;
|
return;
|
||||||
|
|
||||||
if (_start + _size <= Capacity) {
|
if (_start + _size <= Capacity)
|
||||||
|
{
|
||||||
Array.Copy(_buffer, _start, destination, destinationIndex, _size);
|
Array.Copy(_buffer, _start, destination, destinationIndex, _size);
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
int firstPartLength = Capacity - _start;
|
int firstPartLength = Capacity - _start;
|
||||||
Array.Copy(_buffer, _start, destination, destinationIndex, firstPartLength);
|
Array.Copy(_buffer, _start, destination, destinationIndex, firstPartLength);
|
||||||
Array.Copy(_buffer, 0, destination, destinationIndex + firstPartLength, _size - firstPartLength);
|
Array.Copy(_buffer, 0, destination, destinationIndex + firstPartLength, _size - firstPartLength);
|
||||||
@@ -189,15 +213,17 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>A read-only span over the buffer contents.</returns>
|
/// <returns>A read-only span over the buffer contents.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public ReadOnlySpan<double> GetSpan() {
|
public ReadOnlySpan<double> GetSpan()
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
return ReadOnlySpan<double>.Empty;
|
return ReadOnlySpan<double>.Empty;
|
||||||
|
|
||||||
if (_start + _size <= Capacity) {
|
if (_start + _size <= Capacity)
|
||||||
|
{
|
||||||
return new ReadOnlySpan<double>(_buffer, _start, _size);
|
return new ReadOnlySpan<double>(_buffer, _start, _size);
|
||||||
} else {
|
|
||||||
return new ReadOnlySpan<double>(ToArray());
|
|
||||||
}
|
}
|
||||||
|
|
||||||
|
return new ReadOnlySpan<double>(ToArray());
|
||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
@@ -216,7 +242,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// Removes all elements from the buffer.
|
/// Removes all elements from the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public void Clear() {
|
public void Clear()
|
||||||
|
{
|
||||||
Array.Clear(_buffer, 0, _buffer.Length);
|
Array.Clear(_buffer, 0, _buffer.Length);
|
||||||
_start = 0;
|
_start = 0;
|
||||||
_size = 0;
|
_size = 0;
|
||||||
@@ -227,7 +254,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>The maximum value in the buffer.</returns>
|
/// <returns>The maximum value in the buffer.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public double Max() {
|
public double Max()
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
ThrowInvalidOperationException();
|
ThrowInvalidOperationException();
|
||||||
|
|
||||||
@@ -239,7 +267,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>The minimum value in the buffer.</returns>
|
/// <returns>The minimum value in the buffer.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public double Min() {
|
public double Min()
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
ThrowInvalidOperationException();
|
ThrowInvalidOperationException();
|
||||||
|
|
||||||
@@ -251,7 +280,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>The sum of all values in the buffer.</returns>
|
/// <returns>The sum of all values in the buffer.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public double Sum() {
|
public double Sum()
|
||||||
|
{
|
||||||
return SumSimd();
|
return SumSimd();
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -260,7 +290,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>The average of all values in the buffer.</returns>
|
/// <returns>The average of all values in the buffer.</returns>
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
public double Average() {
|
public double Average()
|
||||||
|
{
|
||||||
if (_size == 0)
|
if (_size == 0)
|
||||||
ThrowInvalidOperationException();
|
ThrowInvalidOperationException();
|
||||||
|
|
||||||
@@ -268,22 +299,26 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
}
|
}
|
||||||
|
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
private double MaxSimd() {
|
private double MaxSimd()
|
||||||
|
{
|
||||||
var span = GetSpan();
|
var span = GetSpan();
|
||||||
var vectorSize = Vector<double>.Count;
|
var vectorSize = Vector<double>.Count;
|
||||||
var maxVector = new Vector<double>(double.MinValue);
|
var maxVector = new Vector<double>(double.MinValue);
|
||||||
|
|
||||||
int i = 0;
|
int i = 0;
|
||||||
for (; i <= span.Length - vectorSize; i += vectorSize) {
|
for (; i <= span.Length - vectorSize; i += vectorSize)
|
||||||
|
{
|
||||||
maxVector = Vector.Max(maxVector, new Vector<double>(span.Slice(i, vectorSize)));
|
maxVector = Vector.Max(maxVector, new Vector<double>(span.Slice(i, vectorSize)));
|
||||||
}
|
}
|
||||||
|
|
||||||
double max = double.MinValue;
|
double max = double.MinValue;
|
||||||
for (int j = 0; j < vectorSize; j++) {
|
for (int j = 0; j < vectorSize; j++)
|
||||||
|
{
|
||||||
max = Math.Max(max, maxVector[j]);
|
max = Math.Max(max, maxVector[j]);
|
||||||
}
|
}
|
||||||
|
|
||||||
for (; i < span.Length; i++) {
|
for (; i < span.Length; i++)
|
||||||
|
{
|
||||||
max = Math.Max(max, span[i]);
|
max = Math.Max(max, span[i]);
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -291,22 +326,26 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
}
|
}
|
||||||
|
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
private double MinSimd() {
|
private double MinSimd()
|
||||||
|
{
|
||||||
var span = GetSpan();
|
var span = GetSpan();
|
||||||
var vectorSize = Vector<double>.Count;
|
var vectorSize = Vector<double>.Count;
|
||||||
var minVector = new Vector<double>(double.MaxValue);
|
var minVector = new Vector<double>(double.MaxValue);
|
||||||
|
|
||||||
int i = 0;
|
int i = 0;
|
||||||
for (; i <= span.Length - vectorSize; i += vectorSize) {
|
for (; i <= span.Length - vectorSize; i += vectorSize)
|
||||||
|
{
|
||||||
minVector = Vector.Min(minVector, new Vector<double>(span.Slice(i, vectorSize)));
|
minVector = Vector.Min(minVector, new Vector<double>(span.Slice(i, vectorSize)));
|
||||||
}
|
}
|
||||||
|
|
||||||
double min = double.MaxValue;
|
double min = double.MaxValue;
|
||||||
for (int j = 0; j < vectorSize; j++) {
|
for (int j = 0; j < vectorSize; j++)
|
||||||
|
{
|
||||||
min = Math.Min(min, minVector[j]);
|
min = Math.Min(min, minVector[j]);
|
||||||
}
|
}
|
||||||
|
|
||||||
for (; i < span.Length; i++) {
|
for (; i < span.Length; i++)
|
||||||
|
{
|
||||||
min = Math.Min(min, span[i]);
|
min = Math.Min(min, span[i]);
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -314,22 +353,26 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
}
|
}
|
||||||
|
|
||||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||||
private double SumSimd() {
|
private double SumSimd()
|
||||||
|
{
|
||||||
var span = GetSpan();
|
var span = GetSpan();
|
||||||
var vectorSize = Vector<double>.Count;
|
var vectorSize = Vector<double>.Count;
|
||||||
var sumVector = Vector<double>.Zero;
|
var sumVector = Vector<double>.Zero;
|
||||||
|
|
||||||
int i = 0;
|
int i = 0;
|
||||||
for (; i <= span.Length - vectorSize; i += vectorSize) {
|
for (; i <= span.Length - vectorSize; i += vectorSize)
|
||||||
|
{
|
||||||
sumVector += new Vector<double>(span.Slice(i, vectorSize));
|
sumVector += new Vector<double>(span.Slice(i, vectorSize));
|
||||||
}
|
}
|
||||||
|
|
||||||
double sum = 0;
|
double sum = 0;
|
||||||
for (int j = 0; j < vectorSize; j++) {
|
for (int j = 0; j < vectorSize; j++)
|
||||||
|
{
|
||||||
sum += sumVector[j];
|
sum += sumVector[j];
|
||||||
}
|
}
|
||||||
|
|
||||||
for (; i < span.Length; i++) {
|
for (; i < span.Length; i++)
|
||||||
|
{
|
||||||
sum += span[i];
|
sum += span[i];
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -340,7 +383,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// Copies the buffer elements to a new array.
|
/// Copies the buffer elements to a new array.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <returns>An array containing copies of the buffer elements.</returns>
|
/// <returns>An array containing copies of the buffer elements.</returns>
|
||||||
public double[] ToArray() {
|
public double[] ToArray()
|
||||||
|
{
|
||||||
double[] array = new double[_size];
|
double[] array = new double[_size];
|
||||||
CopyTo(array, 0);
|
CopyTo(array, 0);
|
||||||
return array;
|
return array;
|
||||||
@@ -350,10 +394,12 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
/// Performs a parallel operation on the buffer elements.
|
/// Performs a parallel operation on the buffer elements.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="operation">The operation to perform on each partition of the buffer.</param>
|
/// <param name="operation">The operation to perform on each partition of the buffer.</param>
|
||||||
public void ParallelOperation(Func<double[], int, int, double> operation) {
|
public void ParallelOperation(Func<double[], int, int, double> operation)
|
||||||
|
{
|
||||||
const int MinimumPartitionSize = 1024;
|
const int MinimumPartitionSize = 1024;
|
||||||
|
|
||||||
if (_size < MinimumPartitionSize) {
|
if (_size < MinimumPartitionSize)
|
||||||
|
{
|
||||||
var span = GetSpan();
|
var span = GetSpan();
|
||||||
var array = span.ToArray();
|
var array = span.ToArray();
|
||||||
operation(array, 0, array.Length);
|
operation(array, 0, array.Length);
|
||||||
@@ -363,7 +409,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
int partitionCount = Environment.ProcessorCount;
|
int partitionCount = Environment.ProcessorCount;
|
||||||
int partitionSize = _size / partitionCount;
|
int partitionSize = _size / partitionCount;
|
||||||
|
|
||||||
if (partitionSize < MinimumPartitionSize) {
|
if (partitionSize < MinimumPartitionSize)
|
||||||
|
{
|
||||||
partitionCount = Math.Max(1, _size / MinimumPartitionSize);
|
partitionCount = Math.Max(1, _size / MinimumPartitionSize);
|
||||||
partitionSize = _size / partitionCount;
|
partitionSize = _size / partitionCount;
|
||||||
}
|
}
|
||||||
@@ -371,7 +418,8 @@ public class CircularBuffer : IEnumerable<double> {
|
|||||||
var buffer = ToArray();
|
var buffer = ToArray();
|
||||||
var results = new double[partitionCount];
|
var results = new double[partitionCount];
|
||||||
|
|
||||||
Parallel.For(0, partitionCount, i => {
|
Parallel.For(0, partitionCount, i =>
|
||||||
|
{
|
||||||
int start = i * partitionSize;
|
int start = i * partitionSize;
|
||||||
int length = (i == partitionCount - 1) ? _size - start : partitionSize;
|
int length = (i == partitionCount - 1) ? _size - start : partitionSize;
|
||||||
results[i] = operation(buffer, start, length);
|
results[i] = operation(buffer, start, length);
|
||||||
|
|||||||
@@ -9,7 +9,7 @@ public static class Formatters
|
|||||||
const string pad = "18";
|
const string pad = "18";
|
||||||
public static void Initialize()
|
public static void Initialize()
|
||||||
{
|
{
|
||||||
Formatter.Register<iTValue>((tick, writer) =>
|
Formatter.Register<ITValue>((tick, writer) =>
|
||||||
{
|
{
|
||||||
var sb = new StringBuilder();
|
var sb = new StringBuilder();
|
||||||
sb.Append("<table style='border-collapse: collapse; text-align: left;'><tr>");
|
sb.Append("<table style='border-collapse: collapse; text-align: left;'><tr>");
|
||||||
|
|||||||
+2
-2
@@ -1,6 +1,6 @@
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public interface iTBar
|
public interface ITBar
|
||||||
{
|
{
|
||||||
DateTime Time { get; }
|
DateTime Time { get; }
|
||||||
double Open { get; }
|
double Open { get; }
|
||||||
@@ -11,7 +11,7 @@ public interface iTBar
|
|||||||
bool IsNew { get; }
|
bool IsNew { get; }
|
||||||
}
|
}
|
||||||
|
|
||||||
public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true) : iTBar
|
public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true) : ITBar
|
||||||
{
|
{
|
||||||
public DateTime Time { get; init; } = Time;
|
public DateTime Time { get; init; } = Time;
|
||||||
public double Open { get; init; } = Open;
|
public double Open { get; init; } = Open;
|
||||||
|
|||||||
+2
-2
@@ -1,6 +1,6 @@
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
|
|
||||||
public interface iTValue
|
public interface ITValue
|
||||||
{
|
{
|
||||||
DateTime Time { get; }
|
DateTime Time { get; }
|
||||||
double Value { get; }
|
double Value { get; }
|
||||||
@@ -8,7 +8,7 @@ public interface iTValue
|
|||||||
bool IsHot { get; }
|
bool IsHot { get; }
|
||||||
}
|
}
|
||||||
|
|
||||||
public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true) : iTValue
|
public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true) : ITValue
|
||||||
{
|
{
|
||||||
public DateTime Time { get; init; } = Time;
|
public DateTime Time { get; init; } = Time;
|
||||||
public double Value { get; init; } = Value;
|
public double Value { get; init; } = Value;
|
||||||
|
|||||||
@@ -8,7 +8,7 @@ public class GbmFeed : TBarSeries
|
|||||||
private readonly Random _random;
|
private readonly Random _random;
|
||||||
private double _lastClose, _lastHigh, _lastLow;
|
private double _lastClose, _lastHigh, _lastLow;
|
||||||
|
|
||||||
public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2) : base()
|
public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2)
|
||||||
{
|
{
|
||||||
_lastClose = _lastHigh = _lastLow = initialPrice;
|
_lastClose = _lastHigh = _lastLow = initialPrice;
|
||||||
_mu = mu;
|
_mu = mu;
|
||||||
|
|||||||
@@ -16,7 +16,7 @@ public class Entropy : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 2.
|
/// Thrown when the period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Entropy(int period) : base()
|
public Entropy(int period)
|
||||||
{
|
{
|
||||||
if (period < 2)
|
if (period < 2)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -16,7 +16,7 @@ public class Kurtosis : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 4.
|
/// Thrown when the period is less than 4.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Kurtosis(int period) : base()
|
public Kurtosis(int period)
|
||||||
{
|
{
|
||||||
if (period < 4)
|
if (period < 4)
|
||||||
{
|
{
|
||||||
|
|||||||
@@ -20,7 +20,7 @@ public class Max : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 1 or decay is negative.
|
/// Thrown when the period is less than 1 or decay is negative.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Max(int period, double decay = 0) : base()
|
public Max(int period, double decay = 0)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -105,7 +105,7 @@ public class Max : AbstractBase
|
|||||||
}
|
}
|
||||||
|
|
||||||
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
|
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
|
||||||
_currentMax = _currentMax - decayRate * (_currentMax - _buffer.Average());
|
_currentMax -= decayRate * (_currentMax - _buffer.Average());
|
||||||
_currentMax = Math.Min(_currentMax, _buffer.Max());
|
_currentMax = Math.Min(_currentMax, _buffer.Max());
|
||||||
|
|
||||||
IsHot = true;
|
IsHot = true;
|
||||||
|
|||||||
@@ -16,7 +16,7 @@ public class Median : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when the period is less than 1.
|
/// Thrown when the period is less than 1.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Median(int period) : base()
|
public Median(int period)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
@@ -76,16 +76,7 @@ public class Median : AbstractBase
|
|||||||
Array.Sort(sortedValues);
|
Array.Sort(sortedValues);
|
||||||
int middleIndex = sortedValues.Length / 2;
|
int middleIndex = sortedValues.Length / 2;
|
||||||
|
|
||||||
if (sortedValues.Length % 2 == 0)
|
median = (sortedValues.Length % 2 == 0) ? (sortedValues[middleIndex - 1] + sortedValues[middleIndex]) / 2.0 : sortedValues[middleIndex];
|
||||||
{
|
|
||||||
// Even number of values: average of two middle values
|
|
||||||
median = (sortedValues[middleIndex - 1] + sortedValues[middleIndex]) / 2.0;
|
|
||||||
}
|
|
||||||
else
|
|
||||||
{
|
|
||||||
// Odd number of values: middle value
|
|
||||||
median = sortedValues[middleIndex];
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
|
|||||||
+24
-12
@@ -10,7 +10,8 @@ namespace QuanTAlib;
|
|||||||
/// efficiently. It also implements a decay mechanism to adjust the minimum value over
|
/// efficiently. It also implements a decay mechanism to adjust the minimum value over
|
||||||
/// time, allowing for a more responsive indicator in changing market conditions.
|
/// time, allowing for a more responsive indicator in changing market conditions.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Min : AbstractBase {
|
public class Min : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
private readonly double _halfLife;
|
private readonly double _halfLife;
|
||||||
@@ -25,11 +26,14 @@ public class Min : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 1 or decay is negative.
|
/// Thrown when period is less than 1 or decay is negative.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Min(int period, double decay = 0) : base() {
|
public Min(int period, double decay = 0)
|
||||||
if (period < 1) {
|
{
|
||||||
|
if (period < 1)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||||
}
|
}
|
||||||
if (decay < 0) {
|
if (decay < 0)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(decay), "Half-life must be non-negative.");
|
throw new ArgumentOutOfRangeException(nameof(decay), "Half-life must be non-negative.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -46,7 +50,8 @@ public class Min : AbstractBase {
|
|||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate the minimum value.</param>
|
/// <param name="period">The period over which to calculate the minimum value.</param>
|
||||||
/// <param name="decay">The decay factor to apply to older values (default is 0).</param>
|
/// <param name="decay">The decay factor to apply to older values (default is 0).</param>
|
||||||
public Min(object source, int period, double decay = 0) : this(period, decay) {
|
public Min(object source, int period, double decay = 0) : this(period, decay)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -54,7 +59,8 @@ public class Min : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Min instance by setting initial values.
|
/// Initializes the Min instance by setting initial values.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_currentMin = double.MaxValue;
|
_currentMin = double.MaxValue;
|
||||||
_timeSinceNewMin = 0;
|
_timeSinceNewMin = 0;
|
||||||
@@ -64,14 +70,18 @@ public class Min : AbstractBase {
|
|||||||
/// Manages the state of the Min instance based on whether a new value is being processed.
|
/// Manages the state of the Min instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_p_currentMin = _currentMin;
|
_p_currentMin = _currentMin;
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
_timeSinceNewMin++;
|
_timeSinceNewMin++;
|
||||||
_p_timeSinceNewMin = _timeSinceNewMin;
|
_p_timeSinceNewMin = _timeSinceNewMin;
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
_currentMin = _p_currentMin;
|
_currentMin = _p_currentMin;
|
||||||
_timeSinceNewMin = _p_timeSinceNewMin;
|
_timeSinceNewMin = _p_timeSinceNewMin;
|
||||||
}
|
}
|
||||||
@@ -87,17 +97,19 @@ public class Min : AbstractBase {
|
|||||||
/// The decay rate is calculated using an exponential function based on the time since
|
/// The decay rate is calculated using an exponential function based on the time since
|
||||||
/// the last new minimum and the specified half-life.
|
/// the last new minimum and the specified half-life.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
if (Input.Value <= _currentMin) {
|
if (Input.Value <= _currentMin)
|
||||||
|
{
|
||||||
_currentMin = Input.Value;
|
_currentMin = Input.Value;
|
||||||
_timeSinceNewMin = 0;
|
_timeSinceNewMin = 0;
|
||||||
}
|
}
|
||||||
|
|
||||||
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMin / Period);
|
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMin / Period);
|
||||||
_currentMin = _currentMin + decayRate * (_buffer.Average() - _currentMin);
|
_currentMin += decayRate * (_buffer.Average() - _currentMin);
|
||||||
_currentMin = Math.Max(_currentMin, _buffer.Min());
|
_currentMin = Math.Max(_currentMin, _buffer.Min());
|
||||||
|
|
||||||
IsHot = true;
|
IsHot = true;
|
||||||
|
|||||||
+19
-9
@@ -9,7 +9,8 @@ namespace QuanTAlib;
|
|||||||
/// efficiently. Before the specified period is reached, it returns the average of
|
/// efficiently. Before the specified period is reached, it returns the average of
|
||||||
/// the available values as an approximation.
|
/// the available values as an approximation.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Mode : AbstractBase {
|
public class Mode : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
|
|
||||||
@@ -20,8 +21,10 @@ public class Mode : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 1.
|
/// Thrown when period is less than 1.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Mode(int period) : base() {
|
public Mode(int period)
|
||||||
if (period < 1) {
|
{
|
||||||
|
if (period < 1)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -36,7 +39,8 @@ public class Mode : AbstractBase {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate the mode.</param>
|
/// <param name="period">The period over which to calculate the mode.</param>
|
||||||
public Mode(object source, int period) : this(period) {
|
public Mode(object source, int period) : this(period)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -45,8 +49,10 @@ public class Mode : AbstractBase {
|
|||||||
/// Manages the state of the Mode instance based on whether a new value is being processed.
|
/// Manages the state of the Mode instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -64,12 +70,14 @@ public class Mode : AbstractBase {
|
|||||||
/// the available values as an approximation of the mode. Once the period is
|
/// the available values as an approximation of the mode. Once the period is
|
||||||
/// reached, it calculates the true mode by grouping and counting the values.
|
/// reached, it calculates the true mode by grouping and counting the values.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double mode;
|
double mode;
|
||||||
if (_index >= Period) {
|
if (_index >= Period)
|
||||||
|
{
|
||||||
var values = _buffer.GetSpan().ToArray();
|
var values = _buffer.GetSpan().ToArray();
|
||||||
var groupedValues = values.GroupBy(v => v)
|
var groupedValues = values.GroupBy(v => v)
|
||||||
.OrderByDescending(g => g.Count())
|
.OrderByDescending(g => g.Count())
|
||||||
@@ -82,7 +90,9 @@ public class Mode : AbstractBase {
|
|||||||
.ToList();
|
.ToList();
|
||||||
|
|
||||||
mode = modes.Average(); // If there are multiple modes, we return their average
|
mode = modes.Average(); // If there are multiple modes, we return their average
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
mode = _buffer.Average(); // Use average until we have enough data points
|
mode = _buffer.Average(); // Use average until we have enough data points
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|||||||
@@ -10,7 +10,8 @@ namespace QuanTAlib;
|
|||||||
/// between two data points. Before the specified period is reached, it returns the
|
/// between two data points. Before the specified period is reached, it returns the
|
||||||
/// average of the available values as an approximation.
|
/// average of the available values as an approximation.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Percentile : AbstractBase {
|
public class Percentile : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly double Percent;
|
private readonly double Percent;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
@@ -23,11 +24,14 @@ public class Percentile : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2 or percent is not between 0 and 100.
|
/// Thrown when period is less than 2 or percent is not between 0 and 100.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Percentile(int period, double percent) : base() {
|
public Percentile(int period, double percent)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2 for percentile calculation.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2 for percentile calculation.");
|
||||||
}
|
}
|
||||||
if (percent < 0 || percent > 100) {
|
if (percent < 0 || percent > 100)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(percent), "Percent must be between 0 and 100.");
|
throw new ArgumentOutOfRangeException(nameof(percent), "Percent must be between 0 and 100.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -44,7 +48,8 @@ public class Percentile : AbstractBase {
|
|||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate the percentile.</param>
|
/// <param name="period">The period over which to calculate the percentile.</param>
|
||||||
/// <param name="percent">The percentile to calculate (between 0 and 100).</param>
|
/// <param name="percent">The percentile to calculate (between 0 and 100).</param>
|
||||||
public Percentile(object source, int period, double percent) : this(period, percent) {
|
public Percentile(object source, int period, double percent) : this(period, percent)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -52,7 +57,8 @@ public class Percentile : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Percentile instance by clearing the buffer.
|
/// Initializes the Percentile instance by clearing the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_buffer.Clear();
|
_buffer.Clear();
|
||||||
}
|
}
|
||||||
@@ -61,8 +67,10 @@ public class Percentile : AbstractBase {
|
|||||||
/// Manages the state of the Percentile instance based on whether a new value is being processed.
|
/// Manages the state of the Percentile instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -80,12 +88,14 @@ public class Percentile : AbstractBase {
|
|||||||
/// as an approximation. Once the period is reached, it calculates the true percentile by
|
/// as an approximation. Once the period is reached, it calculates the true percentile by
|
||||||
/// sorting the values and interpolating as necessary.
|
/// sorting the values and interpolating as necessary.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double result;
|
double result;
|
||||||
if (_buffer.Count >= Period) {
|
if (_buffer.Count >= Period)
|
||||||
|
{
|
||||||
var values = _buffer.GetSpan().ToArray();
|
var values = _buffer.GetSpan().ToArray();
|
||||||
Array.Sort(values);
|
Array.Sort(values);
|
||||||
|
|
||||||
@@ -93,16 +103,21 @@ public class Percentile : AbstractBase {
|
|||||||
int lowerIndex = (int)Math.Floor(position);
|
int lowerIndex = (int)Math.Floor(position);
|
||||||
int upperIndex = (int)Math.Ceiling(position);
|
int upperIndex = (int)Math.Ceiling(position);
|
||||||
|
|
||||||
if (lowerIndex == upperIndex) {
|
if (lowerIndex == upperIndex)
|
||||||
|
{
|
||||||
result = values[lowerIndex];
|
result = values[lowerIndex];
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
// Interpolate between the two nearest values
|
// Interpolate between the two nearest values
|
||||||
double lowerValue = values[lowerIndex];
|
double lowerValue = values[lowerIndex];
|
||||||
double upperValue = values[upperIndex];
|
double upperValue = values[upperIndex];
|
||||||
double fraction = position - lowerIndex;
|
double fraction = position - lowerIndex;
|
||||||
result = lowerValue + (upperValue - lowerValue) * fraction;
|
result = lowerValue + (upperValue - lowerValue) * fraction;
|
||||||
}
|
}
|
||||||
} else {
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
// Use average for insufficient data, like the Median class
|
// Use average for insufficient data, like the Median class
|
||||||
result = _buffer.Average();
|
result = _buffer.Average();
|
||||||
}
|
}
|
||||||
|
|||||||
+22
-11
@@ -10,7 +10,8 @@ namespace QuanTAlib;
|
|||||||
/// for sample skewness calculation. A minimum of 3 data points is required for the
|
/// for sample skewness calculation. A minimum of 3 data points is required for the
|
||||||
/// calculation.
|
/// calculation.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Skew : AbstractBase {
|
public class Skew : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
|
|
||||||
@@ -21,8 +22,10 @@ public class Skew : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 3.
|
/// Thrown when period is less than 3.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Skew(int period) : base() {
|
public Skew(int period)
|
||||||
if (period < 3) {
|
{
|
||||||
|
if (period < 3)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 3 for skewness calculation.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 3 for skewness calculation.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -37,7 +40,8 @@ public class Skew : AbstractBase {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate the skewness.</param>
|
/// <param name="period">The period over which to calculate the skewness.</param>
|
||||||
public Skew(object source, int period) : this(period) {
|
public Skew(object source, int period) : this(period)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -45,7 +49,8 @@ public class Skew : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Skew instance by clearing the buffer.
|
/// Initializes the Skew instance by clearing the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_buffer.Clear();
|
_buffer.Clear();
|
||||||
}
|
}
|
||||||
@@ -54,8 +59,10 @@ public class Skew : AbstractBase {
|
|||||||
/// Manages the state of the Skew instance based on whether a new value is being processed.
|
/// Manages the state of the Skew instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -73,13 +80,15 @@ public class Skew : AbstractBase {
|
|||||||
/// calculation. If there are fewer than 3 data points, or if the standard
|
/// calculation. If there are fewer than 3 data points, or if the standard
|
||||||
/// deviation is zero, the method returns 0.
|
/// deviation is zero, the method returns 0.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double skew = 0;
|
double skew = 0;
|
||||||
if (_buffer.Count >= 3) { // We need at least 3 data points for skewness
|
if (_buffer.Count >= 3)
|
||||||
|
{ // We need at least 3 data points for skewness
|
||||||
var values = _buffer.GetSpan().ToArray();
|
var values = _buffer.GetSpan().ToArray();
|
||||||
double mean = values.Average();
|
double mean = values.Average();
|
||||||
double n = values.Length;
|
double n = values.Length;
|
||||||
@@ -87,7 +96,8 @@ public class Skew : AbstractBase {
|
|||||||
double sumCubedDeviations = 0;
|
double sumCubedDeviations = 0;
|
||||||
double sumSquaredDeviations = 0;
|
double sumSquaredDeviations = 0;
|
||||||
|
|
||||||
foreach (var value in values) {
|
foreach (var value in values)
|
||||||
|
{
|
||||||
double deviation = value - mean;
|
double deviation = value - mean;
|
||||||
sumCubedDeviations += Math.Pow(deviation, 3);
|
sumCubedDeviations += Math.Pow(deviation, 3);
|
||||||
sumSquaredDeviations += Math.Pow(deviation, 2);
|
sumSquaredDeviations += Math.Pow(deviation, 2);
|
||||||
@@ -98,7 +108,8 @@ public class Skew : AbstractBase {
|
|||||||
double m2 = sumSquaredDeviations / n;
|
double m2 = sumSquaredDeviations / n;
|
||||||
double s3 = Math.Pow(m2, 1.5);
|
double s3 = Math.Pow(m2, 1.5);
|
||||||
|
|
||||||
if (s3 != 0) { // Avoid division by zero
|
if (s3 != 0)
|
||||||
|
{ // Avoid division by zero
|
||||||
skew = (Math.Sqrt(n * (n - 1)) / (n - 2)) * (m3 / s3);
|
skew = (Math.Sqrt(n * (n - 1)) / (n - 2)) * (m3 / s3);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -9,7 +9,8 @@ namespace QuanTAlib;
|
|||||||
/// standard deviation based on the isPopulation parameter. It uses a circular buffer
|
/// standard deviation based on the isPopulation parameter. It uses a circular buffer
|
||||||
/// to efficiently manage the data points within the specified period.
|
/// to efficiently manage the data points within the specified period.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Stddev : AbstractBase {
|
public class Stddev : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly bool IsPopulation;
|
private readonly bool IsPopulation;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
@@ -25,8 +26,10 @@ public class Stddev : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Stddev(int period, bool isPopulation = false) : base() {
|
public Stddev(int period, bool isPopulation = false)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -46,7 +49,8 @@ public class Stddev : AbstractBase {
|
|||||||
/// <param name="isPopulation">
|
/// <param name="isPopulation">
|
||||||
/// A flag indicating whether to calculate population (true) or sample (false) standard deviation.
|
/// A flag indicating whether to calculate population (true) or sample (false) standard deviation.
|
||||||
/// </param>
|
/// </param>
|
||||||
public Stddev(object source, int period, bool isPopulation = false) : this(period, isPopulation) {
|
public Stddev(object source, int period, bool isPopulation = false) : this(period, isPopulation)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -54,7 +58,8 @@ public class Stddev : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Stddev instance by clearing the buffer.
|
/// Initializes the Stddev instance by clearing the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_buffer.Clear();
|
_buffer.Clear();
|
||||||
}
|
}
|
||||||
@@ -63,8 +68,10 @@ public class Stddev : AbstractBase {
|
|||||||
/// Manages the state of the Stddev instance based on whether a new value is being processed.
|
/// Manages the state of the Stddev instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -83,13 +90,15 @@ public class Stddev : AbstractBase {
|
|||||||
/// where x is each value, mean is the average of all values, and n is the number of values.
|
/// where x is each value, mean is the average of all values, and n is the number of values.
|
||||||
/// If there's only one value in the buffer, the method returns 0.
|
/// If there's only one value in the buffer, the method returns 0.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double stddev = 0;
|
double stddev = 0;
|
||||||
if (_buffer.Count > 1) {
|
if (_buffer.Count > 1)
|
||||||
|
{
|
||||||
var values = _buffer.GetSpan().ToArray();
|
var values = _buffer.GetSpan().ToArray();
|
||||||
double mean = values.Average();
|
double mean = values.Average();
|
||||||
double sumOfSquaredDifferences = values.Sum(x => Math.Pow(x - mean, 2));
|
double sumOfSquaredDifferences = values.Sum(x => Math.Pow(x - mean, 2));
|
||||||
|
|||||||
@@ -9,7 +9,8 @@ namespace QuanTAlib;
|
|||||||
/// variance based on the isPopulation parameter. It uses a circular buffer
|
/// variance based on the isPopulation parameter. It uses a circular buffer
|
||||||
/// to efficiently manage the data points within the specified period.
|
/// to efficiently manage the data points within the specified period.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Variance : AbstractBase {
|
public class Variance : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly bool IsPopulation;
|
private readonly bool IsPopulation;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
@@ -25,8 +26,10 @@ public class Variance : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Variance(int period, bool isPopulation = false) : base() {
|
public Variance(int period, bool isPopulation = false)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -46,7 +49,8 @@ public class Variance : AbstractBase {
|
|||||||
/// <param name="isPopulation">
|
/// <param name="isPopulation">
|
||||||
/// A flag indicating whether to calculate population (true) or sample (false) variance.
|
/// A flag indicating whether to calculate population (true) or sample (false) variance.
|
||||||
/// </param>
|
/// </param>
|
||||||
public Variance(object source, int period, bool isPopulation = false) : this(period, isPopulation) {
|
public Variance(object source, int period, bool isPopulation = false) : this(period, isPopulation)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -54,7 +58,8 @@ public class Variance : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Variance instance by clearing the buffer.
|
/// Initializes the Variance instance by clearing the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_buffer.Clear();
|
_buffer.Clear();
|
||||||
}
|
}
|
||||||
@@ -63,8 +68,10 @@ public class Variance : AbstractBase {
|
|||||||
/// Manages the state of the Variance instance based on whether a new value is being processed.
|
/// Manages the state of the Variance instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -83,13 +90,15 @@ public class Variance : AbstractBase {
|
|||||||
/// where x is each value, mean is the average of all values, and n is the number of values.
|
/// where x is each value, mean is the average of all values, and n is the number of values.
|
||||||
/// If there's only one value in the buffer, the method returns 0.
|
/// If there's only one value in the buffer, the method returns 0.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double variance = 0;
|
double variance = 0;
|
||||||
if (_buffer.Count > 1) {
|
if (_buffer.Count > 1)
|
||||||
|
{
|
||||||
var values = _buffer.GetSpan().ToArray();
|
var values = _buffer.GetSpan().ToArray();
|
||||||
double mean = values.Average();
|
double mean = values.Average();
|
||||||
double sumOfSquaredDifferences = values.Sum(x => Math.Pow(x - mean, 2));
|
double sumOfSquaredDifferences = values.Sum(x => Math.Pow(x - mean, 2));
|
||||||
|
|||||||
+20
-10
@@ -9,7 +9,8 @@ namespace QuanTAlib;
|
|||||||
/// the most recent value in a given period. It uses a circular buffer to
|
/// the most recent value in a given period. It uses a circular buffer to
|
||||||
/// efficiently manage the data points within the specified period.
|
/// efficiently manage the data points within the specified period.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Zscore : AbstractBase {
|
public class Zscore : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
|
|
||||||
@@ -20,8 +21,10 @@ public class Zscore : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Zscore(int period) : base() {
|
public Zscore(int period)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2 for Z-score calculation.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2 for Z-score calculation.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -36,7 +39,8 @@ public class Zscore : AbstractBase {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate the Z-score.</param>
|
/// <param name="period">The period over which to calculate the Z-score.</param>
|
||||||
public Zscore(object source, int period) : this(period) {
|
public Zscore(object source, int period) : this(period)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -44,7 +48,8 @@ public class Zscore : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Zscore instance by clearing the buffer.
|
/// Initializes the Zscore instance by clearing the buffer.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_buffer.Clear();
|
_buffer.Clear();
|
||||||
}
|
}
|
||||||
@@ -53,8 +58,10 @@ public class Zscore : AbstractBase {
|
|||||||
/// Manages the state of the Zscore instance based on whether a new value is being processed.
|
/// Manages the state of the Zscore instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -72,13 +79,15 @@ public class Zscore : AbstractBase {
|
|||||||
/// where x is the input value, μ is the mean of the period, and σ is the sample standard deviation.
|
/// where x is the input value, μ is the mean of the period, and σ is the sample standard deviation.
|
||||||
/// If there are fewer than 2 data points or if the standard deviation is 0, the method returns 0.
|
/// If there are fewer than 2 data points or if the standard deviation is 0, the method returns 0.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double zScore = 0;
|
double zScore = 0;
|
||||||
if (_buffer.Count >= 2) { // We need at least 2 data points for Z-score
|
if (_buffer.Count >= 2)
|
||||||
|
{ // We need at least 2 data points for Z-score
|
||||||
var values = _buffer.GetSpan().ToArray();
|
var values = _buffer.GetSpan().ToArray();
|
||||||
double mean = values.Average();
|
double mean = values.Average();
|
||||||
double n = values.Length;
|
double n = values.Length;
|
||||||
@@ -86,7 +95,8 @@ public class Zscore : AbstractBase {
|
|||||||
double sumSquaredDeviations = values.Sum(x => Math.Pow(x - mean, 2));
|
double sumSquaredDeviations = values.Sum(x => Math.Pow(x - mean, 2));
|
||||||
double standardDeviation = Math.Sqrt(sumSquaredDeviations / (n - 1)); // Sample standard deviation
|
double standardDeviation = Math.Sqrt(sumSquaredDeviations / (n - 1)); // Sample standard deviation
|
||||||
|
|
||||||
if (standardDeviation != 0) { // Avoid division by zero
|
if (standardDeviation != 0)
|
||||||
|
{ // Avoid division by zero
|
||||||
zScore = (Input.Value - mean) / standardDeviation;
|
zScore = (Input.Value - mean) / standardDeviation;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -9,7 +9,8 @@ namespace QuanTAlib;
|
|||||||
/// both annualized and non-annualized volatility measures. The calculation uses a sample
|
/// both annualized and non-annualized volatility measures. The calculation uses a sample
|
||||||
/// standard deviation formula and assumes 252 trading days in a year for annualization.
|
/// standard deviation formula and assumes 252 trading days in a year for annualization.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Historical : AbstractBase {
|
public class Historical : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly bool IsAnnualized;
|
private readonly bool IsAnnualized;
|
||||||
private readonly CircularBuffer _buffer;
|
private readonly CircularBuffer _buffer;
|
||||||
@@ -24,8 +25,10 @@ public class Historical : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Historical(int period, bool isAnnualized = true) : base() {
|
public Historical(int period, bool isAnnualized = true)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -43,7 +46,8 @@ public class Historical : AbstractBase {
|
|||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate historical volatility.</param>
|
/// <param name="period">The period over which to calculate historical volatility.</param>
|
||||||
/// <param name="isAnnualized">Whether to annualize the volatility (default is true).</param>
|
/// <param name="isAnnualized">Whether to annualize the volatility (default is true).</param>
|
||||||
public Historical(object source, int period, bool isAnnualized = true) : this(period, isAnnualized) {
|
public Historical(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -51,7 +55,8 @@ public class Historical : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Historical instance by clearing buffers and resetting the previous close value.
|
/// Initializes the Historical instance by clearing buffers and resetting the previous close value.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_buffer.Clear();
|
_buffer.Clear();
|
||||||
_logReturns.Clear();
|
_logReturns.Clear();
|
||||||
@@ -62,8 +67,10 @@ public class Historical : AbstractBase {
|
|||||||
/// Manages the state of the Historical instance based on whether a new value is being processed.
|
/// Manages the state of the Historical instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -82,19 +89,23 @@ public class Historical : AbstractBase {
|
|||||||
/// 3. If annualized, multiply by the square root of 252 (assumed trading days in a year).
|
/// 3. If annualized, multiply by the square root of 252 (assumed trading days in a year).
|
||||||
/// The method returns 0 until enough data points are available for the calculation.
|
/// The method returns 0 until enough data points are available for the calculation.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_buffer.Add(Input.Value, Input.IsNew);
|
_buffer.Add(Input.Value, Input.IsNew);
|
||||||
|
|
||||||
double volatility = 0;
|
double volatility = 0;
|
||||||
if (_buffer.Count > 1) {
|
if (_buffer.Count > 1)
|
||||||
if (_previousClose != 0) {
|
{
|
||||||
|
if (_previousClose != 0)
|
||||||
|
{
|
||||||
double logReturn = Math.Log(Input.Value / _previousClose);
|
double logReturn = Math.Log(Input.Value / _previousClose);
|
||||||
_logReturns.Add(logReturn, Input.IsNew);
|
_logReturns.Add(logReturn, Input.IsNew);
|
||||||
}
|
}
|
||||||
|
|
||||||
if (_logReturns.Count == Period) {
|
if (_logReturns.Count == Period)
|
||||||
|
{
|
||||||
var returns = _logReturns.GetSpan().ToArray();
|
var returns = _logReturns.GetSpan().ToArray();
|
||||||
double mean = returns.Average();
|
double mean = returns.Average();
|
||||||
double sumOfSquaredDifferences = returns.Sum(x => Math.Pow(x - mean, 2));
|
double sumOfSquaredDifferences = returns.Sum(x => Math.Pow(x - mean, 2));
|
||||||
@@ -102,7 +113,8 @@ public class Historical : AbstractBase {
|
|||||||
double variance = sumOfSquaredDifferences / (Period - 1); // Using sample standard deviation
|
double variance = sumOfSquaredDifferences / (Period - 1); // Using sample standard deviation
|
||||||
volatility = Math.Sqrt(variance);
|
volatility = Math.Sqrt(variance);
|
||||||
|
|
||||||
if (IsAnnualized) {
|
if (IsAnnualized)
|
||||||
|
{
|
||||||
// Assuming 252 trading days in a year. Adjust as needed.
|
// Assuming 252 trading days in a year. Adjust as needed.
|
||||||
volatility *= Math.Sqrt(252);
|
volatility *= Math.Sqrt(252);
|
||||||
}
|
}
|
||||||
|
|||||||
+22
-11
@@ -9,7 +9,8 @@ namespace QuanTAlib;
|
|||||||
/// both annualized and non-annualized volatility measures. The calculation uses a rolling
|
/// both annualized and non-annualized volatility measures. The calculation uses a rolling
|
||||||
/// sum of squared returns for efficiency and assumes 252 trading days in a year for annualization.
|
/// sum of squared returns for efficiency and assumes 252 trading days in a year for annualization.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Realized : AbstractBase {
|
public class Realized : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private readonly bool IsAnnualized;
|
private readonly bool IsAnnualized;
|
||||||
private readonly CircularBuffer _returns;
|
private readonly CircularBuffer _returns;
|
||||||
@@ -24,8 +25,10 @@ public class Realized : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Realized(int period, bool isAnnualized = true) : base() {
|
public Realized(int period, bool isAnnualized = true)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -39,7 +42,8 @@ public class Realized : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Realized instance by clearing buffers and resetting calculation variables.
|
/// Initializes the Realized instance by clearing buffers and resetting calculation variables.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_returns.Clear();
|
_returns.Clear();
|
||||||
_previousClose = 0;
|
_previousClose = 0;
|
||||||
@@ -50,8 +54,10 @@ public class Realized : AbstractBase {
|
|||||||
/// Manages the state of the Realized instance based on whether a new value is being processed.
|
/// Manages the state of the Realized instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Input.Value;
|
_lastValidValue = Input.Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -72,14 +78,17 @@ public class Realized : AbstractBase {
|
|||||||
/// 5. If annualized, multiply by the square root of 252 (assumed trading days in a year).
|
/// 5. If annualized, multiply by the square root of 252 (assumed trading days in a year).
|
||||||
/// The method returns 0 until enough data points are available for the calculation.
|
/// The method returns 0 until enough data points are available for the calculation.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
double volatility = 0;
|
double volatility = 0;
|
||||||
if (_previousClose != 0) {
|
if (_previousClose != 0)
|
||||||
|
{
|
||||||
double logReturn = Math.Log(Input.Value / _previousClose);
|
double logReturn = Math.Log(Input.Value / _previousClose);
|
||||||
|
|
||||||
if (_returns.Count == Period) {
|
if (_returns.Count == Period)
|
||||||
|
{
|
||||||
// Remove the oldest squared return from the sum
|
// Remove the oldest squared return from the sum
|
||||||
_sumSquaredReturns -= Math.Pow(_returns[0], 2);
|
_sumSquaredReturns -= Math.Pow(_returns[0], 2);
|
||||||
}
|
}
|
||||||
@@ -87,11 +96,13 @@ public class Realized : AbstractBase {
|
|||||||
_returns.Add(logReturn, Input.IsNew);
|
_returns.Add(logReturn, Input.IsNew);
|
||||||
_sumSquaredReturns += Math.Pow(logReturn, 2);
|
_sumSquaredReturns += Math.Pow(logReturn, 2);
|
||||||
|
|
||||||
if (_returns.Count == Period) {
|
if (_returns.Count == Period)
|
||||||
|
{
|
||||||
double variance = _sumSquaredReturns / Period;
|
double variance = _sumSquaredReturns / Period;
|
||||||
volatility = Math.Sqrt(variance);
|
volatility = Math.Sqrt(variance);
|
||||||
|
|
||||||
if (IsAnnualized) {
|
if (IsAnnualized)
|
||||||
|
{
|
||||||
// Assuming 252 trading days in a year. Adjust as needed.
|
// Assuming 252 trading days in a year. Adjust as needed.
|
||||||
volatility *= Math.Sqrt(252);
|
volatility *= Math.Sqrt(252);
|
||||||
}
|
}
|
||||||
|
|||||||
+19
-15
@@ -13,10 +13,11 @@ namespace QuanTAlib;
|
|||||||
/// This implementation uses a combination of Standard Deviation and Simple Moving Average
|
/// This implementation uses a combination of Standard Deviation and Simple Moving Average
|
||||||
/// calculations to compute the RVI.
|
/// calculations to compute the RVI.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
public class Rvi : AbstractBase {
|
public class Rvi : AbstractBase
|
||||||
|
{
|
||||||
private readonly int Period;
|
private readonly int Period;
|
||||||
private Stddev _upStdDev, _downStdDev;
|
private readonly Stddev _upStdDev, _downStdDev;
|
||||||
private Sma _upSma, _downSma;
|
private readonly Sma _upSma, _downSma;
|
||||||
private double _previousClose;
|
private double _previousClose;
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
@@ -26,8 +27,10 @@ public class Rvi : AbstractBase {
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 2.
|
/// Thrown when period is less than 2.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Rvi(int period) : base() {
|
public Rvi(int period)
|
||||||
if (period < 2) {
|
{
|
||||||
|
if (period < 2)
|
||||||
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
|
||||||
}
|
}
|
||||||
Period = period;
|
Period = period;
|
||||||
@@ -45,7 +48,8 @@ public class Rvi : AbstractBase {
|
|||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="source">The source object to subscribe to for value updates.</param>
|
/// <param name="source">The source object to subscribe to for value updates.</param>
|
||||||
/// <param name="period">The period over which to calculate the RVI.</param>
|
/// <param name="period">The period over which to calculate the RVI.</param>
|
||||||
public Rvi(object source, int period) : this(period) {
|
public Rvi(object source, int period) : this(period)
|
||||||
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
@@ -53,7 +57,8 @@ public class Rvi : AbstractBase {
|
|||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes the Rvi instance by setting up the initial state.
|
/// Initializes the Rvi instance by setting up the initial state.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
public override void Init() {
|
public override void Init()
|
||||||
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
_previousClose = 0;
|
_previousClose = 0;
|
||||||
}
|
}
|
||||||
@@ -62,8 +67,10 @@ public class Rvi : AbstractBase {
|
|||||||
/// Manages the state of the Rvi instance based on whether a new value is being processed.
|
/// Manages the state of the Rvi instance based on whether a new value is being processed.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
/// <param name="isNew">Indicates whether the current input is a new value.</param>
|
||||||
protected override void ManageState(bool isNew) {
|
protected override void ManageState(bool isNew)
|
||||||
if (isNew) {
|
{
|
||||||
|
if (isNew)
|
||||||
|
{
|
||||||
_lastValidValue = Value;
|
_lastValidValue = Value;
|
||||||
_index++;
|
_index++;
|
||||||
}
|
}
|
||||||
@@ -84,7 +91,8 @@ public class Rvi : AbstractBase {
|
|||||||
/// 5. Compute the RVI as a percentage of up volatility to total volatility.
|
/// 5. Compute the RVI as a percentage of up volatility to total volatility.
|
||||||
/// The method returns 0 if the sum of up and down volatility is zero.
|
/// The method returns 0 if the sum of up and down volatility is zero.
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
protected override double Calculation() {
|
protected override double Calculation()
|
||||||
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
double close = Input.Value;
|
double close = Input.Value;
|
||||||
@@ -97,11 +105,7 @@ public class Rvi : AbstractBase {
|
|||||||
_downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
|
_downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
|
||||||
|
|
||||||
double rvi;
|
double rvi;
|
||||||
if (_upSma.Value + _downSma.Value != 0) {
|
rvi = (_upSma.Value + _downSma.Value != 0) ? 100 * _upSma.Value / (_upSma.Value + _downSma.Value) : 0;
|
||||||
rvi = 100 * _upSma.Value / (_upSma.Value + _downSma.Value);
|
|
||||||
} else {
|
|
||||||
rvi = 0;
|
|
||||||
}
|
|
||||||
|
|
||||||
_previousClose = close;
|
_previousClose = close;
|
||||||
IsHot = _index >= WarmupPeriod;
|
IsHot = _index >= WarmupPeriod;
|
||||||
|
|||||||
Reference in New Issue
Block a user