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EMA update - v 0.1.27

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Miha Kralj
2023-01-09 13:42:06 -08:00
parent 0b98db9ebb da34d7de38
commit bbd3ccb641
5 changed files with 50 additions and 35 deletions
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Source/QuanTAlib.csproj
+1 -1
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@@ -2,7 +2,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<Title>QuanTAlib</Title>
<Version>0.1.26</Version>
<Version>0.1.27</Version>
<Product>Library of Technical Indicators for .NET</Product>
<Description>Quantitative Technical Analysis library for real-time (streaming) data analysis</Description>
<RepositoryType>git</RepositoryType>
Source/Trends/EMA_Series.cs
+42 -34
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@@ -20,43 +20,51 @@ Issues:
</summary> */
public class EMA_Series : Single_TSeries_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m;
private double _lastema, _lastlastema;
private readonly bool _useSMA;
public class EMA_Series : Single_TSeries_Indicator {
private double _k;
private double _lastema, _lastlastema;
private double _sum, _oldsum;
private int _len, _oldlen;
private readonly bool _useSMA;
public EMA_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN)
{
this._k = 2.0 / (this._p + 1);
this._k1m = 1.0 - this._k;
this._lastema = this._lastlastema = 0;
_useSMA = useSMA;
if (this._data.Count > 0) { base.Add(this._data); }
}
public EMA_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) {
this._k = 2.0 / (this._p + 1);
_sum = _oldsum = _lastema = _lastlastema = 0;
_len = _oldlen = 0;
_useSMA = useSMA;
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((DateTime t, double v) TValue, bool update)
{
double _ema;
if (update) { this._lastema = this._lastlastema; }
if (this.Count == 0) { _lastema = TValue.v; }
public override void Add((DateTime t, double v) TValue, bool update) {
double _ema = 0;
if (update) { _lastema = _lastlastema; _sum = _oldsum; }
else { _lastlastema = _lastema; _oldsum = _sum; _len++; }
if (this.Count < this._p && _useSMA)
{
Add_Replace(_buffer, TValue.v, update);
_ema = 0;
for (int i = 0; i < _buffer.Count; i++) { _ema += _buffer[i]; }
_ema /= _buffer.Count;
}
else
{
_ema = (TValue.v * this._k) + (this._lastema * this._k1m);
}
// when period = 0, create cumulative/additive series where _k is progressively larger
if (_period == 0) { _k = 2.0 / (_len + 1); }
this._lastlastema = this._lastema;
this._lastema = _ema;
// the first value of the series
if (this.Count == 0) {
_ema = _sum = TValue.v;
}
// if SMA is used for seeding, calculate SMA within period
else if (_len <= _period && _useSMA && _p != 0) {
_sum += TValue.v;
if (_period != 0 && _len > _period) {
_sum -= (_data[base.Count - _period - (update ? 1 : 0)].v);
}
_ema = _sum / Math.Min(_len, _period);
}
// calculate EMA out from last EMA and factor k
else {
_ema = _k * (TValue.v - _lastema) + _lastema;
}
_lastema = _ema;
base.Add((TValue.t, _ema), update, _NaN);
}
base.Add((TValue.t, _ema), update, _NaN);
}
public void Reset() {
_sum = _oldsum = _lastema = _lastlastema = 0;
_len = _oldlen = 0;
}
}
Source/Trends/SMA_Series.cs
+1
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@@ -29,6 +29,7 @@ public class SMA_Series : Single_TSeries_Indicator {
public override void Add((DateTime t, double v) TValue, bool update) {
if (update) { _sum = _oldsum; }
else { _oldsum = _sum; _len++; }
_sum += TValue.v;
if (_period != 0 && _len > _period) {
_sum -= (_data[base.Count - _period - (update ? 1 : 0)].v);
Tests/Validations/Trends/Pandas_TA.cs
+4
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@@ -144,6 +144,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
*/
[Fact] void EMA() {
EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period);
@@ -154,6 +155,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact] void ENTROPY() {
ENTROPY_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.entropy(close: df.close, length: period);
@@ -307,6 +309,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
*/
[Fact] void SMA() {
SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period);
@@ -317,6 +320,7 @@ public class PandasTA : IDisposable
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact] void SSDEV() {
SSDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
Tests/Validations/Trends/TA_LIB.cs
+2
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@@ -239,6 +239,7 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void MAMA()
{
@@ -251,6 +252,7 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits-1), Math.Exp(-digits-1));
}
}
*/
[Fact]
public void MAX()
{