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Miha
2022-04-20 00:01:33 -07:00
parent df9023b4d6
commit bbea1afb71
34 changed files with 110 additions and 1033 deletions
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Source/Statistics/KURT_Series.cs
+4 -4
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@@ -33,10 +33,10 @@ public class KURT_Series : Single_TSeries_Indicator
protected double _logbase = 2.0;
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = d.v; }
else { this._buffer.Add(d.v); }
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
double _n = this._buffer.Count;
@@ -56,7 +56,7 @@ public class KURT_Series : Single_TSeries_Indicator
double _Vx = _s2 / (_n - 1);
double _kurt = (_n > 3) ? (((_n * (_n + 1)) / ((_n - 1) * (_n - 2) * (_n - 3))) * (_s4 / (_Vx * _Vx)) - (3 * ((_n - 1) * (_n - 1) / ((_n - 2) * (_n - 3))))) : Double.NaN;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? Double.NaN : _kurt);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? Double.NaN : _kurt);
base.Add(result, update);
}
}
Source/Statistics/MAD_Series.cs
+4 -4
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@@ -22,10 +22,10 @@ public class MAD_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -36,7 +36,7 @@ public class MAD_Series : Single_TSeries_Indicator
for (int i = 0; i < _buffer.Count; i++) { _mad += Math.Abs(_buffer[i] - _sma); }
_mad /= this._buffer.Count;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _mad);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _mad);
base.Add(result, update);
}
}
Source/Statistics/MAPE_Series.cs
+4 -4
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@@ -25,10 +25,10 @@ public class MAPE_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -39,7 +39,7 @@ public class MAPE_Series : Single_TSeries_Indicator
for (int i = 0; i < _buffer.Count; i++) { _mape += (_buffer[i] != 0) ? Math.Abs(_buffer[i] - _sma) / Math.Abs(_buffer[i]) : double.PositiveInfinity; }
_mape /= this._buffer.Count;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _mape);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _mape);
base.Add(result, update);
}
}
Source/Statistics/MED_Series.cs
+4 -4
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@@ -28,10 +28,10 @@ public class MED_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = d.v; }
else { this._buffer.Add(d.v); }
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
System.Collections.Generic.List<double> _s = new(this._buffer);
@@ -40,7 +40,7 @@ public class MED_Series : Single_TSeries_Indicator
int _p2 = Math.Max(0, _s.Count / 2 - 1);
double _med = (_s.Count % 2 != 0) ? _s[_p1] : (_s[_p1] + _s[_p2]) / 2;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _med);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _med);
base.Add(result, update);
}
Source/Statistics/MSE_Series.cs
+4 -4
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@@ -18,10 +18,10 @@ public class MSE_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -32,7 +32,7 @@ public class MSE_Series : Single_TSeries_Indicator
for (int i = 0; i < _buffer.Count; i++) { _mse += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_mse /= this._buffer.Count;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _mse);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _mse);
base.Add(result, update);
}
}
Source/Statistics/PSDEV_Series.cs
+4 -4
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@@ -23,10 +23,10 @@ public class PSDEV_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -38,7 +38,7 @@ public class PSDEV_Series : Single_TSeries_Indicator
_pvar /= this._buffer.Count;
double _psdev = Math.Sqrt(_pvar);
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _psdev);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _psdev);
base.Add(result, update);
}
}
Source/Statistics/PVAR_Series.cs
+4 -4
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@@ -23,10 +23,10 @@ public class PVAR_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -37,7 +37,7 @@ public class PVAR_Series : Single_TSeries_Indicator
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_pvar /= this._buffer.Count;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _pvar);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _pvar);
base.Add(result, update);
}
}
Source/Statistics/SDEV_Series.cs
+4 -4
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@@ -23,10 +23,10 @@ public class SDEV_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = d.v; }
else { this._buffer.Add(d.v); }
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
double _sma = 0;
@@ -38,7 +38,7 @@ public class SDEV_Series : Single_TSeries_Indicator
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
double _ssdev = Math.Sqrt(_svar);
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ssdev);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ssdev);
base.Add(result, update);
}
}
Source/Statistics/SMAPE_Series.cs
+4 -4
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@@ -18,10 +18,10 @@ public class SMAPE_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -32,7 +32,7 @@ public class SMAPE_Series : Single_TSeries_Indicator
for (int i = 0; i < _buffer.Count; i++) { _smape += Math.Abs(_buffer[i] - _sma) / (Math.Abs(_buffer[i]) + Math.Abs(_sma)); }
_smape /= this._buffer.Count;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _smape);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _smape);
base.Add(result, update);
}
}
Source/Statistics/VAR_Series.cs
+4 -4
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@@ -23,10 +23,10 @@ public class VAR_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = d.v; }
else { this._buffer.Add(d.v); }
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
double _sma = 0;
@@ -37,7 +37,7 @@ public class VAR_Series : Single_TSeries_Indicator
for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _svar);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _svar);
base.Add(result, update);
}
}
Source/Statistics/WMAPE_Series.cs
+5 -5
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@@ -1,4 +1,4 @@
namespace QuanTAlib;
namespace QuanTAlib;
using System;
/* <summary>
@@ -18,10 +18,10 @@ public class WMAPE_Series : Single_TSeries_Indicator
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) d, bool update)
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = d.v; }
else { _buffer.Add(d.v); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
@@ -37,7 +37,7 @@ public class WMAPE_Series : Single_TSeries_Indicator
}
_wmape /= _div;
var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _wmape);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _wmape);
base.Add(result, update);
}
}