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macos dev update

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Miha
2024-10-26 23:54:55 -07:00
parent e4f718a365
commit c21b96152c
28 changed files with 458 additions and 345 deletions
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notebooks/charting.dib
+5 -5
View File
@@ -4,7 +4,7 @@
#!csharp
#r "..\lib\obj\Debug\QuanTAlib.dll"
#r "../lib/obj/Debug/QuanTAlib.dll"
using QuanTAlib;
QuanTAlib.Formatters.Initialize();
@@ -40,14 +40,14 @@ Formatter.Register(typeof(ScottPlot.Plot), (p, w) =>
TSeries ma1 = Spike;
TSeries out1 = new();
Ema calc1 = new(10);
Jma calc1 = new(period: 7, phase: 0, factor: 0.30, buffer: 2);
foreach (var value in ma1) { out1.Add(calc1.Calc(value)); }
double[] gma1 = ma1.v.ToArray()[52..];
double[] gsig1 = out1.v.ToArray()[52..];
TSeries ma2 = Impulse;
TSeries out2 = new();
Ema calc2 = new(10);
Jma calc2 = new(period: 7, phase: 0, factor: 0.20, buffer: 2);
foreach (var value in ma2) { out2.Add(calc2.Calc(value)); }
double[] gma2 = ma2.v.ToArray()[52..];
double[] gsig2 = out2.v.ToArray()[52..];
@@ -57,12 +57,12 @@ double[] gsig2 = out2.v.ToArray()[52..];
Plot plt1 = new();
var p1a = plt1.Add.Signal(gma1); p1a.Color = ScottPlot.Colors.Red; p1a.LineWidth = 2;
var p1b = plt1.Add.Signal(gsig1); p1b.Color = ScottPlot.Colors.Blue; p1b.LineWidth = 3;
plt1.Title("Spike - EMA(10)");
plt1.Title("Spike - JMA(10)");
Plot plt2 = new();
var p2a = plt2.Add.Signal(gma2); p2a.Color = ScottPlot.Colors.Red; p2a.LineWidth = 2;
var p2b = plt2.Add.Signal(gsig2); p2b.Color = ScottPlot.Colors.Blue; p2b.LineWidth = 3;
plt2.Title("Impulse - EMA(10)");
plt2.Title("Impulse - JMA(10)");
plt1.Display();
plt2.Display();
notebooks/jma.dib
+4 -156
View File
@@ -41,7 +41,7 @@ plt.Display();
#!csharp
#r "..\lib\obj\Debug\QuanTAlib.dll"
#r "../lib/obj/Debug/QuanTAlib.dll"
using QuanTAlib;
QuanTAlib.Formatters.Initialize();
@@ -82,163 +82,11 @@ TSeries MarketJMA = new() { 0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,
#!csharp
public class Jmaxx : AbstractBase
{
private readonly double _period;
private readonly double _phase;
private readonly CircularBuffer _vsumBuff;
private readonly CircularBuffer _avoltyBuff;
private double _len1;
private double _pow1;
private readonly double _beta;
private double _upperBand, _lowerBand, _p_upperBand, _p_lowerBand;
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _vSum, _p_vSum;
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
/// <summary>
/// Initializes a new instance of the Jma class with the specified parameters.
/// </summary>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
public Jmaxx(int period, int phase = 0)
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
_period = period;
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_vsumBuff = new CircularBuffer(10);
_avoltyBuff = new CircularBuffer(65);
_beta = 0.45 * (_period - 1) / (0.45 * (_period - 1) + 2);
WarmupPeriod = (int)_period * 2;
Name = $"JMA({period})";
}
/// <summary>
/// Initializes the Jma instance by setting up the initial state.
/// </summary>
public override void Init()
{
base.Init();
_upperBand = _lowerBand = 0.0;
_p_upperBand = _p_lowerBand = 0.0;
_len1 = Math.Max((Math.Log(Math.Sqrt(_period - 1)) / Math.Log(2.0)) + 2.0, 0);
_pow1 = Math.Max(_len1 - 2.0, 0.5);
_avoltyBuff.Clear();
_vsumBuff.Clear();
}
/// <summary>
/// Manages the state of the Jma instance based on whether a new value is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new value.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
{
_index++;
_p_upperBand = _upperBand;
_p_lowerBand = _lowerBand;
_p_vSum = _vSum;
_p_prevMa1 = _prevMa1;
_p_prevDet0 = _prevDet0;
_p_prevDet1 = _prevDet1;
_p_prevJma = _prevJma;
}
else
{
_upperBand = _p_upperBand;
_lowerBand = _p_lowerBand;
_vSum = _p_vSum;
_prevMa1 = _p_prevMa1;
_prevDet0 = _p_prevDet0;
_prevDet1 = _p_prevDet1;
_prevJma = _p_prevJma;
}
}
/// <summary>
/// Performs the Jma calculation for the current value.
/// </summary>
/// <returns>
/// The calculated Jma value for the current input.
/// </returns>
protected override double Calculation()
{
ManageState(Input.IsNew);
double price = Input.Value;
if (_index == 1)
{
_upperBand = _lowerBand = price;
}
double del1 = price - _upperBand;
double del2 = price - _lowerBand;
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
_avoltyBuff.Add(_vSum, Input.IsNew);
double avgvolty = _avoltyBuff.Average();
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
double alpha = Math.Pow(_beta, pow2);
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
_prevMa1 = ma1;
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha) ) + (alpha * alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;
UpperBand = _upperBand;
LowerBand = _lowerBand;
Volty = volty;
IsHot = _index >= WarmupPeriod;
return jma;
}
}
#!csharp
TSeries ma = Complex;
TSeries re = ComplexJMA;
TSeries ma = Spike;
TSeries re = SpikeJMA;
TSeries out1 = new();
Jmaxx calc = new(10);
Jma calc = new(period: 10, phase: 0, factor: 0.45);
foreach (var value in ma) { out1.Add(calc.Calc(value)); }