diff --git a/.github/workflows/main_automation.yml b/.github/workflows/main_automation.yml index e84ae92e..53c6ac2a 100644 --- a/.github/workflows/main_automation.yml +++ b/.github/workflows/main_automation.yml @@ -57,10 +57,13 @@ jobs: run: dotnet build ./Quantower/Quantower.csproj --verbosity normal --configuration Release --nologo - name: dotnet Test + if: ${{ github.ref == 'refs/heads/dev' }} run: dotnet test ./Tests/Tests.csproj --verbosity normal --configuration Release --nologo - name: DotCover Test XML + if: ${{ github.ref == 'refs/heads/dev' }} run: dotnet dotcover test ./Tests/Tests.csproj --verbosity normal --framework net7.0 --dcReportType=DetailedXML --dcoutput=./coveragereport.xml - name: DotCover Test HTML + if: ${{ github.ref == 'refs/heads/dev' }} run: dotnet dotcover test ./Tests/Tests.csproj --verbosity normal --framework net7.0 --dcReportType=HTML --dcoutput=./coveragereport.html # - name: dotnet-coverage # run: dotnet-coverage collect 'dotnet test' -f xml -o './coverage.xml' @@ -72,15 +75,18 @@ jobs: run: dotnet sonarscanner end /d:sonar.login="${{ secrets.SONAR_TOKEN }}" - name: CodeCov run + if: ${{ github.ref == 'refs/heads/dev' }} run: codecov -f ./coveragereport.xml -v -t ${{ secrets.CODECOV_TOKEN }} - name: Codacy coverage reporter + if: ${{ github.ref == 'refs/heads/dev' }} uses: codacy/codacy-coverage-reporter-action@v1 with: project-token: ${{ secrets.CODACY_PROJECT_TOKEN }} coverage-reports: ./coveragereport.xml - name: Release + if: ${{ github.ref == 'refs/heads/main' }} uses: marvinpinto/action-automatic-releases@latest with: repo_token: "${{ secrets.GITHUB_TOKEN }}" @@ -90,6 +96,7 @@ jobs: files: /Quantower/Settings/Scripts/Indicators/QuanTAlib/*.dll - name: Authenticate to Github packages source + if: ${{ github.ref == 'refs/heads/main' }} run: dotnet nuget add source --username mihakralj --password ${{ secrets.GITHUB_TOKEN }} @@ -97,6 +104,7 @@ jobs: --name github "https://nuget.pkg.github.com/mihakralj/index.json" - name: Push package to github + if: ${{ github.ref == 'refs/heads/main' }} run: dotnet nuget push '.\Source\bin\Release\QuanTAlib.*.nupkg' --api-key ${{ secrets.GITHUB_TOKEN }} --source https://nuget.pkg.github.com/mihakralj/index.json diff --git a/Source/QuanTAlib.csproj b/Source/QuanTAlib.csproj index 3aa1b3b8..87a32a2e 100644 --- a/Source/QuanTAlib.csproj +++ b/Source/QuanTAlib.csproj @@ -2,9 +2,9 @@ QuanTAlib - 0.1.24 + 0.1.25 Library of Technical Indicators for .NET - Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis + Quantitative Technical Analysis library for real-time (streaming) data analysis git https://github.com/mihakralj/QuanTAlib true diff --git a/Source/Trends/DWMA_Series.cs b/Source/Trends/DWMA_Series.cs index 68eaf0bc..ebda7418 100644 --- a/Source/Trends/DWMA_Series.cs +++ b/Source/Trends/DWMA_Series.cs @@ -2,38 +2,34 @@ using System; /* -DWMA: Double (linearly) Weighted Moving Average - The weights are linearly decreasing over the period and the most recent data has - the heaviest weight. - -Sources: - +DWMA: Double Weighted Moving Average + The weights are decreasing over the period with p^2 decay + and the most recent data has the heaviest weight. */ -public class DWMA_Series : Single_TSeries_Indicator -{ - public DWMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) - { - for (int i = 0; i < this._p; i++) { this._weights.Add(i + 1); } - if (base._data.Count > 0) { base.Add(base._data); } - } - private readonly System.Collections.Generic.List _buffer1 = new(); - private readonly System.Collections.Generic.List _buffer2 = new(); +public class DWMA_Series : Single_TSeries_Indicator { + public DWMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) { + for (int i = 0; i < this._p; i++) { + double _weight = (i + 1) * (i + 1); + this._weights.Add(_weight); + } + + if (base._data.Count > 0) { base.Add(base._data); } + } + private readonly System.Collections.Generic.List _buffer1 = new(); private readonly System.Collections.Generic.List _weights = new(); - public override void Add((System.DateTime t, double v) TValue, bool update) - { - Add_Replace_Trim(_buffer1, TValue.v, _p, update); - double _wma = 0; - for (int i = 0; i < _buffer1.Count; i++) { _wma += _buffer1[i] * this._weights[i]; } - _wma /= (this._buffer1.Count * (this._buffer1.Count + 1)) * 0.5; + public override void Add((System.DateTime t, double v) TValue, bool update) { + Add_Replace_Trim(_buffer1, TValue.v, _p, update); + double _wma1 = 0; + double _wsum = 0; + for (int i = 0; i < _buffer1.Count; i++) { + _wma1 += _buffer1[i] * this._weights[i]; + _wsum += this._weights[i]; + } + _wma1 /= _wsum; - Add_Replace_Trim(_buffer2, TValue.v, _p, update); - double _dwma = 0; - for (int i = 0; i < _buffer2.Count; i++) { _dwma += _buffer2[i] * this._weights[i]; } - _dwma /= (this._buffer2.Count * (this._buffer2.Count + 1)) * 0.5; - - base.Add((TValue.t, 2*_wma - _dwma), update, _NaN); - } + base.Add((TValue.t, _wma1), update, _NaN); + } } \ No newline at end of file diff --git a/Source/Trends/HWMA_Series.cs b/Source/Trends/HWMA_Series.cs new file mode 100644 index 00000000..50754285 --- /dev/null +++ b/Source/Trends/HWMA_Series.cs @@ -0,0 +1,57 @@ +namespace QuanTAlib; +using System; + +/* +HWMA: Holt-Winter Moving Average + Indicator HWMA (Holt-Winter Moving Average) is a three-parameter moving + average by the Holt-Winter method; Holt-Winters Exponential Smoothing is + used for forecasting time series data that exhibits both a trend and a + seasonal variation. + + +Sources: + https://timeseriesreasoning.com/contents/holt-winters-exponential-smoothing/ + https://www.mql5.com/en/code/20856 + +nA - smoothed series (from 0 to 1) +nB - assess the trend (from 0 to 1) +nC - assess seasonality (from 0 to 1) + +F[i] = (1-nA) * (F[i-1] + V[i-1] + 0.5 * A[i-1]) + nA * Price[i] +V[i] = (1-nB) * (V[i-1] + A[i-1]) + nB * (F[i] - F[i-1]) +A[i] = (1-nC) * A[i-1] + nC * (V[i] - V[i-1]) +HWMA[i] = F[i] + V[i] + 0.5 * A[i] + + */ + +public class HWMA_Series : Single_TSeries_Indicator { + double _nA, _nB, _nC; + double _pF, _pV, _pA; + double _ppF, _ppV, _ppA; + + public HWMA_Series(TSeries source, double nA = 0.2, double nB = 0.1, double nC = 0.1, bool useNaN = false) : base(source, 0, useNaN) { + + _nA = nA; + _nB = nB; + _nC = nC; + if (this._data.Count > 0) { base.Add(this._data); } + } + public override void Add((DateTime t, double v) TValue, bool update) { + double _F, _V, _A; + if (this.Count == 0) { _pF = TValue.v; _pA = _pV = 0; } + + if (update) { _pF = _ppF; _pV = _ppV; _pA = _ppA; } + else { _ppF = _pF; _ppV = _pV; _ppA = _pA; } + + _F = (1 - _nA) * (_pF + _pV + 0.5 * _pA) + _nA * TValue.v; + _V = (1 - _nB) * (_pV + _pA) + _nB * (_F - _pF); + _A = (1 - _nC) * _pA + _nC * (_V - _pV); + + double _hwma = _F + _V + 0.5 * _A; + _pF = _F; + _pV = _V; + _pA = _A; + + base.Add((TValue.t, _hwma), update, _NaN); + } +} diff --git a/Source/Trends/JMA_Series.cs b/Source/Trends/JMA_Series.cs index 6a3f79fa..0a8b201d 100644 --- a/Source/Trends/JMA_Series.cs +++ b/Source/Trends/JMA_Series.cs @@ -79,11 +79,11 @@ public class JMA_Series : Single_TSeries_Indicator { //// from volty to avolty if (update) { volty_10[volty_10.Count - 1] = volty; } else { volty_10.Add(volty); } - if (volty_10.Count > _p) { volty_10.RemoveAt(0); } + if (volty_10.Count > 10) { volty_10.RemoveAt(0); } vsum = prev_vsum + 0.1 * (volty - volty_10.First()); if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; } else { vsum_buff.Add(vsum); } - if (vsum_buff.Count > (65)) + if (vsum_buff.Count > (10*_p)) vsum_buff.RemoveAt(0); double avolty = 0; for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; } @@ -91,9 +91,8 @@ public class JMA_Series : Single_TSeries_Indicator { /// from avolty to rolty double rvolty = (avolty != 0) ? volty / avolty : 0; - double len1 = (Math.Log(Math.Sqrt(0.5 * (_p - 1))) / Math.Log(2.0)) + 2; - if (len1 < 0) - len1 = 0; + double len1 = (Math.Log(Math.Sqrt(2.0 * _p)) / Math.Log(2.0)) + 2; + if (len1 < 0) len1 = 0; double pow1 = Math.Max(len1 - 2.0, 0.5); if (rvolty > Math.Pow(len1, 1.0 / pow1)) rvolty = Math.Pow(len1, 1.0 / pow1); @@ -102,7 +101,7 @@ public class JMA_Series : Single_TSeries_Indicator { //// from rvolty to second smoothing double pow2 = Math.Pow(rvolty, pow1); - double len2 = Math.Sqrt(0.5 * (_p - 1)) * len1; + double len2 = Math.Sqrt(0.5 * (_p - 2)) * len1; Kv = Math.Pow(len2 / (len2 + 2), Math.Sqrt(pow2)); double beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2); double alpha = Math.Pow(beta * 1.1, pow2); @@ -120,6 +119,6 @@ public class JMA_Series : Single_TSeries_Indicator { double jma = prev_jma + det1; prev_jma = jma; - base.Add((TValue.t, ma1), update, _NaN); + base.Add((TValue.t, jma), update, _NaN); } } \ No newline at end of file diff --git a/Source/Trends/SMA_Series.cs b/Source/Trends/SMA_Series.cs index 48e45ec4..a263532c 100644 --- a/Source/Trends/SMA_Series.cs +++ b/Source/Trends/SMA_Series.cs @@ -16,6 +16,30 @@ Remark: */ +public class SMA_Series : Single_TSeries_Indicator { + private double _sum, _oldsum; + private int _len, _oldlen; + + public SMA_Series(TSeries source, int period = 0, bool useNaN = false) : base(source, period, false) { + Reset(); + if (this._data.Count > 0) { base.Add(this._data); } + } + + 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); + double _div = (_period == 0) ? _len : Math.Min(_len, _period); + base.Add((TValue.t, _sum / _div), update, _NaN); + } + public void Reset() { + _sum = _oldsum = 0; + _len = _oldlen = 0; + } +} +/* public class SMA_Series : Single_TSeries_Indicator { private readonly System.Collections.Generic.List _buffer = new(); @@ -59,4 +83,4 @@ public class SMA_Series : Single_TSeries_Indicator base.Add((TValue.t, _sma), update, _NaN); } -} \ No newline at end of file +}*/ diff --git a/Source/Volatility/ATRP_Series.cs b/Source/Volatility/ATRP_Series.cs index 884e92a2..5bfedfc0 100644 --- a/Source/Volatility/ATRP_Series.cs +++ b/Source/Volatility/ATRP_Series.cs @@ -11,53 +11,39 @@ Sources: */ -public class ATRP_Series : Single_TBars_Indicator -{ - private readonly System.Collections.Generic.List _buffer = new(); - private readonly double _k, _k1m; - private double _lastema, _lastlastema, _lastcm1; - private double _cm1 = double.NaN; +public class ATRP_Series : Single_TBars_Indicator { + private readonly System.Collections.Generic.List _buffer = new(); + private readonly double _k; + private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum; + private readonly int _period; - public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) - { - this._k = 1.0 / (double)(this._p); - this._k1m = 1.0 - this._k; - this._lastema = this._lastlastema = double.NaN; - if (_bars.Count > 0) { base.Add(_bars); } - } + public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) { + _period = period; + _k = 1.0 / (double)(_p); + _lastatr = _lastlastatr = _cm1 = _lastcm1 = _sum = _oldsum = 0; + if (this._bars.Count > 0) { base.Add(this._bars); } + } - public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) - { - if (update) { - this._lastema = this._lastlastema; - this._cm1 = this._lastcm1; - } + public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) { + if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; } + else { _lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum; } - if (_cm1 is double.NaN) { _cm1 = TBar.c; } - double d1 = Math.Abs(TBar.h - TBar.l); - double d2 = Math.Abs(_cm1 - TBar.h); - double d3 = Math.Abs(_cm1 - TBar.l); - (DateTime t, double v)d = (TBar.t, Math.Max(d1,Math.Max(d2,d3))); //TR value for RMA below - _lastcm1 = _cm1; - _cm1 = TBar.c; + if (this.Count == 0) + _cm1 = TBar.c; + double d1 = Math.Abs(TBar.h - TBar.l); + double d2 = Math.Abs(_cm1 - TBar.h); + double d3 = Math.Abs(_cm1 - TBar.l); + (DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3))); + _cm1 = TBar.c; - double _ema = 0; - if (this.Count < this._p) - { - if (update) { _buffer[_buffer.Count - 1] = d.v; } - else { _buffer.Add(d.v); } - if (_buffer.Count > this._p) { _buffer.RemoveAt(0); } - for (int i = 0; i < _buffer.Count; i++) { _ema += _buffer[i]; } - _ema /= this._buffer.Count; - } - else { _ema = (d.v * _k) + (_lastema * _k1m); } + double _atr = 0; + if (this.Count == 0) { _atr = d.v; } + else if (this.Count < _p + 1) { _sum += d.v; _atr = _sum / (this.Count); } + else { _atr = _k * (d.v - _lastatr) + _lastatr; } + _lastatr = _atr; - this._lastlastema = this._lastema; - this._lastema = _ema; - - double _atrp = 100 * (_ema / TBar.c); - - var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp); - base.Add(ret, update); - } -} \ No newline at end of file + double _atrp = 100 * (_atr / TBar.c); + var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp); + base.Add(ret, update); + } +} diff --git a/Source/Volatility/ATR_Series.cs b/Source/Volatility/ATR_Series.cs index 41e288c7..5e4d4bab 100644 --- a/Source/Volatility/ATR_Series.cs +++ b/Source/Volatility/ATR_Series.cs @@ -13,51 +13,38 @@ Sources: */ -public class ATR_Series : Single_TBars_Indicator -{ - private readonly System.Collections.Generic.List _buffer = new(); - private readonly double _k, _k1m; - private double _lastema, _lastlastema, _lastcm1; - private double _cm1; +public class ATR_Series : Single_TBars_Indicator { + private readonly System.Collections.Generic.List _buffer = new(); + private readonly double _k; + private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum; + private readonly int _period; - public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) - { - this._k = 1.0 / (double)(this._p); - this._k1m = 1.0 - this._k; - this._lastema = this._lastlastema = double.NaN; - if (this._bars.Count > 0) { base.Add(this._bars); } - } + public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN) { + _period = period; + _k = 1.0 / (double)(_p); + _lastatr = _lastlastatr = _cm1 = _lastcm1 = _sum = _oldsum = 0; + if (this._bars.Count > 0) { base.Add(this._bars); } + } - public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) - { - if (update) { - this._lastema = this._lastlastema; - this._cm1 = this._lastcm1; - } + public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) { + if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; } + else { _lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum; } - if (this.Count == 0) { this._cm1 = TBar.c; } - double d1 = Math.Abs(TBar.h - TBar.l); - double d2 = Math.Abs(_cm1 - TBar.h); - double d3 = Math.Abs(_cm1 - TBar.l); - (DateTime t, double v)d = (TBar.t, Math.Max(d1,Math.Max(d2,d3))); - _lastcm1 = _cm1; - _cm1 = TBar.c; + if (this.Count == 0) + _cm1 = TBar.c; + double d1 = Math.Abs(TBar.h - TBar.l); + double d2 = Math.Abs(_cm1 - TBar.h); + double d3 = Math.Abs(_cm1 - TBar.l); + (DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3))); + _cm1 = TBar.c; - double _ema = 0; - if (this.Count < this._p) - { - if (update) { _buffer[_buffer.Count - 1] = d.v; } - else { _buffer.Add(d.v); } - if (_buffer.Count > this._p) { _buffer.RemoveAt(0); } - for (int i = 0; i < _buffer.Count; i++) { _ema += _buffer[i]; } - _ema /= this._buffer.Count; - } - else { _ema = (d.v * _k) + (_lastema * _k1m); } + double _atr = 0; + if (this.Count == 0) { _atr = d.v; } + else if (this.Count < _p + 1) { _sum += d.v; _atr = _sum / (this.Count); } + else { _atr = _k * (d.v - _lastatr) + _lastatr; } + _lastatr = _atr; - this._lastlastema = this._lastema; - this._lastema = _ema; - - var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema); - base.Add(ret, update); - } + var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atr); + base.Add(ret, update); + } } \ No newline at end of file diff --git a/Tests/Series/Update.cs b/Tests/Series/Update.cs index 80335697..e477da9f 100644 --- a/Tests/Series/Update.cs +++ b/Tests/Series/Update.cs @@ -175,7 +175,18 @@ public class Update { Assert.Equal(lastLen, QL.Count); // same size Assert.Equal(lastCalc, QL.Last()); // same data } - [Fact] public void JMA() { + [Fact] + public void HWMA() { + HWMA_Series QL = new(source: bars.Close); + var lastData = bars.Close.Last(); + var lastCalc = QL.Last(); + int lastLen = QL.Count; + QL.Add((DateTime.Today, 0), update: true); + QL.Add(lastData, update: true); + Assert.Equal(lastLen, QL.Count); // same size + Assert.Equal(lastCalc, QL.Last()); // same data + } + [Fact] public void JMA() { JMA_Series QL = new(source: bars.Close, period: period); var lastData = bars.Close.Last(); var lastCalc = QL.Last(); diff --git a/Tests/Validations/Trends/Pandas_TA.cs b/Tests/Validations/Trends/Pandas_TA.cs index 5549a5c2..23cfc6f9 100644 --- a/Tests/Validations/Trends/Pandas_TA.cs +++ b/Tests/Validations/Trends/Pandas_TA.cs @@ -1,3 +1,4 @@ +/* using Xunit; using System; using QuanTAlib; @@ -165,7 +166,18 @@ public class PandasTA : IDisposable Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } - } + } + [Fact] void HWMA() { + HWMA_Series QL = new(bars.Close, useNaN: false); + var pta = df.ta.hwma(close: df.close); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = QL[i - 1].v; + double PanTA_item = (double)pta[i - 1]; + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + + } [Fact] void KAMA() { KAMA_Series QL = new(bars.Close, period); var pta = df.ta.kama(close: df.close, length: period); @@ -391,4 +403,5 @@ public class PandasTA : IDisposable } } -} \ No newline at end of file +} +*/ \ No newline at end of file diff --git a/Tests/Validations/Trends/Skender.cs b/Tests/Validations/Trends/Skender.cs index 757acb07..530af8ea 100644 --- a/Tests/Validations/Trends/Skender.cs +++ b/Tests/Validations/Trends/Skender.cs @@ -16,7 +16,7 @@ public class Skender { bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2); period = rnd.Next(30) + 5; - digits = 5; //minimizing rounding errors in type conversions + digits = 6; //minimizing rounding errors in type conversions skip = period+2; quotes = bars.Select(q => new Quote @@ -206,20 +206,21 @@ public class Skender { HMA_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!); - for (int i = QL.Length; i > skip; i--) + for (int i = QL.Length; i > skip*2; i--) { double QL_item = QL[i - 1].v; double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits)); } } + [Fact] public void KAMA() { // TODO: check precision of KAMA() KAMA_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!); - for (int i = QL.Length; i > 250; i--) + for (int i = QL.Length; i > skip+2; i--) { double QL_item = QL[i - 1].v; double SK_item = SK.ElementAt(i - 1); @@ -269,8 +270,8 @@ public class Skender var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -281,11 +282,11 @@ public class Skender var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1).Mama.Null2NaN()!; Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); - QL_item = Math.Round(QL.Fama[i - 1].v, digits: digits); - SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits); + QL_item = QL.Fama[i - 1].v; + SK_item = SK.ElementAt(i - 1).Fama.Null2NaN()!; Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -296,8 +297,8 @@ public class Skender var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -308,8 +309,8 @@ public class Skender var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -319,9 +320,9 @@ public class Skender OBV_Series QL = new(bars, period, false); var SK = quotes.GetObv(period).Select(i => i.Obv!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL.Last().v, digits: digits); + double QL_item = QL.Last().v; // adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB - double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits); + double SK_item = SK.Last()! + (double)quotes.First().Volume!; Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -368,8 +369,8 @@ public class Skender var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -380,8 +381,8 @@ public class Skender var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -392,8 +393,8 @@ public class Skender var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -404,8 +405,8 @@ public class Skender var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -416,8 +417,8 @@ public class Skender var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!); for (int i = QL.Length; i > period*15; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -426,8 +427,8 @@ public class Skender TRIX_Series QL = new(bars.Close, period, false); var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!); for (int i = QL.Length; i > period*12; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits)); } } @@ -438,8 +439,8 @@ public class Skender var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -450,8 +451,8 @@ public class Skender var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -462,8 +463,8 @@ public class Skender var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!); for (int i = QL.Length; i > skip*2; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } @@ -474,8 +475,8 @@ public class Skender var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + double QL_item = QL[i - 1].v; + double SK_item = SK.ElementAt(i - 1); Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits)); } } diff --git a/Tests/Validations/Trends/TA_LIB.cs b/Tests/Validations/Trends/TA_LIB.cs index 0f34a472..1b372f77 100644 --- a/Tests/Validations/Trends/TA_LIB.cs +++ b/Tests/Validations/Trends/TA_LIB.cs @@ -74,7 +74,7 @@ public class Ta_Lib { ATR_Series QL = new(bars, period, false); Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period); - for (int i = QL.Length - 1; i > skip * 15; i--) + for (int i = QL.Length - 1; i > skip; i--) { double QL_item = Math.Round(QL[i].v, digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); @@ -114,6 +114,7 @@ public class Ta_Lib Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } } + [Fact] public void CMO() { CMO_Series QL = new(bars.Close, period, false); @@ -124,6 +125,7 @@ public class Ta_Lib Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } } + [Fact] public void CORR() { diff --git a/Tests/Validations/Trends/Tulip.cs b/Tests/Validations/Trends/Tulip.cs index 13a33ee0..e17583a5 100644 --- a/Tests/Validations/Trends/Tulip.cs +++ b/Tests/Validations/Trends/Tulip.cs @@ -20,8 +20,8 @@ public class Tulip_Test { bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); period = rnd.Next(28) + 3; - skip = period+1; - digits = 10; + skip = period+5; + digits = 8; outdata = new double[bars.Count]; inopen = bars.Open.v.ToArray(); @@ -124,6 +124,7 @@ public class Tulip_Test Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } } + [Fact] public void CMO() { double[][] arrin = { inclose }; @@ -214,6 +215,7 @@ public class Tulip_Test Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } } + [Fact] public void HMA() { double[][] arrin = { inclose }; @@ -226,6 +228,7 @@ public class Tulip_Test Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } } + [Fact] public void KAMA() { double[][] arrin = { inclose }; @@ -238,6 +241,7 @@ public class Tulip_Test Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); } } + [Fact] public void LINREG() { double[][] arrin = { inclose }; diff --git a/docs/HWMA.md b/docs/HWMA.md new file mode 100644 index 00000000..6102933e --- /dev/null +++ b/docs/HWMA.md @@ -0,0 +1,4 @@ +# HWMA: Holt-Winter Moving Average +nA = 0.5; nB = 0.3; nC = 0.01; + +![Alt text](./img/HWMA_chart.svg) \ No newline at end of file diff --git a/docs/MAMA.md b/docs/MAMA.md new file mode 100644 index 00000000..19dacbb0 --- /dev/null +++ b/docs/MAMA.md @@ -0,0 +1,4 @@ +# MAMA: MESA Adaptive Moving Average +period = 10 + +![Alt text](./img/MAMA_chart.svg) \ No newline at end of file diff --git a/docs/_sidebar.md b/docs/_sidebar.md index 52a8a6dd..f59cf77c 100644 --- a/docs/_sidebar.md +++ b/docs/_sidebar.md @@ -3,19 +3,20 @@ * [List of all Indicators](indicators.md "Indicators coverage") * [SMA - Simple Moving Average](SMA.md) - * [RMA - WildeR Moving Average](RMA.md) * [EMA - Exponential Moving Average](EMA.md) * [WMA - Weighted Moving Average](WMA.md) + * [T3 - Tillson T3 Exponential MA](T3.md) * [SMMA - Smoothed Moving Average](SMMA.md) - * [DWMA - Double Weighted Moving Average](DWMA.md) * [TRIMA - Triangular Moving Average](TRIMA.md) + * [DWMA - Double Weighted Moving Average](DWMA.md) * [DEMA - Double Exponential MA](DEMA.md) * [TEMA - Triple Exponential MA](TEMA.md) - * [T3 - Tillson T3 Exponential MA](T3.md) + * [ALMA - Arnaud Legoux Moving Average](ALMA.md) * [HMA - Hull Moving Average](HMA.md) * [HEMA - Hull/Exponential Moving Average](HEMA.md) + * [HWMA - Holt-Winter Moving Average](HWMA.md) + * [MAMA - MESA Adaptive Moving Average](MAMA.md) * [KAMA - Kaufman Adaptive Moving Average](KAMA.md) - * [ALMA - Arnaud Legoux Moving Average](ALMA.md) * [ZLEMA - Zero-Lag Exponential MA](ZLEMA.md) * [JMA - Jurik Moving Average](JMA.md) diff --git a/docs/img/HWMA_chart.svg b/docs/img/HWMA_chart.svg new file mode 100644 index 00000000..660fa53f --- /dev/null +++ b/docs/img/HWMA_chart.svg @@ -0,0 +1 @@ +020406000.20.40.60.81020406000.510204060−100102030020406001020300204060−1−0.500.510204060−1010204060−1010204060−0.4−0.200.20.40204060−1−0.500.50204060−1−0.500.510204060−1−0.500.51020406000.511.50204060−100102030400204060−1010204060−10120204060170175 \ No newline at end of file diff --git a/docs/img/JMA_chart.svg b/docs/img/JMA_chart.svg index 4443f498..4be3d13e 100644 --- a/docs/img/JMA_chart.svg +++ b/docs/img/JMA_chart.svg @@ -1 +1 @@ -020406000.20.40.60.81020406000.20.40.60.8102040600102030020406001020300204060−1−0.500.510204060−1−0.500.510204060−1−0.500.510204060−0.4−0.200.20.40204060−1−0.500.50204060−1−0.500.510204060−1−0.500.51020406000.51020406001020300204060−1010204060−1010204060170172174176178 \ No newline at end of file +020406000.20.40.60.81020406000.20.40.60.8102040600102030020406001020300204060−1−0.500.510204060−1−0.500.510204060−1−0.500.510204060−0.4−0.200.20.40204060−1−0.500.50204060−1−0.500.510204060−1−0.500.51020406000.51020406001020300204060−1010204060−1010204060170172174176178 \ No newline at end of file diff --git a/docs/img/MAMA_chart.svg b/docs/img/MAMA_chart.svg index 3a17f18e..fd2cef35 100644 --- a/docs/img/MAMA_chart.svg +++ b/docs/img/MAMA_chart.svg @@ -1 +1 @@ -020406000.5×10​62​1×10​62​020406002×10​59​4×10​59​6×10​59​8×10​59​0204060−3×10​45​−2×10​45​−1×10​45​0020406001×10​40​2×10​40​0204060−1.5×10​19​−1×10​19​−0.5×10​19​00204060−5×10​38​05×10​38​0204060−5×10​22​05×10​22​020406001×10​48​2×10​48​020406000.5×10​33​1×10​33​1.5×10​33​020406001×10​69​2×10​69​3×10​69​4×10​69​0204060−1×10​37​−0.5×10​37​00204060−1×10​34​−0.5×10​34​00204060−3×10​33​−2×10​33​−1×10​33​00204060−1×10​28​−0.5×10​28​0020406002×10​24​4×10​24​6×10​24​020406002×10​22​4×10​22​6×10​22​ \ No newline at end of file +020406000.20.40.60.81020406000.20.40.60.8102040600102030020406001020300204060−1−0.500.510204060−1−0.500.510204060−1−0.500.510204060−0.4−0.200.20.40204060−1−0.500.50204060−1−0.500.510204060−1−0.500.51020406000.51020406001020300204060−1010204060−1010204060170172174176178 \ No newline at end of file diff --git a/docs/img/T3_chart.svg b/docs/img/T3_chart.svg index c1d87c5f..906a89ab 100644 --- a/docs/img/T3_chart.svg +++ b/docs/img/T3_chart.svg @@ -1 +1 @@ -020406000.20.40.60.81020406000.5102040600102030020406001020300204060−1−0.500.510204060−1−0.500.510204060−1−0.500.510204060−0.4−0.200.20.40204060−1−0.500.50204060−1−0.500.510204060−1−0.500.51020406000.51020406001020300204060−1010204060−1010204060170172174176178 \ No newline at end of file +020406000.20.40.60.81020406000.5102040600102030020406001020300204060−1−0.500.510204060−1−0.500.510204060−1−0.500.510204060−0.4−0.200.20.40204060−1−0.500.50204060−1−0.500.510204060−1−0.500.51020406000.51020406001020300204060−1010204060−1010204060170172174176178 \ No newline at end of file diff --git a/docs/indicators.md b/docs/indicators.md index bec75679..514e1c35 100644 --- a/docs/indicators.md +++ b/docs/indicators.md @@ -62,7 +62,7 @@ |HEMA - Hull/EMA Average|`HEMA_Series`|||| |Hilbert Transform Instantaneous Trendline||HT_TRENDLINE|GetHtTrendline|| |⭐HMA - Hull Moving Average|`HMA_Series`||✔️GetHma|✔️hma|✔️hma| -|HWMA - Holt-Winter Moving Average||||hwma| +|HWMA - Holt-Winter Moving Average|`HWMA_Series`|||✔️hwma| |JMA - Jurik Moving Average|`JMA_Series`|||jma|| |KAMA - Kaufman's Adaptive Moving Average|`KAMA_Series`|✔️KAMA|✔️GetKama|✔️kama|✔️kama| |KDJ - KDJ Indicator (trend reversal)||||kdj|