New version merge

lib/averages/Alma.cs

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+
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// ALMA: Arnaud Legoux Moving Average
+/// Uses the curve of the Normal (Gauss) distribution. This moving average reduces lag
+/// of the data in conjunction with smoothing to reduce noise.
+/// </summary>
+/// <remarks>
+/// Smoothness:     ★★★★☆ (4/5)
+/// Sensitivity:    ★★★★☆ (4/5)
+/// Overshooting:   ★★★★☆ (4/5)
+/// Lag:            ★★★★★ (5/5)
+///
+/// Validation:
+///    Skender.Stock.Indicators
+/// </remarks>
+
+public class Alma : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _offset;
+    private readonly double _sigma;
+    private CircularBuffer? _buffer;
+    private CircularBuffer? _weight;
+    private double _norm;
+
+    /// <param name="period">The number of data points used in the ALMA calculation.</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>
+    /// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
+    public Alma(int period, double offset = 0.85, double sigma = 6) : base()
+    {
+        if (period < 1)
+        {
+            throw new ArgumentException("Period must be greater than or equal to 1.", nameof(period));
+        }
+        _period = period;
+        _offset = offset;
+        _sigma = sigma;
+        WarmupPeriod = period;
+        Name = "Alma";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of data points used in the ALMA calculation.</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>
+    public Alma(object source, int period, double offset = 0.85, double sigma = 6) : this(period, offset, sigma)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _buffer = new CircularBuffer(_period);
+        _weight = new CircularBuffer(_period);
+        _norm = 0;
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+        }
+    }
+
+    /// <summary>
+    /// Performs the core ALMA calculation. Called from parent abstractBase Calc()
+    /// </summary>
+    /// <returns>The calculated ALMA value.</returns>
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        _buffer!.Add(Input.Value, Input.IsNew);
+        if (_weight!.Count < _buffer.Count)
+        {
+            for (var i = 0; i < _buffer.Count - _weight.Count; i++)
+            {
+                _weight.Add(0.0);
+            }
+        }
+
+        if (_buffer.Count <= _period)
+        {
+            UpdateWeights();
+        }
+
+        double weightedSum = 0;
+        for (var i = 0; i < _buffer.Count; i++)
+        {
+            weightedSum += _weight[i] * _buffer[i];
+        }
+
+        double result = weightedSum / _norm;
+
+        IsHot = _index >= WarmupPeriod;
+        return result;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private void UpdateWeights()
+    {
+        int len = _buffer!.Count;
+        _norm = 0;
+        double m = _offset * (len - 1);
+        double s = len / _sigma;
+        for (int i = 0; i < len; i++)
+        {
+            double wt = Math.Exp(-((i - m) * (i - m)) / (2 * s * s));
+            _weight![i] = wt;
+            _norm += wt;
+        }
+    }
+}