New version merge

2026-08-21 03:58:04 +00:00 · 2024-09-22 17:31:24 -07:00
parent 1b719fa94e
commit d475bcd19a
405 changed files with 56573 additions and 12440 deletions
@@ -0,0 +1,108 @@
+namespace QuanTAlib;
+
+/// <summary>
+/// DEMA: Double Exponential Moving Average
+/// DEMA reduces the lag of a traditional EMA by applying a second EMA over EMA.
+/// It responds more quickly to price changes than a standard EMA while maintaining
+/// smoothness, at the cost of overshooting the signal line.
+/// </summary>
+/// <remarks>
+/// Smoothness:     ★★★☆☆ (3/5)
+/// Sensitivity:    ★★★★☆ (4/5)
+/// Overshooting:   ★★★☆☆ (3/5)
+/// Lag:            ★★★★☆ (4/5)
+///
+/// Sources:
+///    https://www.investopedia.com/terms/d/double-exponential-moving-average.asp
+///    https://www.tradingview.com/support/solutions/43000502589-double-exponential-moving-average-dema/
+///
+/// Validation:
+///    Skender.Stock.Indicators
+/// </remarks>
+public class Dema : AbstractBase
+{
+    // inherited _index
+    // inherited _value
+    private readonly int _period;
+    private double _lastEma1, _p_lastEma1;
+    private double _lastEma2, _p_lastEma2;
+    private double _k, _e, _p_e;
+
+    public Dema(int period) : base()
+    {
+        if (period < 1)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
+        }
+        _period = period;
+        Name = "Dema";
+        double percentile = 0.85; //targeting 85th percentile of correctness of converging EMA
+        WarmupPeriod = (int)Math.Ceiling(-period * Math.Log(1 - percentile));
+        Init();
+    }
+
+    public Dema(object source, int period) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+    //inhereted public void Sub(object source, in ValueEventArgs args)
+
+    public override void Init()
+    {
+        base.Init();
+        _k = 2.0 / (_period + 1);
+        _e = 1.0;
+        _lastEma1 = 0;
+        _lastEma2 = 0;
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _p_lastEma1 = _lastEma1;
+            _p_lastEma2 = _lastEma2;
+            _p_e = _e;
+            _index++;
+        }
+        else
+        {
+            _lastEma1 = _p_lastEma1;
+            _lastEma2 = _p_lastEma2;
+            _e = _p_e;
+        }
+    }
+
+    /// <summary>
+    /// Core DEMA calculation
+    /// </summary>
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        double result, _ema1, _ema2;
+
+        // dynamic k when within period; (index is zero-based, therefore +2)
+        //double _dk = (_index + 1 >= _period) ? _k : 2.0 / (_index + 2);
+        // compensator for early ema values
+        _e = (_e > 1e-10) ? (1 - _k) * _e : 0;
+        double _invE = (_e > 1e-10) ? 1 / (1 - _e) : 1;
+
+        // Calculate EMA1
+        _ema1 = _k * (Input.Value - _lastEma1) + _lastEma1;
+
+        // Calculate EMA2 using compensatedEma1
+        _ema2 = _k * (_ema1 * _invE - _lastEma2) + _lastEma2;
+
+        // Calculate DEMA
+        double _dema = 2 * _ema1 * _invE - (_ema2 * _invE);
+
+        result = _dema;
+        _lastEma1 = _ema1;
+        _lastEma2 = _ema2;
+
+        IsHot = _index >= WarmupPeriod;
+        return result;
+    }
+}