New version merge

2026-08-26 14:28:05 +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 +1,99 @@
+using System;
+
+namespace QuanTAlib
+{
+    public class Frama : AbstractBase
+    {
+        private readonly int _period;
+        private readonly double _fc;
+        private CircularBuffer _buffer;
+        private double _lastFrama;
+        private double _prevLastFrama;
+
+        public Frama(int period, double fc = 0.5) : base()
+        {
+            if (period < 2)
+                throw new ArgumentException("Period must be at least 2", nameof(period));
+
+            _period = period;
+            _fc = fc;
+            _buffer = new CircularBuffer(period);
+            WarmupPeriod = period;
+        }
+
+        public override void Init()
+        {
+            base.Init();
+            _buffer.Clear();
+            _lastFrama = 0;
+            _prevLastFrama = 0;
+        }
+
+        protected override void ManageState(bool isNew)
+        {
+            if (isNew)
+            {
+                _prevLastFrama = _lastFrama;
+                _index++;
+            }
+            else
+            {
+                _lastFrama = _prevLastFrama;
+            }
+        }
+
+        protected override double Calculation()
+        {
+            ManageState(Input.IsNew);
+            
+            _buffer.Add(Input.Value, Input.IsNew);
+
+            if (_buffer.Count < _period)
+            {
+                _lastFrama = _buffer.Average();
+                return _lastFrama;
+            }
+
+            int half = _period / 2;
+            double hh = double.MinValue, ll = double.MaxValue;
+            double hh1 = double.MinValue, ll1 = double.MaxValue;
+            double hh2 = double.MinValue, ll2 = double.MaxValue;
+
+            for (int i = 0; i < _period; i++)
+            {
+                double price = _buffer[i];
+                hh = Math.Max(hh, price);
+                ll = Math.Min(ll, price);
+
+                if (i < half)
+                {
+                    hh1 = Math.Max(hh1, price);
+                    ll1 = Math.Min(ll1, price);
+                }
+                else
+                {
+                    hh2 = Math.Max(hh2, price);
+                    ll2 = Math.Min(ll2, price);
+                }
+            }
+
+            double n1 = (hh - ll) / _period;
+            double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
+
+            double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
+
+            double alpha = Math.Exp(-4.6 * (d - 1));
+            alpha = Math.Max(Math.Min(alpha, 1), 0.01);  // Ensure alpha is between 0.01 and 1
+
+            _lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
+
+            IsHot = _index >= WarmupPeriod;
+            return _lastFrama;
+        }
+
+        protected override double GetLastValid()
+        {
+            return _lastFrama;
+        }
+    }
+}