New version merge

2026-08-26 06:18:05 +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 +1,74 @@
+namespace QuanTAlib;
+
+// https://www.mesasoftware.com/papers/TimeWarp.pdf
+
+public class Ltma : AbstractBase
+{
+    private readonly double _gamma;
+    private double _prevL0, _prevL1, _prevL2, _prevL3;
+    private double _p_prevL0, _p_prevL1, _p_prevL2, _p_prevL3;
+
+    public double Gamma => _gamma;
+
+    public Ltma(double gamma = 0.1) : base()
+    {
+        if (gamma < 0 || gamma > 1)
+            throw new ArgumentOutOfRangeException(nameof(gamma), "Gamma must be between 0 and 1.");
+        _gamma = gamma;
+        Name = $"Laguerre({gamma:F2})";
+        WarmupPeriod = 4; // Minimum number of samples needed
+        Init();
+    }
+
+    public Ltma(object source, double gamma = 0.1) : this(gamma)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _prevL0 = _prevL1 = _prevL2 = _prevL3 = 0;
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _p_prevL0 = _prevL0;
+            _p_prevL1 = _prevL1;
+            _p_prevL2 = _prevL2;
+            _p_prevL3 = _prevL3;
+            _index++;
+        }
+        else
+        {
+            _prevL0 = _p_prevL0;
+            _prevL1 = _p_prevL1;
+            _prevL2 = _p_prevL2;
+            _prevL3 = _p_prevL3;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        // Laguerre filter calculation
+        double _l0 = (1 - _gamma) * Input.Value + _gamma * _prevL0;
+        double _l1 = -_gamma * _l0 + _prevL0 + _gamma * _prevL1;
+        double _l2 = -_gamma * _l1 + _prevL1 + _gamma * _prevL2;
+        double _l3 = -_gamma * _l2 + _prevL2 + _gamma * _prevL3;
+        _prevL0 = _l0;
+        _prevL1 = _l1;
+        _prevL2 = _l2;
+        _prevL3 = _l3;
+
+        double filteredValue = (_l0 + 2 * _l1 + 2 * _l2 + _l3) / 6;
+
+        IsHot = _index >= WarmupPeriod;
+
+        return filteredValue;
+    }
+}