New version merge

lib/averages/Vidya.cs

@@ -0,0 +1,92 @@
+using System;
+using System.Linq;
+using System.Runtime.CompilerServices;
+
+namespace QuanTAlib;
+
+public class Vidya : AbstractBase
+{
+    private readonly int _shortPeriod;
+    private readonly int _longPeriod;
+    private readonly double _alpha;
+    private double _lastVIDYA, _p_lastVIDYA;
+    private CircularBuffer? _shortBuffer;
+    private CircularBuffer? _longBuffer;
+
+    public Vidya(int shortPeriod, int longPeriod = 0, double alpha = 0.2) : base()
+    {
+        if (shortPeriod < 1)
+        {
+            throw new ArgumentException("Short period must be greater than or equal to 1.", nameof(shortPeriod));
+        }
+        _shortPeriod = shortPeriod;
+        _longPeriod = (longPeriod == 0) ? shortPeriod * 4 : longPeriod;
+        _alpha = alpha;
+        WarmupPeriod = _longPeriod;
+        Name = $"Vidya({_shortPeriod},{_longPeriod})";
+        Init();
+    }
+
+    public Vidya(object source, int shortPeriod, int longPeriod = 0, double alpha = 0.2)
+        : this(shortPeriod, longPeriod, alpha)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _lastVIDYA = 0;
+        _shortBuffer = new CircularBuffer(_shortPeriod);
+        _longBuffer = new CircularBuffer(_longPeriod);
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+            _p_lastVIDYA = _lastVIDYA;
+        }
+        else
+        {
+            _lastVIDYA = _p_lastVIDYA;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+        
+        _shortBuffer!.Add(Input.Value, Input.IsNew);
+        _longBuffer!.Add(Input.Value, Input.IsNew);
+
+        double vidya;
+        if (_index <= _longPeriod)
+        {
+            vidya = _shortBuffer.Average();
+        }
+        else
+        {
+            double shortStdDev = CalculateStdDev(_shortBuffer);
+            double longStdDev = CalculateStdDev(_longBuffer);
+            double s = _alpha * (shortStdDev / longStdDev);
+            vidya = (s * Input.Value) + ((1 - s) * _lastVIDYA);
+        }
+
+        _lastVIDYA = vidya;
+        IsHot = _index >= WarmupPeriod;
+
+        return vidya;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private double CalculateStdDev(CircularBuffer buffer)
+    {
+        double mean = buffer.Average();
+        double sumSquaredDiff = buffer.Sum(x => Math.Pow(x - mean, 2));
+        return Math.Sqrt(sumSquaredDiff / buffer.Count);
+    }
+}