New version merge

2026-08-25 13:58:04 +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 +1,76 @@
+namespace QuanTAlib;
+
+// Excess kurtosis calculated with Sheskin Algorithm
+public class Kurtosis : AbstractBase
+{
+    public readonly int Period;
+    private CircularBuffer _buffer;
+
+    public Kurtosis(int period) : base()
+    {
+        if (period < 4)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 4 for kurtosis calculation.");
+        }
+        Period = period;
+        WarmupPeriod = Period - 1;
+        _buffer = new CircularBuffer(period);
+        Name = $"Kurtosis(period={period})";
+        Init();
+    }
+
+    public Kurtosis(object source, int period) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _buffer.Clear();
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        _buffer.Add(Input.Value, Input.IsNew);
+
+        double kurtosis = 0;
+        if (_buffer.Count > 3)
+        {
+            var values = _buffer.GetSpan().ToArray();
+            double mean = values.Average();
+            double n = values.Length;
+
+            double s2 = 0;
+            double s4 = 0;
+
+            for (int i = 0; i < values.Length; i++)
+            {
+                double diff = values[i] - mean;
+                s2 += diff * diff;
+                s4 += diff * diff * diff * diff;
+            }
+
+            double variance = s2 / (n - 1);
+
+            // Using the Sheskin Algorithm for kurtosis
+            kurtosis = (n * (n + 1) * s4) / (variance * variance * (n - 3) * (n - 1) * (n - 2))
+                       - (3 * (n - 1) * (n - 1) / ((n - 2) * (n - 3)));
+        }
+
+        IsHot = _buffer.Count >= Period;
+        return kurtosis;
+    }
+}