New version merge

2026-08-18 18:48:05 +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 +1,80 @@
+using System;
+
+namespace QuanTAlib
+{
+    public class Max : AbstractBase
+    {
+        public readonly int Period;
+        private CircularBuffer _buffer;
+        private readonly double _halfLife;
+        private double _currentMax, _p_currentMax;
+        private int _timeSinceNewMax, _p_timeSinceNewMax;
+
+        public Max(int period, double decay = 0) : base()
+        {
+            if (period < 1)
+            {
+                throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
+            }
+            if (decay < 0)
+            {
+                throw new ArgumentOutOfRangeException(nameof(decay), "Half-life must be non-negative.");
+            }
+            Period = period;
+            WarmupPeriod = 0;
+            _buffer = new CircularBuffer(period);
+            _halfLife = decay * 0.1;
+            Name = $"Max(period={period}, halfLife={decay:F2})";
+            Init();
+        }
+
+        public Max(object source, int period, double decay = 0) : this(period, decay)
+        {
+            var pubEvent = source.GetType().GetEvent("Pub");
+            pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+        }
+
+        public override void Init()
+        {
+            base.Init();
+            _currentMax = double.MinValue;
+            _timeSinceNewMax = 0;
+        }
+
+        protected override void ManageState(bool isNew)
+        {
+            if (isNew)
+            {
+                _p_currentMax = _currentMax;
+                _lastValidValue = Input.Value;
+                _index++;
+                _timeSinceNewMax++;
+                _p_timeSinceNewMax = _timeSinceNewMax;
+            }
+            else
+            {
+                _currentMax = _p_currentMax;
+                _timeSinceNewMax = _p_timeSinceNewMax;
+            }
+        }
+
+        protected override double Calculation()
+        {
+            ManageState(Input.IsNew);
+            _buffer.Add(Input.Value, Input.IsNew);
+
+            if (Input.Value >= _currentMax)
+            {
+                _currentMax = Input.Value;
+                _timeSinceNewMax = 0;
+            }
+
+            double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
+            _currentMax = _currentMax - decayRate * (_currentMax - _buffer.Average());
+            _currentMax = Math.Min(_currentMax, _buffer.Max());
+
+            IsHot = true;
+            return _currentMax;
+        }
+    }
+}