New version merge

2026-08-21 03:58:04 +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 +1,82 @@
+namespace QuanTAlib;
+
+using System;
+using System.Linq;
+
+public class Skew : AbstractBase
+{
+    public readonly int Period;
+    private CircularBuffer _buffer;
+
+    public Skew(int period) : base()
+    {
+        if (period < 3)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 3 for skewness calculation.");
+        }
+        Period = period;
+        WarmupPeriod = 3;
+        _buffer = new CircularBuffer(period);
+        Name = $"Skew(period={period})";
+        Init();
+    }
+
+    public Skew(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 skew = 0;
+        if (_buffer.Count >= 3)  // We need at least 3 data points for skewness
+        {
+            var values = _buffer.GetSpan().ToArray();
+            double mean = values.Average();
+            double n = values.Length;
+
+            double sumCubedDeviations = 0;
+            double sumSquaredDeviations = 0;
+
+            foreach (var value in values)
+            {
+                double deviation = value - mean;
+                sumCubedDeviations += Math.Pow(deviation, 3);
+                sumSquaredDeviations += Math.Pow(deviation, 2);
+            }
+
+            // Calculate sample skewness using the adjusted Fisher-Pearson standardized moment coefficient
+            double m3 = sumCubedDeviations / n;
+            double m2 = sumSquaredDeviations / n;
+            double s3 = Math.Pow(m2, 1.5);
+
+            if (s3 != 0)  // Avoid division by zero
+            {
+                skew = (Math.Sqrt(n * (n - 1)) / (n - 2)) * (m3 / s3);
+            }
+        }
+
+        IsHot = _buffer.Count >= Period;
+        return skew;
+    }
+}