Add Savitzky-Golay Moving Average (SGMA) Indicator Implementation

- Implemented SgmaIndicator class in C# with properties for Period, Degree, and Source. - Added unit tests for SgmaIndicator covering constructor defaults, initialization, and various update scenarios. - Created a new Quantower adapter for the SGMA indicator, including input parameters and line series setup. - Removed legacy SGMA implementation and tests to streamline the codebase. - Updated project files to include new indicator and tests in the build process. - Generated a missing indicators report and outlined a plan for oscillator documentation rewrite.
2026-08-15 17:18:05 +00:00 · 2026-02-13 21:44:45 -08:00
parent 951842acca
commit dfeb23bf3d
81 changed files with 13629 additions and 2041 deletions
@@ -0,0 +1,60 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class EntropyIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 2, 2000, 1, 0)]
+    public int Period { get; set; } = 14;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Entropy _entropy = null!;
+    private readonly LineSeries _series;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"Entropy {Period}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/entropy/Entropy.Quantower.cs";
+
+    public EntropyIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "Entropy - Shannon Entropy";
+        Description = "Measures the randomness/predictability of price data using normalized Shannon entropy";
+
+        _series = new LineSeries(name: "Entropy", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _entropy = new Entropy(Period);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        TValue result = _entropy.Update(input, args.IsNewBar());
+
+        _series.SetValue(result.Value, _entropy.IsHot, ShowColdValues);
+    }
+}