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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.
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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[SkipLocalsInit]
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public sealed class SgmaIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 3, 2000, 1, 0)]
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public int Period { get; set; } = 9;
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[InputParameter("Degree", sortIndex: 2, 0, 4, 1, 0)]
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public int Degree { get; set; } = 2;
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[IndicatorExtensions.DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Sgma _sgma = null!;
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private readonly LineSeries _series;
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private string _sourceName = null!;
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private Func<IHistoryItem, double> _priceSelector = null!;
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public static int MinHistoryDepths => 0;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"SGMA {Period},{Degree}:{_sourceName}";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/trends_FIR/sgma/Sgma.cs";
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public SgmaIndicator()
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{
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OnBackGround = true;
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SeparateWindow = false;
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Name = "SGMA - Savitzky-Golay Moving Average";
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Description = "Polynomial-fitting FIR filter preserving peaks and inflection points";
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_series = new LineSeries(name: $"SGMA {Period}", color: IndicatorExtensions.Averages, width: 2, style: LineStyle.Solid);
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AddLineSeries(_series);
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}
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protected override void OnInit()
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{
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_priceSelector = Source.GetPriceSelector();
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_sourceName = Source.ToString();
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_sgma = new Sgma(Period, Degree);
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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bool isNew = args.IsNewBar();
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var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
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double value = _sgma.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew).Value;
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_series.SetValue(value, _sgma.IsHot, ShowColdValues);
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}
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}
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