Update RSI_Series to check for period != 0 before calculating RSI

2026-08-25 22:08:05 +00:00 · 2023-04-27 22:30:13 -07:00
parent 3b71ac70c8
commit e1680e9d04
145 changed files with 4826 additions and 4207 deletions
@@ -0,0 +1,86 @@
+namespace QuanTAlib;
+using System;
+using System.Collections.Generic;
+
+/* <summary>
+DECAY: 
+  Linear decay can be modeled by a straight line with a negative slope of 1/period.
+	The value decreases in a straight line from the last maximum to 0.
+	Decay = Last Max - distance/period
+
+	Exponential decay  is modeled as an exponential curve with diminishing factor of
+	1-1/p
+
+</summary> */
+
+public class DECAY_Series : TSeries {
+	protected readonly int _period;
+	protected readonly bool _NaN;
+	protected readonly TSeries _data;
+	private readonly bool _exp;
+	private double _pdecay, _ppdecay;
+	private readonly double _dfactor;
+
+	//core constructors
+	public DECAY_Series(int period, bool exponential, bool useNaN) : base() {
+		_period = period;
+		_NaN = useNaN;
+		Name = $"DECAY({period})";
+		_exp = exponential;
+		_dfactor = (_exp) ? 1.0 - 1.0 / (double)_period : 1 / (double)_period;
+		_pdecay = _ppdecay = 0;
+	}
+	public DECAY_Series(TSeries source, int period, bool exponential, bool useNaN) : this(period, exponential, useNaN) {
+		_data = source;
+		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+		_data.Pub += Sub;
+		Add(_data);
+	}
+	public DECAY_Series() : this(period: 0, exponential: false, useNaN: false) { }
+	public DECAY_Series(int period) : this(period: period, exponential: false, useNaN: false) { }
+	public DECAY_Series(TBars source) : this(source.Close, period: 0, exponential: false, useNaN: false) { }
+	public DECAY_Series(TBars source, int period) : this(source.Close, period: period, exponential:false, useNaN:false) { }
+	public DECAY_Series(TBars source, int period, bool useNaN) : this(source.Close, period: period, exponential: false, useNaN) { }
+	public DECAY_Series(TSeries source) : this(source, period: 0, exponential: false, useNaN:false) { }
+	public DECAY_Series(TSeries source, int period) : this(source: source, period: period, exponential: false, useNaN: false) { }
+	public DECAY_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, exponential: false, useNaN: useNaN) { }
+
+	//////////////////
+	// core Add() algo
+	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
+		if (double.IsNaN(TValue.v)) {
+			return base.Add((TValue.t, Double.NaN), update);
+		}
+		if (update) { _pdecay = _ppdecay; }
+		else { _ppdecay = _pdecay; }
+
+		if (this.Count == 0) { _pdecay = TValue.v; }
+		double _decay = Math.Max(TValue.v, Math.Max((_exp) ? _pdecay * _dfactor : _pdecay - _dfactor, 0));
+		_pdecay = _decay;
+		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _decay);
+		return base.Add(res, update);
+	}
+
+	public override (DateTime t, double v) Add(TSeries data) {
+		if (data == null) { return (DateTime.Today, Double.NaN); }
+		foreach (var item in data) { Add(item, false); }
+		return _data.Last;
+	}
+	public new (DateTime t, double v) Add((DateTime t, double v) TValue) {
+		return Add(TValue, false);
+	}
+	public (DateTime t, double v) Add(bool update) {
+		return this.Add(TValue: _data.Last, update: update);
+	}
+	public (DateTime t, double v) Add() {
+		return Add(TValue: _data.Last, update: false);
+	}
+	private new void Sub(object source, TSeriesEventArgs e) {
+		Add(TValue: _data.Last, update: e.update);
+	}
+
+	//reset calculation
+	public override void Reset() {
+		_pdecay = _ppdecay = 0;
+	}
+}