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Atr, FlowIndicator and fixes

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This commit is contained in:
Miha Kralj
2024-10-21 16:06:47 -07:00
parent fbe4046b5d
commit e3d7cd9896
15 changed files with 335 additions and 189 deletions
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lib/averages/Jma.cs
+12 -9
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@@ -6,7 +6,7 @@ namespace QuanTAlib;
public class Jma : AbstractBase
{
private readonly int _period;
private readonly double _period;
private readonly double _phase;
private readonly CircularBuffer _vsumBuff;
private readonly CircularBuffer _avoltyBuff;
@@ -22,6 +22,7 @@ public class Jma : AbstractBase
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
public double Factor { get; set; }
/// <summary>
/// Initializes a new instance of the Jma class with the specified parameters.
@@ -31,18 +32,19 @@ public class Jma : AbstractBase
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
public Jma(int period, int phase = 0)
public Jma(int period, int phase = 0, double factor = 0.45)
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
Factor = factor;
_period = period;
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_vsumBuff = new CircularBuffer(10);
_avoltyBuff = new CircularBuffer(65);
_beta = 0.45 * (period - 1) / (0.45 * (period - 1) + 2);
_beta = factor * (_period - 1) / (factor * (_period - 1) + 2);
WarmupPeriod = period * 2;
Name = $"JMA({period})";
@@ -114,9 +116,10 @@ public class Jma : AbstractBase
ManageState(Input.IsNew);
double price = Input.Value;
if (_index == 1)
if (_index <= 1)
{
_upperBand = _lowerBand = price;
_prevMa1 = _prevJma = price;
}
double del1 = price - _upperBand;
@@ -124,7 +127,7 @@ public class Jma : AbstractBase
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / _vsumBuff.Count;
_avoltyBuff.Add(_vSum, Input.IsNew);
double avgvolty = _avoltyBuff.Average();
@@ -137,15 +140,15 @@ public class Jma : AbstractBase
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
double alpha = Math.Pow(_beta, pow2);
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
double _alpha = Math.Pow(_beta, pow2);
double ma1 = Input.Value + _alpha * (_prevMa1 - Input.Value); //original: (1 - _alpha) * Input.Value + _alpha * _prevMa1;
_prevMa1 = ma1;
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
double det0 = price + _beta * (_prevDet0 - price + ma1) - ma1; //original: (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha) ) + (alpha * alpha * _prevDet1);
double det1 = ((ma2 - _prevJma) * (1 - _alpha) * (1 - _alpha) ) + (_alpha * _alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;