dev branch

2026-08-23 21:18:04 +00:00 · 2024-09-23 08:34:47 -07:00
parent edb95b17d4
commit e9b58e5d48
25 changed files with 3412 additions and 1 deletions
@@ -0,0 +1,110 @@
+//TODO: consistency test
+
+namespace QuanTAlib;
+
+// https://efs.kb.esignal.com/hc/en-us/articles/6362791434395-2005-Mar-The-Secret-Behind-The-Filter-MedianAdaptiveFilter-efs
+
+public class Maaf : AbstractBase
+{
+    private readonly CircularBuffer _priceBuffer;
+    private readonly CircularBuffer _smoothBuffer;
+    private double _prevFilter, _prevValue2, _threshold;
+    private double _p_prevFilter, _p_prevValue2;
+
+    private readonly int _period;
+
+    public Maaf(int Period = 39, double Threshold = 0.002) 
+    {
+        _period = Period;
+        _threshold = Threshold;
+        _priceBuffer = new CircularBuffer(4);
+        _smoothBuffer = new CircularBuffer(Period);
+        Name = "MAAF";
+        WarmupPeriod = Period;
+        Init();
+    }
+
+    public Maaf(object source, int Period = 39, double Threshold = 0.002) : this(Period, Threshold)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        _priceBuffer.Clear();
+        _smoothBuffer.Clear();
+        _prevFilter = 0;
+        _prevValue2 = 0;
+        base.Init();
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+            _p_prevFilter = _prevFilter;
+            _p_prevValue2 = _prevValue2;
+        }
+        else
+        {
+            _prevFilter = _p_prevFilter;
+            _prevValue2 = _p_prevValue2;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(IsNew);
+
+        _priceBuffer.Add(Input.Value, Input.IsNew);
+
+        if (_priceBuffer.Count < 4)
+        {
+            return Input.Value;
+        }
+
+        double smooth = (_priceBuffer[^1] + (2 * _priceBuffer[^2]) + (2 * _priceBuffer[^3]) + _priceBuffer[^4]) / 6;
+        _smoothBuffer.Add(smooth, Input.IsNew);
+
+        if (_smoothBuffer.Count < _period)
+        {
+            return smooth;
+        }
+
+        int length = _period;
+        double value3 = 0.2;
+        double value2 = _prevValue2;
+
+        while (value3 > _threshold && length > 0)
+        {
+            double alpha = 2.0 / (length + 1);
+
+            var sortedValues = _smoothBuffer.TakeLast(length).OrderBy(x => x).ToList();
+            double value1 = sortedValues[length / 2];
+            value2 = alpha * (smooth - _prevValue2) + _prevValue2;
+
+            if (value1 != 0)
+            {
+                value3 = Math.Abs(value1 - value2) / value1;
+            }
+
+            length -= 2;
+        }
+
+        if (length < 3) length = 3;
+
+        double finalAlpha = 2.0 / (length + 1);
+        double filter = finalAlpha * (smooth - _prevFilter) + _prevFilter;
+
+        _p_prevFilter = _prevFilter;
+        _prevFilter = filter;
+        _p_prevValue2 = _prevValue2;
+        _prevValue2 = value2;
+
+        IsHot = _index >= WarmupPeriod;
+        return filter;
+    }
+}