dev branch

2026-08-22 12:38:06 +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 +1,78 @@
+namespace QuanTAlib;
+
+//https://user42.tuxfamily.org/chart/manual/Regularized-Exponential-Moving-Average.html
+
+public class Rema : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _lambda;
+    private double _lastRema, _prevRema;
+    private double _savedLastRema, _savedPrevRema;
+
+    public int Period => _period;
+    public double Lambda => _lambda;
+
+    public Rema(int period, double lambda = 0.5) 
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
+        if (lambda < 0)
+            throw new ArgumentOutOfRangeException(nameof(lambda), "Lambda must be non-negative.");
+
+        _period = period;
+        _lambda = lambda;
+        Name = $"REMA({period},{lambda:F2})";
+        WarmupPeriod = period;
+        Init();
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _lastRema = 0;
+        _prevRema = 0;
+        _savedLastRema = 0;
+        _savedPrevRema = 0;
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _savedLastRema = _lastRema;
+            _savedPrevRema = _prevRema;
+            _index++;
+        }
+        else
+        {
+            _lastRema = _savedLastRema;
+            _prevRema = _savedPrevRema;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        double alpha = 2.0 / (Math.Min(_period, _index) + 1);
+
+        if (_index > 2)
+        {
+            double rema = (_lastRema + alpha * (Input.Value - _lastRema) + _lambda * (_lastRema + (_lastRema - _prevRema))) / (1 + _lambda);
+            _prevRema = _lastRema;
+            _lastRema = rema;
+        }
+        else if (_index == 2)
+        {
+            _prevRema = _lastRema;
+            _lastRema = Input.Value;
+        }
+        else
+        { // _index == 1
+            _lastRema = Input.Value;
+        }
+
+        IsHot = _index >= WarmupPeriod;
+        return _lastRema;
+    }
+}