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Miha Kralj
2024-11-05 05:52:54 -08:00
parent 5b333bd2ec
commit f582db2c4c
23 changed files with 85 additions and 137 deletions
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lib/averages/Jma.cs
+10 -13
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@@ -27,14 +27,12 @@ namespace QuanTAlib;
/// </remarks>
public class Jma : AbstractBase
{
private readonly double _period;
private readonly double _phase;
private readonly CircularBuffer _vsumBuff;
private readonly CircularBuffer _avoltyBuff;
private readonly double _beta;
private readonly double _len1;
private readonly double _pow1;
private readonly double _oneMinusAlpha;
private readonly double _oneMinusAlphaSquared;
private readonly double _alphaSquared;
@@ -55,19 +53,18 @@ public class Jma : AbstractBase
throw new System.ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
Factor = factor;
_period = period;
_phase = System.Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_vsumBuff = new CircularBuffer(buffer);
_avoltyBuff = new CircularBuffer(65);
_beta = factor * (period - 1) / ((factor * (period - 1)) + 2);
_len1 = System.Math.Max((System.Math.Log(System.Math.Sqrt(period - 1)) / System.Math.Log(2.0)) + 2.0, 0);
_pow1 = System.Math.Max(_len1 - 2.0, 0.5);
_len1 = Math.Max((Math.Log(Math.Sqrt(period - 1)) / Math.Log(2.0)) + 2.0, 0);
_pow1 = Math.Max(_len1 - 2.0, 0.5);
// Precalculate constants for alpha-based calculations
double alpha = System.Math.Pow(_beta, _pow1);
_oneMinusAlpha = 1.0 - alpha;
double alpha = Math.Pow(_beta, _pow1);
double _oneMinusAlpha = 1.0 - alpha;
_oneMinusAlphaSquared = _oneMinusAlpha * _oneMinusAlpha;
_alphaSquared = alpha * alpha;
@@ -120,7 +117,7 @@ public class Jma : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateVolatility(double price, double del1, double del2)
{
double volty = System.Math.Max(System.Math.Abs(del1), System.Math.Abs(del2));
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / _vsumBuff.Count;
_avoltyBuff.Add(_vSum, Input.IsNew);
@@ -131,7 +128,7 @@ public class Jma : AbstractBase
private double CalculateRelativeVolatility(double volty, double avgVolty)
{
double rvolty = (avgVolty > 0) ? volty / avgVolty : 1;
return System.Math.Min(System.Math.Max(rvolty, 1.0), System.Math.Pow(_len1, 1.0 / _pow1));
return Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
}
protected override double Calculation()
@@ -152,13 +149,13 @@ public class Jma : AbstractBase
double avgVolty = _avoltyBuff.Average();
double rvolty = CalculateRelativeVolatility(volty, avgVolty);
double pow2 = System.Math.Pow(rvolty, _pow1);
double Kv = System.Math.Pow(_beta, System.Math.Sqrt(pow2));
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
double alpha = System.Math.Pow(_beta, pow2);
double alpha = Math.Pow(_beta, pow2);
double ma1 = price + (alpha * (_prevMa1 - price));
_prevMa1 = ma1;