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Documentation update

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This commit is contained in:
Miha Kralj
2022-11-09 14:00:47 -08:00
parent 43a0f13dfb
commit f62e9c76b8
18 changed files with 366 additions and 532 deletions
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Source/Indicators/ADO_Series.cs → Source/Indicators/ADOSC_Series.cs
+2 -2
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@@ -13,7 +13,7 @@ Sources:
</summary> */
public class ADO_Series : Single_TBars_Indicator
public class ADOSC_Series : Single_TBars_Indicator
{
private readonly ADL_Series _TSadl;
@@ -21,7 +21,7 @@ public class ADO_Series : Single_TBars_Indicator
private readonly EMA_Series _TSfast;
private readonly SUB_Series _TSado;
public ADO_Series(TBars source, bool useNaN = false) : base(source, period: 0, useNaN)
public ADOSC_Series(TBars source, bool useNaN = false) : base(source, period: 0, useNaN)
{
_TSadl = new(source: source, useNaN: false);
_TSslow = new(source: _TSadl, period: 10, useNaN: false);
Source/Indicators/ATRP_Series.cs
+11 -12
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@@ -2,31 +2,28 @@
using System;
/* <summary>
ATR: wildeR Moving Average
The average true range (ATR) is a price volatility indicator
showing the average price variation of assets within a given time period.
ATRP: Average True Range Percent
Average True Range Percent is (ATR/Close Price)*100.
This normalizes so it can be compared to other stocks.
Sources:
https://en.wikipedia.org/wiki/Average_true_range
https://www.tradingview.com/wiki/Average_True_Range_(ATR)
https://www.investopedia.com/terms/a/atr.asp
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
</summary> */
public class ATR_Series : Single_TBars_Indicator
public class ATRP_Series : Single_TBars_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m;
private double _lastema, _lastlastema, _lastcm1;
private double _cm1 = double.NaN;
public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN)
public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN)
{
this._k = 1.0 / (double)(this._p);
this._k1m = 1.0 - this._k;
this._lastema = this._lastlastema = double.NaN;
if (this._bars.Count > 0) { base.Add(this._bars); }
if (_bars.Count > 0) { base.Add(_bars); }
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
@@ -36,7 +33,7 @@ public class ATR_Series : Single_TBars_Indicator
this._cm1 = this._lastcm1;
}
if (this._cm1 is double.NaN) { this._cm1 = TBar.c; }
if (_cm1 is double.NaN) { _cm1 = TBar.c; }
double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h);
double d3 = Math.Abs(_cm1 - TBar.l);
@@ -58,7 +55,9 @@ public class ATR_Series : Single_TBars_Indicator
this._lastlastema = this._lastema;
this._lastema = _ema;
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
double _atrp = 100 * (_ema / TBar.c);
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp);
base.Add(ret, update);
}
}
Source/Indicators/ATR_Series.cs
+12 -11
View File
@@ -2,28 +2,31 @@
using System;
/* <summary>
ATRP: Average True Range Percent
Average True Range Percent is (ATR/Close Price)*100.
This normalizes so it can be compared to other stocks.
ATR: wildeR Moving Average
The average true range (ATR) is a price volatility indicator
showing the average price variation of assets within a given time period.
Sources:
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
https://en.wikipedia.org/wiki/Average_true_range
https://www.tradingview.com/wiki/Average_True_Range_(ATR)
https://www.investopedia.com/terms/a/atr.asp
</summary> */
public class ATRP_Series : Single_TBars_Indicator
public class ATR_Series : Single_TBars_Indicator
{
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m;
private double _lastema, _lastlastema, _lastcm1;
private double _cm1 = double.NaN;
public ATRP_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN)
public ATR_Series(TBars source, int period, bool useNaN = false) : base(source, period, useNaN)
{
this._k = 1.0 / (double)(this._p);
this._k1m = 1.0 - this._k;
this._lastema = this._lastlastema = double.NaN;
if (_bars.Count > 0) { base.Add(_bars); }
if (this._bars.Count > 0) { base.Add(this._bars); }
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
@@ -33,7 +36,7 @@ public class ATRP_Series : Single_TBars_Indicator
this._cm1 = this._lastcm1;
}
if (_cm1 is double.NaN) { _cm1 = TBar.c; }
if (this._cm1 is double.NaN) { this._cm1 = TBar.c; }
double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h);
double d3 = Math.Abs(_cm1 - TBar.l);
@@ -55,9 +58,7 @@ public class ATRP_Series : Single_TBars_Indicator
this._lastlastema = this._lastema;
this._lastema = _ema;
double _atrp = 100 * (_ema / TBar.c);
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _atrp);
var ret = (d.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _ema);
base.Add(ret, update);
}
}
Source/Statistics/PVAR_Series.cs
-43
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@@ -1,43 +0,0 @@
namespace QuanTAlib;
using System;
/* <summary>
PVAR: Population Variance
Population variance without Bessel's correction
Sources:
https://en.wikipedia.org/wiki/Variance
Bessel's correction: https://en.wikipedia.org/wiki/Bessel%27s_correction
Remark:
PVAR (Population Variance) is also known as a biased Sample Variance. For unbiased
sample variance use SVAR instead.
</summary> */
public class PVAR_Series : Single_TSeries_Indicator
{
public PVAR_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
_sma /= this._buffer.Count;
double _pvar = 0;
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_pvar /= this._buffer.Count;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _pvar);
base.Add(result, update);
}
}
Source/Statistics/SVAR_Series.cs
+43
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@@ -0,0 +1,43 @@
namespace QuanTAlib;
using System;
/* <summary>
SVAR: Sample Variance
Sample variance uses Bessel's correction to correct the bias in the estimation of population variance.
Sources:
https://en.wikipedia.org/wiki/Variance
Bessel's correction: https://en.wikipedia.org/wiki/Bessel%27s_correction
Remark:
SVAR is also known as the Unbiased Sample Variance, while VAR (Population Variance) is known as
the Biased Sample Variance.
</summary> */
public class SVAR_Series : Single_TSeries_Indicator
{
public SVAR_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
double _sma = 0;
for (int i = 0; i < this._buffer.Count; i++) { _sma += this._buffer[i]; }
_sma /= this._buffer.Count;
double _svar = 0;
for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _svar);
base.Add(result, update);
}
}
Source/Statistics/VAR_Series.cs
+12 -12
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@@ -2,16 +2,16 @@
using System;
/* <summary>
VAR: Sample Variance
Sample variance uses Bessel's correction to correct the bias in the estimation of population variance.
VAR: Population Variance
Population variance without Bessel's correction
Sources:
https://en.wikipedia.org/wiki/Variance
Bessel's correction: https://en.wikipedia.org/wiki/Bessel%27s_correction
Remark:
VAR is also known as the Unbiased Sample Variance, while PVAR (Population Variance) is known as
the Biased Sample Variance.
VAR (Population Variance) is also known as a biased Sample Variance. For unbiased
sample variance use SVAR instead.
</summary> */
@@ -25,19 +25,19 @@ public class VAR_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
for (int i = 0; i < this._buffer.Count; i++) { _sma += this._buffer[i]; }
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
_sma /= this._buffer.Count;
double _svar = 0;
for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
double _pvar = 0;
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_pvar /= this._buffer.Count;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _svar);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _pvar);
base.Add(result, update);
}
}