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Miha Kralj
2024-10-16 18:28:06 -07:00
parent e5a1948fc0
commit fbe4046b5d
17 changed files with 2619 additions and 286 deletions
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lib/averages/Ema.cs
+57 -6
View File
@@ -2,10 +2,11 @@ namespace QuanTAlib;
/// <summary>
/// EMA: Exponential Moving Average
/// EMA needs very short history buffer and calculates the EMA value using just the
/// previous EMA value. The weight of the new datapoint (alpha) is alpha = 2 / (period + 1)
/// </summary>
/// <remarks>
/// EMA needs very short history buffer and calculates the EMA value using just the
/// previous EMA value. The weight of the new datapoint (alpha) is alpha = 2 / (period + 1)
///
/// Key characteristics:
/// - Uses no buffer, relying only on the previous EMA value.
/// - The weight of new data points is calculated as alpha = 2 / (period + 1).
@@ -19,19 +20,52 @@ namespace QuanTAlib;
/// - https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
/// - https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA
/// </remarks>
public class Ema : AbstractBase
{
// inherited _index
// inherited _value
/// <summary>
/// The period for the EMA calculation.
/// </summary>
private readonly int _period;
/// <summary>
/// Circular buffer for SMA calculation.
/// </summary>
private CircularBuffer _sma;
/// <summary>
/// The last calculated EMA value.
/// </summary>
private double _lastEma, _p_lastEma;
/// <summary>
/// Compensator for early EMA values.
/// </summary>
private double _e, _p_e;
/// <summary>
/// The smoothing factor for EMA calculation.
/// </summary>
private readonly double _k;
/// <summary>
/// Flags to track initialization status.
/// </summary>
private bool _isInit, _p_isInit;
/// <summary>
/// Flag to determine whether to use SMA for initial values.
/// </summary>
private readonly bool _useSma;
/// <summary>
/// Initializes a new instance of the Ema class with a specified period.
/// </summary>
/// <param name="period">The period for EMA calculation.</param>
/// <param name="useSma">Whether to use SMA for initial values. Default is true.</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
public Ema(int period, bool useSma = true)
{
if (period < 1)
@@ -47,6 +81,10 @@ public class Ema : AbstractBase
Init();
}
/// <summary>
/// Initializes a new instance of the Ema class with a specified alpha value.
/// </summary>
/// <param name="alpha">The smoothing factor for EMA calculation.</param>
public Ema(double alpha)
{
_k = alpha;
@@ -57,13 +95,21 @@ public class Ema : AbstractBase
Init();
}
/// <summary>
/// Initializes a new instance of the Ema class with a specified source and period.
/// </summary>
/// <param name="source">The source object for event subscription.</param>
/// <param name="period">The period for EMA calculation.</param>
/// <param name="useSma">Whether to use SMA for initial values. Default is true.</param>
public Ema(object source, int period, bool useSma = true) : this(period, useSma)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
//inhereted public void Sub(object source, in ValueEventArgs args)
/// <summary>
/// Initializes the Ema instance.
/// </summary>
public override void Init()
{
base.Init();
@@ -74,6 +120,10 @@ public class Ema : AbstractBase
_sma = new(_period);
}
/// <summary>
/// Manages the state of the Ema instance.
/// </summary>
/// <param name="isNew">Indicates whether the input is new.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -92,8 +142,9 @@ public class Ema : AbstractBase
}
/// <summary>
/// Core EMA calculation
/// Performs the EMA calculation.
/// </summary>
/// <returns>The calculated EMA value.</returns>
protected override double Calculation()
{
double result, _ema;
@@ -118,7 +169,7 @@ public class Ema : AbstractBase
_ema = _k * (Input.Value - _lastEma) + _lastEma;
// _useSma decides if we use compensator or not
result = (_useSma || _e == 0) ? _ema : _ema / (1 - _e);
result = (_useSma || _e <= double.Epsilon) ? _ema : _ema / (1 - _e);
}
_lastEma = _ema;
IsHot = _index >= WarmupPeriod;
lib/averages/Jma.cs
+85 -61
View File
@@ -1,68 +1,91 @@
/// <summary>
/// Represents a Jurik Moving Average, based on known and reverse-engineered insights
/// </summary>
namespace QuanTAlib;
//TODO fails consistency test
public class Jma : AbstractBase
{
public readonly int Period;
private readonly int _period;
private readonly double _phase;
private readonly int _vshort, _vlong;
private readonly CircularBuffer _values;
private readonly CircularBuffer _voltyShort;
private readonly CircularBuffer _vsumBuff;
private readonly CircularBuffer _avoltyBuff;
private double _beta, _len1, _pow1;
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _len1;
private double _pow1;
private readonly double _beta;
private double _upperBand, _lowerBand, _p_upperBand, _p_lowerBand;
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _vSum, _p_vSum;
public Jma(int period, double phase = 0, int vshort = 10)
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
/// <summary>
/// Initializes a new instance of the Jma class with the specified parameters.
/// </summary>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
public Jma(int period, int phase = 0)
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
Period = period;
_vshort = vshort;
_vlong = 65;
_period = period;
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_values = new CircularBuffer(period);
_voltyShort = new CircularBuffer(vshort);
_vsumBuff = new CircularBuffer(_vlong);
_avoltyBuff = new CircularBuffer(2);
_vsumBuff = new CircularBuffer(10);
_avoltyBuff = new CircularBuffer(65);
_beta = 0.45 * (period - 1) / (0.45 * (period - 1) + 2);
Name = "JMA";
WarmupPeriod = period * 2;
Init();
Name = $"JMA({period})";
}
public Jma(object source, int period, double phase = 0, int vshort = 10) : this(period, phase, vshort)
/// <summary>
/// Initializes a new instance of the Jvolty class with the specified source and parameters.
/// </summary>
/// <param name="source">The source object to subscribe to for value updates.</param>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
public Jma(object source, int period, int phase = 0) : this(period, phase)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Jma instance by setting up the initial state.
/// </summary>
public override void Init()
{
_upperBand = _lowerBand = _prevMa1 = _prevDet0 = _prevDet1 = _prevJma = 0.0;
_p_UpperBand = _p_LowerBand = _p_prevMa1 = _p_prevDet0 = _p_prevDet1 = _p_prevJma = 0.0;
_beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2);
_len1 = Math.Max((Math.Log(Math.Sqrt(Period - 1)) / Math.Log(2.0)) + 2.0, 0);
base.Init();
_upperBand = _lowerBand = 0.0;
_p_upperBand = _p_lowerBand = 0.0;
_len1 = Math.Max((Math.Log(Math.Sqrt(_period - 1)) / Math.Log(2.0)) + 2.0, 0);
_pow1 = Math.Max(_len1 - 2.0, 0.5);
_avoltyBuff.Clear();
_avoltyBuff.Add(0, true);
_avoltyBuff.Add(0, true);
base.Init();
_vsumBuff.Clear();
}
/// <summary>
/// Manages the state of the Jma instance based on whether a new value is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new value.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
{
_lastValidValue = Input.Value;
_index++;
// Save current state
_p_UpperBand = _upperBand;
_p_LowerBand = _lowerBand;
_p_upperBand = _upperBand;
_p_lowerBand = _lowerBand;
_p_vSum = _vSum;
_p_prevMa1 = _prevMa1;
_p_prevDet0 = _prevDet0;
_p_prevDet1 = _prevDet1;
@@ -70,67 +93,68 @@ public class Jma : AbstractBase
}
else
{
// Restore previous state
_upperBand = _p_UpperBand;
_lowerBand = _p_LowerBand;
_upperBand = _p_upperBand;
_lowerBand = _p_lowerBand;
_vSum = _p_vSum;
_prevMa1 = _p_prevMa1;
_prevDet0 = _p_prevDet0;
_prevDet1 = _p_prevDet1;
_prevJma = _p_prevJma;
}
}
/// <summary>
/// Performs the Jma calculation for the current value.
/// </summary>
/// <returns>
/// The calculated Jma value for the current input.
/// </returns>
protected override double Calculation()
{
ManageState(Input.IsNew);
_values.Add(Input.Value, Input.IsNew);
double price = Input.Value;
if (_index == 1)
{
_prevMa1 = _prevJma = Input.Value;
return Input.Value;
_upperBand = _lowerBand = price;
}
double hprice = _values.Max();
double lprice = _values.Min();
double del1 = hprice - _upperBand;
double del2 = lprice - _lowerBand;
double del1 = price - _upperBand;
double del2 = price - _lowerBand;
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
_voltyShort.Add(volty, Input.IsNew);
double vsum = _vsumBuff.Newest() + 0.1 * (volty - _voltyShort.Oldest());
_vsumBuff.Add(vsum, Input.IsNew);
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
_avoltyBuff.Add(_vSum, Input.IsNew);
double avgvolty = _avoltyBuff.Average();
double prevAvolty = _avoltyBuff.Newest();
double avolty = prevAvolty + 2.0 / (Math.Max(4.0 * Period, 30) + 1.0) * (vsum - prevAvolty);
_avoltyBuff.Add(avolty, Input.IsNew);
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double dVolty = (avolty > 0) ? volty / avolty : 0;
dVolty = Math.Min(Math.Max(dVolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
double pow2 = Math.Pow(dVolty, _pow1);
double len2 = Math.Sqrt(0.5 * (Period - 1)) * _len1;
double _Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2));
_upperBand = (del1 > 0) ? hprice : hprice - (_Kv * del1);
_lowerBand = (del2 < 0) ? lprice : lprice - (_Kv * del2);
_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;
_prevMa1 = ma1;
double det0 = (1 - _beta) * (Input.Value - ma1) + _beta * _prevDet0;
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = det0;
double ma2 = ma1 + (_phase + 1) * det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((1 - alpha) * (1 - alpha) * (ma2 - _prevJma)) + (alpha * alpha * _prevDet1);
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha) ) + (alpha * alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;
UpperBand = _upperBand;
LowerBand = _lowerBand;
Volty = volty;
IsHot = _index >= WarmupPeriod;
return jma;
}
}
}