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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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notebooks/jma.dib
+90 -69
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@@ -82,58 +82,77 @@ TSeries MarketJMA = new() { 0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,
#!csharp
public class Jma1 : AbstractBase
public class Jmaxx : AbstractBase
{
public readonly int Period;
private readonly double _period;
private readonly double _phase;
private readonly int _vshort, _vlong;
private CircularBuffer _voltyShort;
private CircularBuffer _vsumBuff;
private CircularBuffer _avoltyBuff;
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 Jma1(int period, double phase = 0, int vshort = 10) : base()
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 Jmaxx(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);
_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();
WarmupPeriod = (int)_period * 2;
Name = $"JMA({period})";
}
/// <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;
_avoltyBuff.Clear();
_avoltyBuff.Add(0, true);
_avoltyBuff.Add(0, true);
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();
_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;
@@ -141,66 +160,73 @@ public class Jma1 : 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);
double price = Input.Value;
if (_index == 1)
{
_prevMa1 = _prevJma = Input.Value;
return Input.Value;
_upperBand = _lowerBand = price;
}
double del1 = Input.Value - _upperBand;
double del2 = Input.Value - _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 avolty = 0;
for (int i = 0; i < _vsumBuff.Count; i++) { avolty += _vsumBuff[i]; }
avolty /= _vsumBuff.Count;
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double rVolty = (avolty > 0) ? volty / avolty *20: 0;
double _len1 = Math.Max((Math.Log(Math.Sqrt(Period)) / Math.Log(2.0)) + 2.0, 0);
double _pow1 = Math.Max(_len1 - 2, 0.5);
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
rVolty = Math.Clamp(rVolty, 1.0, Math.Pow(_len1, 1.0 / _pow1));
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
double _pow2 = Math.Pow(rVolty, _pow1);
double _beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2);
double len2 = Math.Sqrt(0.5 * (Period - 1)) * _len1;
double _Kv = Math.Pow (_beta, Math.Sqrt(_pow2)) *1.5;
_upperBand = (del1 > 0) ? Input.Value : Input.Value - (_Kv * del1);
_lowerBand = (del2 < 0) ? Input.Value : Input.Value - (_Kv * del2);
double alpha = Math.Pow(_beta, _pow2);
double ma1 = alpha * (_prevMa1 - Input.Value) + Input.Value;
double alpha = Math.Pow(_beta, pow2);
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
_prevMa1 = ma1;
double det0 = _beta * (_prevDet0 - Input.Value + ma1) + Input.Value - ma1;
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = 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;
}
@@ -208,22 +234,17 @@ public class Jma1 : AbstractBase
#!csharp
TSeries ma = Triangle;
TSeries re = TriangleJMA;
TSeries ma = Complex;
TSeries re = ComplexJMA;
TSeries out1 = new();
TSeries out2 = new();
Jma calc = new(10);
Jma1 calc1 = new(10);
Jmaxx calc = new(10);
foreach (var value in ma) { out1.Add(calc.Calc(value)); }
foreach (var value in ma) { out2.Add(calc1.Calc(value)); }
Plot plt = new();
var sigplot = plt.Add.Signal(ma.v.ToArray()[60..80]);
var jmaplot = plt.Add.Signal(re.v.ToArray()[60..80]); sigplot.Color = ScottPlot.Colors.Red; sigplot.LineWidth = 2; jmaplot.LineWidth = 3;
//var jma1plot = plt.Add.Signal(out1.v.ToArray()[60..80]); jma1plot.Color = ScottPlot.Colors.Purple; jma1plot.LineWidth = 3;
var jma2plot = plt.Add.Signal(out2.v.ToArray()[60..80]); jma2plot.Color = ScottPlot.Colors.Blue; jma2plot.LineWidth = 3;
var jma1plot = plt.Add.Signal(out1.v.ToArray()[60..80]); jma1plot.Color = ScottPlot.Colors.Purple; jma1plot.LineWidth = 3;
plt.Display();
#!csharp
#r "nuget: Plotly.net.Interactive"
using Plotly.NET.Interactive;