mirror of
https://github.com/mihakralj/QuanTAlib.git
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Documentation
This commit is contained in:
Miha Kralj
+3
-3
@@ -25,7 +25,7 @@ public class BarIndicatorTests
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private static readonly ITValue[] indicators = new ITValue[]
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private static readonly ITValue[] indicators = new ITValue[]
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{
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{
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new Atr(period: 14),
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new Atr(period: 14),
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new Jvolty(period: 14)
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// Add other TBar-based indicators here
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// Add other TBar-based indicators here
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};
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};
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@@ -80,14 +80,14 @@ public class BarIndicatorTests
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if (methods.Count > 0)
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if (methods.Count > 0)
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{
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{
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// Prefer the method with TBar parameter
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// Prefer the method with TBar parameter
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var method = methods.FirstOrDefault(m =>
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var method = methods.Find(m =>
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{
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{
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var parameters = m.GetParameters();
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var parameters = m.GetParameters();
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return parameters.Length == 1 && parameters[0].ParameterType == typeof(TBar);
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return parameters.Length == 1 && parameters[0].ParameterType == typeof(TBar);
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});
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});
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// If not found, return the first method
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// If not found, return the first method
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return method ?? methods.First();
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return method ?? methods[0];
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}
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}
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type = type.BaseType!;
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type = type.BaseType!;
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@@ -13,7 +13,7 @@ namespace QuanTAlib
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{
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{
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public class QuantowerTests
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public class QuantowerTests
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{
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{
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private void TestIndicator<T>(string fieldName = "ma") where T : Indicator, new()
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private static void TestIndicator<T>(string fieldName = "ma") where T : Indicator, new()
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{
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{
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var indicator = new T();
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var indicator = new T();
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try
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try
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@@ -95,7 +95,6 @@ namespace QuanTAlib
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// Volatility Indicators
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// Volatility Indicators
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[Fact] public void Atr() => TestIndicator<AtrIndicator>("atr");
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[Fact] public void Atr() => TestIndicator<AtrIndicator>("atr");
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[Fact] public void Jvolty() => TestIndicator<JvoltyIndicator>("jvolty");
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[Fact] public void Historical() => TestIndicator<HistoricalIndicator>("historical");
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[Fact] public void Historical() => TestIndicator<HistoricalIndicator>("historical");
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[Fact] public void Realized() => TestIndicator<RealizedIndicator>("realized");
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[Fact] public void Realized() => TestIndicator<RealizedIndicator>("realized");
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@@ -57,21 +57,6 @@ public class VolatilityUpdateTests
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Assert.Equal(initialValue, finalValue, precision);
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Assert.Equal(initialValue, finalValue, precision);
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}
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}
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[Fact]
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public void Jvolty_Update()
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{
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var indicator = new Jvolty(period: 14);
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double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
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for (int i = 0; i < RandomUpdates; i++)
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{
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indicator.Calc(GetRandomBar(false));
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}
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double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false));
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Assert.Equal(initialValue, finalValue, precision);
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}
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[Fact]
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[Fact]
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public void Realized_Update()
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public void Realized_Update()
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{
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{
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@@ -0,0 +1,134 @@
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AC,Acceleration Oscillator
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AD,Chaikin A/D Line
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ADOSC,Chaikin A/D Oscillator
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ADL,Accumulation / Distribution Line
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ADX,Average Directional Movement Index
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ADXR,Average Directional Movement Index Rating
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Alligator,Alligator Indicator
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ALMA,Arnaud Legoux Moving Average
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AO,Awesome Oscillator
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APO,Absolute Price Oscillator
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AROON,Aroon Indicator
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AROONOSC,Aroon Oscillator
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ATS,ATR Trailing Stop
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ATR,Average True Range
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AVGPRICE,Average Price
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BB,Bollinger Bands
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BBF,Bollinger Bands Flat
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BBP,Bull and Bear Power
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BC,Beta Coefficient
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BETA,Beta
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BOP,Balance of Power
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CCI,Commodity Channel Index
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CE,Chandelier Exit
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Channel,Price Channel
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CI,Choppiness Index
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CMF,Chaikin Money Flow
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CMO,Chande Momentum Oscillator
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CORREL,Pearson's Correlation Coefficient
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CRSI,ConnorsRSI
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DC,Donchian Channels
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DCP,Dominant Cycle Periods
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DEMA,Double Exponential Moving Average
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DMI,Directional Movement Index
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DPO,Detrended Price Oscillator
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DX,Directional Movement Index
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EMA,Exponential Moving Average
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EPMA,Endpoint Moving Average
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ERI,Elder-ray Index
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FCB,Fractal Chaos Bands
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FI,Force Index
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GO,Gator Oscillator
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HE,Hurst Exponent
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HMA,Hull Moving Average
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HT_TRENDLINE,Hilbert Transform - Instantaneous Trendline
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HT_TRENDMODE,Hilbert Transform - Trend vs Cycle Mode
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HV,Historical Volatility
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IC,Ichimoku Cloud
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KAMA,Kaufman Adaptive Moving Average
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KDJ,KDJ Index
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Keltner,Keltner Channel
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KVO,Klinger Volume Oscillator
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LINEARREG,Linear Regression
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LINEARREG_ANGLE,Linear Regression Angle
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LINEARREG_INTERCEPT,Linear Regression Intercept
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LINEARREG_SLOPE,Linear Regression Slope
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LSMA,Least Squares Moving Average
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LWMA,Linearly Weighted Moving Average
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MACDEXT,MACD with controllable MA type
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MACDFIX,Moving Average Convergence Divergence Fix 12/26
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MAD,Mean absolute deviation
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MAE,Moving Average Envelope
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MAMA,MESA Adaptive Moving Average
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MAPE,Mean absolute percentage error
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MAX,Highest value over a specified period
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MAXINDEX,Index of highest value over a specified period
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MD,McGinley Dynamic
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MEDPRICE,Median Price
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MFI,Money Flow Index
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MIN,Lowest value over a specified period
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MININDEX,Index of lowest value over a specified period
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MINMAX,Lowest and highest values over a specified period
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MINMAXINDEX,Indexes of lowest and highest values over a period
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MMA,Modified Moving Average
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MOM,Momentum
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MSE,Mean square error
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NATR,Normalized Average True Range
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OBV,On Balance Volume
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OsMA,Moving Average of Oscillator
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PAZ,Price Action Zones
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Pivots,Pivots
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PMO,Price Momentum Oscillator
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PP,Pivot Points
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PPO,Percentage Price Oscillator
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PPMA,Pivot Point Moving Average
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PRS,Price Relative Strength
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PVI,Positive Volume Index
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PVO,Percentage Volume Oscillator
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Qstick,Qstick Indicator
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R2,R-Squared (Coefficient of Determination)
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Regression,Regression Line Indicator
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RLW,%R Larry Williams
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RMA,Running Moving Average
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ROC,Rate of Change
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ROCB,ROC with Bands
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RPP,Rolling Pivot Points
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RRA,Rescaled Range Analysis
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RSI,Relative Strength Index
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SAR,Parabolic SAR
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SAREXT,Parabolic SAR - Extended
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SDC,Standard Deviation Channels
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SI,Swing Index
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SLR,Slope and Linear Regression
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SMA,Simple Moving Average
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SMI,Stochastic Momentum Index
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SMMA,Smoothed Moving Average
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ST,SuperTrend
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STARC,STARC Bands
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STC,Schaff Trend Cycle
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STDDEV,Standard Deviation
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STOCH,Stochastic
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STOCHF,Stochastic Fast
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STOCHRSI,Stochastic Relative Strength Index
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SUM,Summation
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T3,Triple Exponential Moving Average (T3)
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TEMA,Triple Exponential Moving Average
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TRANGE,True Range
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TRIMA,Triangular Moving Average
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TRIX,1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
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TSI,True Strength Index
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TYPPRICE,Typical Price
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UI,Ulcer Index
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ULTOSC,Ultimate Oscillator
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VAR,Variance
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VI,Vortex Indicator
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Volume,Volume Indicator
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VS,Volatility Stop
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VWAP,Volume Weighted Average Price
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VWMA,Volume Weighted Moving Average
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WA,Williams Alligator
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WCLPRICE,Weighted Close Price
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WF,Williams Fractal
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WMA,Weighted Moving Average
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ZS,Z-Score
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ZZ,ZigZag Indicator
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+313
-5
@@ -1,5 +1,313 @@
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# Backlog and done
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| AD | Chaikin A/D Line |
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| AROON | Aroon Indicator |
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|**QT**|**Chart**|Cmnt|Docs|isNew|Validation|
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| ADX | Average Directional Movement Index |
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|--|:--:|:--:|:--:|:--:|:--:|
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| ADXR | Average Directional Movement Index Rating |
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|AFIRMA|✔️|||||
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| DX | Directional Movement Index |
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| SAR | Parabolic SAR |
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| SAREXT | Parabolic SAR - Extended |
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| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
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| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
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| ZZ | ZigZag Indicator |
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| DMI | Directional Movement Index |
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| Alligator | Alligator Indicator |
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| Regression | Regression Line Indicator |
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| SI | Swing Index |
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| ATS | ATR Trailing Stop |
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|
| ERI | Elder-ray Index |
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| GO | Gator Oscillator |
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|
| HE | Hurst Exponent |
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|
| IC | Ichimoku Cloud |
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| ST | SuperTrend |
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| VI | Vortex Indicator |
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| WA | Williams Alligator |
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|
| RSI | Relative Strength Index |
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| CCI | Commodity Channel Index |
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|
| MOM | Momentum |
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|
| ROC | Rate of Change |
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|
| PPO | Percentage Price Oscillator |
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|
| AO | Awesome Oscillator |
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|
| CMO | Chande Momentum Oscillator |
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|
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
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|
| ULTOSC | Ultimate Oscillator |
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|
| AROONOSC | Aroon Oscillator |
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|
| ADOSC | Chaikin A/D Oscillator |
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|
| APO | Absolute Price Oscillator |
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|
| STOCH | Stochastic |
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|
| STOCHF | Stochastic Fast |
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|
| STOCHRSI | Stochastic Relative Strength Index |
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|
| Qstick | Qstick Indicator |
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|
| RLW | %R Larry Williams |
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|
| AC | Acceleration Oscillator |
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|
| TSI | True Strength Index |
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|
| CRSI | ConnorsRSI |
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|
| DPO | Detrended Price Oscillator |
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|
| KDJ | KDJ Index |
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|
| STC | Schaff Trend Cycle |
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|
| SMI | Stochastic Momentum Index |
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|
| BB | Bollinger Bands |
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|
| Keltner | Keltner Channel |
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|
| BBF | Bollinger Bands Flat |
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| Channel | Price Channel |
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|
| MAE | Moving Average Envelope |
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|
| PAZ | Price Action Zones |
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| DC | Donchian Channels |
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|
| FCB | Fractal Chaos Bands |
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|
| PP | Pivot Points |
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|
| RPP | Rolling Pivot Points |
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|
| STARC | STARC Bands |
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|
| SDC | Standard Deviation Channels |
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|
| OBV | On Balance Volume |
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|
| PVI | Positive Volume Index |
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|
| Volume | Volume Indicator |
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|
| MFI | Money Flow Index |
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|
| ADL | Accumulation / Distribution Line |
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|
| CMF | Chaikin Money Flow |
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|
| FI | Force Index |
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|
| KVO | Klinger Volume Oscillator |
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|
| PVO | Percentage Volume Oscillator |
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|
| ATS | ATR Trailing Stop |
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|
| CE | Chandelier Exit |
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|
| SAR | Parabolic SAR |
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|
| ST | SuperTrend |
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|
| VS | Volatility Stop |
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|
| Pivots | Pivots |
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|
| WF | Williams Fractal |
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|
| EMA | Exponential Moving Average |
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|
| SMA | Simple Moving Average |
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|
| LWMA | Linearly Weighted Moving Average |
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|
| SMMA | Smoothed Moving Average |
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|
| MMA | Modified Moving Average |
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|
| KAMA | Kaufman Adaptive Moving Average |
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|
| DEMA | Double Exponential Moving Average |
|
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|
| TEMA | Triple Exponential Moving Average |
|
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|
| MAMA | MESA Adaptive Moving Average |
|
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|
| TRIMA | Triangular Moving Average |
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|
| T3 | Triple Exponential Moving Average (T3) |
|
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|
| PPMA | Pivot Point Moving Average |
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|
| WMA | Weighted Moving Average |
|
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|
| ALMA | Arnaud Legoux Moving Average |
|
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|
| EPMA | Endpoint Moving Average |
|
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|
| HMA | Hull Moving Average |
|
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|
| LSMA | Least Squares Moving Average |
|
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|
| MD | McGinley Dynamic |
|
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|
| RMA | Running Moving Average |
|
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|
| VWAP | Volume Weighted Average Price |
|
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|
| VWMA | Volume Weighted Moving Average |
|
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|
| ATR | Average True Range |
|
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|
| NATR | Normalized Average True Range |
|
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|
| TRANGE | True Range |
|
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|
| STDDEV | Standard Deviation |
|
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|
| HV | Historical Volatility |
|
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|
| BOP | Balance of Power |
|
||||||
|
| BBP | Bull and Bear Power |
|
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|
| CI | Choppiness Index |
|
||||||
|
| DCP | Dominant Cycle Periods |
|
||||||
|
| PMO | Price Momentum Oscillator |
|
||||||
|
| PRS | Price Relative Strength |
|
||||||
|
| ROCB | ROC with Bands |
|
||||||
|
| RRA | Rescaled Range Analysis |
|
||||||
|
| UI | Ulcer Index |
|
||||||
|
| CORREL | Pearson's Correlation Coefficient |
|
||||||
|
| BETA | Beta |
|
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|
| VAR | Variance |
|
||||||
|
| AVGPRICE | Average Price |
|
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|
| MEDPRICE | Median Price |
|
||||||
|
| TYPPRICE | Typical Price |
|
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|
| WCLPRICE | Weighted Close Price |
|
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|
| SUM | Summation |
|
||||||
|
| MAX | Highest value over a specified period |
|
||||||
|
| MIN | Lowest value over a specified period |
|
||||||
|
| MAXINDEX | Index of highest value over a specified period |
|
||||||
|
| MININDEX | Index of lowest value over a specified period |
|
||||||
|
| MINMAX | Lowest and highest values over a specified period |
|
||||||
|
| MINMAXINDEX | Indexes of lowest and highest values over a period |
|
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|
| BC | Beta Coefficient |
|
||||||
|
| MAD | Mean absolute deviation |
|
||||||
|
| MAPE | Mean absolute percentage error |
|
||||||
|
| MSE | Mean square error |
|
||||||
|
| R2 | R-Squared (Coefficient of Determination) |
|
||||||
|
| SLR | Slope and Linear Regression |
|
||||||
|
| ZS | Z-Score |
|
||||||
|
| AD | Chaikin A/D Line |
|
||||||
|
| AROON | Aroon Indicator |
|
||||||
|
| ADX | Average Directional Movement Index |
|
||||||
|
| ADXR | Average Directional Movement Index Rating |
|
||||||
|
| DX | Directional Movement Index |
|
||||||
|
| SAR | Parabolic SAR |
|
||||||
|
| SAREXT | Parabolic SAR - Extended |
|
||||||
|
| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
|
||||||
|
| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
|
||||||
|
| ZZ | ZigZag Indicator |
|
||||||
|
| DMI | Directional Movement Index |
|
||||||
|
| Alligator | Alligator Indicator |
|
||||||
|
| Regression | Regression Line Indicator |
|
||||||
|
| SI | Swing Index |
|
||||||
|
| ATS | ATR Trailing Stop |
|
||||||
|
| ERI | Elder-ray Index |
|
||||||
|
| GO | Gator Oscillator |
|
||||||
|
| HE | Hurst Exponent |
|
||||||
|
| IC | Ichimoku Cloud |
|
||||||
|
| ST | SuperTrend |
|
||||||
|
| VI | Vortex Indicator |
|
||||||
|
| WA | Williams Alligator |
|
||||||
|
| RSI | Relative Strength Index |
|
||||||
|
| CCI | Commodity Channel Index |
|
||||||
|
| MOM | Momentum |
|
||||||
|
| ROC | Rate of Change |
|
||||||
|
| PPO | Percentage Price Oscillator |
|
||||||
|
| AO | Awesome Oscillator |
|
||||||
|
| CMO | Chande Momentum Oscillator |
|
||||||
|
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
|
||||||
|
| ULTOSC | Ultimate Oscillator |
|
||||||
|
| AROONOSC | Aroon Oscillator |
|
||||||
|
| ADOSC | Chaikin A/D Oscillator |
|
||||||
|
| APO | Absolute Price Oscillator |
|
||||||
|
| STOCH | Stochastic |
|
||||||
|
| STOCHF | Stochastic Fast |
|
||||||
|
| STOCHRSI | Stochastic Relative Strength Index |
|
||||||
|
| Qstick | Qstick Indicator |
|
||||||
|
| RLW | %R Larry Williams |
|
||||||
|
| AC | Acceleration Oscillator |
|
||||||
|
| TSI | True Strength Index |
|
||||||
|
| CRSI | ConnorsRSI |
|
||||||
|
| DPO | Detrended Price Oscillator |
|
||||||
|
| KDJ | KDJ Index |
|
||||||
|
| STC | Schaff Trend Cycle |
|
||||||
|
| SMI | Stochastic Momentum Index |
|
||||||
|
| BB | Bollinger Bands |
|
||||||
|
| Keltner | Keltner Channel |
|
||||||
|
| BBF | Bollinger Bands Flat |
|
||||||
|
| Channel | Price Channel |
|
||||||
|
| MAE | Moving Average Envelope |
|
||||||
|
| PAZ | Price Action Zones |
|
||||||
|
| DC | Donchian Channels |
|
||||||
|
| FCB | Fractal Chaos Bands |
|
||||||
|
| PP | Pivot Points |
|
||||||
|
| RPP | Rolling Pivot Points |
|
||||||
|
| STARC | STARC Bands |
|
||||||
|
| SDC | Standard Deviation Channels |
|
||||||
|
| OBV | On Balance Volume |
|
||||||
|
| PVI | Positive Volume Index |
|
||||||
|
| Volume | Volume Indicator |
|
||||||
|
| MFI | Money Flow Index |
|
||||||
|
| ADL | Accumulation / Distribution Line |
|
||||||
|
| CMF | Chaikin Money Flow |
|
||||||
|
| FI | Force Index |
|
||||||
|
| KVO | Klinger Volume Oscillator |
|
||||||
|
| PVO | Percentage Volume Oscillator |
|
||||||
|
| ATS | ATR Trailing Stop |
|
||||||
|
| CE | Chandelier Exit |
|
||||||
|
| SAR | Parabolic SAR |
|
||||||
|
| ST | SuperTrend |
|
||||||
|
| VS | Volatility Stop |
|
||||||
|
| Pivots | Pivots |
|
||||||
|
| WF | Williams Fractal |
|
||||||
|
| ALMA | Arnaud Legoux Moving Average |
|
||||||
|
| EPMA | Endpoint Moving Average |
|
||||||
|
| HMA | Hull Moving Average |
|
||||||
|
| LSMA | Least Squares Moving Average |
|
||||||
|
| MD | McGinley Dynamic |
|
||||||
|
| RMA | Running Moving Average |
|
||||||
|
| T3 | Tillson T3 Moving Average |
|
||||||
|
| VWAP | Volume Weighted Average Price |
|
||||||
|
| VWMA | Volume Weighted Moving Average |
|
||||||
|
| BOP | Balance of Power |
|
||||||
|
| BBP | Bull and Bear Power |
|
||||||
|
| CI | Choppiness Index |
|
||||||
|
| DCP | Dominant Cycle Periods |
|
||||||
|
| PMO | Price Momentum Oscillator |
|
||||||
|
| PRS | Price Relative Strength |
|
||||||
|
| ROCB | ROC with Bands |
|
||||||
|
| RRA | Rescaled Range Analysis |
|
||||||
|
| UI | Ulcer Index |
|
||||||
|
| BC | Beta Coefficient |
|
||||||
|
| MAD | Mean absolute deviation |
|
||||||
|
| MAPE | Mean absolute percentage error |
|
||||||
|
| MSE | Mean square error |
|
||||||
|
| R2 | R-Squared (Coefficient of Determination) |
|
||||||
|
| SLR | Slope and Linear Regression |
|
||||||
|
| ZS | Z-Score |
|
||||||
|
| EMA | Exponential Moving Average |
|
||||||
|
| SMA | Simple Moving Average |
|
||||||
|
| LWMA | Linearly Weighted Moving Average |
|
||||||
|
| SMMA | Smoothed Moving Average |
|
||||||
|
| MMA | Modified Moving Average |
|
||||||
|
| KAMA | Kaufman Adaptive Moving Average |
|
||||||
|
| DEMA | Double Exponential Moving Average |
|
||||||
|
| TEMA | Triple Exponential Moving Average |
|
||||||
|
| MAMA | MESA Adaptive Moving Average |
|
||||||
|
| TRIMA | Triangular Moving Average |
|
||||||
|
| T3 | Triple Exponential Moving Average (T3) |
|
||||||
|
| PPMA | Pivot Point Moving Average |
|
||||||
|
| MAE | Moving Average Envelope |
|
||||||
|
| MACD | Moving Average Convergence Divergence |
|
||||||
|
| MACDEXT | MACD with controllable MA type |
|
||||||
|
| MACDFIX | Moving Average Convergence Divergence Fix 12/26 |
|
||||||
|
| OsMA | Moving Average of Oscillator |
|
||||||
|
| Regression | Regression Indicator |
|
||||||
|
| LINEARREG | Linear Regression |
|
||||||
|
| LINEARREG_ANGLE | Linear Regression Angle |
|
||||||
|
| LINEARREG_INTERCEPT | Linear Regression Intercept |
|
||||||
|
| LINEARREG_SLOPE | Linear Regression Slope |
|
||||||
|
| RSI | Relative Strength Index |
|
||||||
|
| CCI | Commodity Channel Index |
|
||||||
|
| MOM | Momentum |
|
||||||
|
| ROC | Rate of Change |
|
||||||
|
| PPO | Percentage Price Oscillator |
|
||||||
|
| AO | Awesome Oscillator |
|
||||||
|
| CMO | Chande Momentum Oscillator |
|
||||||
|
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
|
||||||
|
| ULTOSC | Ultimate Oscillator |
|
||||||
|
| AROONOSC | Aroon Oscillator |
|
||||||
|
| ADOSC | Chaikin A/D Oscillator |
|
||||||
|
| APO | Absolute Price Oscillator |
|
||||||
|
| STOCH | Stochastic |
|
||||||
|
| STOCHF | Stochastic Fast |
|
||||||
|
| STOCHRSI | Stochastic Relative Strength Index |
|
||||||
|
| Qstick | Qstick Indicator |
|
||||||
|
| RLW | %R Larry Williams |
|
||||||
|
| AC | Acceleration Oscillator |
|
||||||
|
| TSI | True Strength Index |
|
||||||
|
| AD | Chaikin A/D Line |
|
||||||
|
| AROON | Aroon Indicator |
|
||||||
|
| ADX | Average Directional Movement Index |
|
||||||
|
| ADXR | Average Directional Movement Index Rating |
|
||||||
|
| DX | Directional Movement Index |
|
||||||
|
| SAR | Parabolic SAR |
|
||||||
|
| SAREXT | Parabolic SAR - Extended |
|
||||||
|
| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
|
||||||
|
| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
|
||||||
|
| ZZ | ZigZag Indicator |
|
||||||
|
| DMI | Directional Movement Index |
|
||||||
|
| Alligator | Alligator Indicator |
|
||||||
|
| Regression | Regression Line Indicator |
|
||||||
|
| SI | Swing Index |
|
||||||
|
| ATR | Average True Range |
|
||||||
|
| NATR | Normalized Average True Range |
|
||||||
|
| TRANGE | True Range |
|
||||||
|
| STDDEV | Standard Deviation |
|
||||||
|
| HV | Historical Volatility |
|
||||||
|
| BB | Bollinger Bands |
|
||||||
|
| Keltner | Keltner Channel |
|
||||||
|
| BBF | Bollinger Bands Flat |
|
||||||
|
| Channel | Price Channel |
|
||||||
|
| MAE | Moving Average Envelope |
|
||||||
|
| PAZ | Price Action Zones |
|
||||||
|
| OBV | On Balance Volume |
|
||||||
|
| PVI | Positive Volume Index |
|
||||||
|
| Volume | Volume Indicator |
|
||||||
|
| MFI | Money Flow Index |
|
||||||
|
| CORREL | Pearson's Correlation Coefficient |
|
||||||
|
| BETA | Beta |
|
||||||
|
| VAR | Variance |
|
||||||
|
| AVGPRICE | Average Price |
|
||||||
|
| MEDPRICE | Median Price |
|
||||||
|
| TYPPRICE | Typical Price |
|
||||||
|
| WCLPRICE | Weighted Close Price |
|
||||||
|
| SUM | Summation |
|
||||||
|
| MAX | Highest value over a specified period |
|
||||||
|
| MIN | Lowest value over a specified period |
|
||||||
|
| MAXINDEX | Index of highest value over a specified period |
|
||||||
|
| MININDEX | Index of lowest value over a specified period |
|
||||||
|
| MINMAX | Lowest and highest values over a specified period |
|
||||||
|
| MINMAXINDEX | Indexes of lowest and highest values over a period |
|
||||||
|
|||||||
+34
-10
@@ -1,7 +1,34 @@
|
|||||||
* [QuanTAlib](/)
|
|
||||||
|
* [Home](/)
|
||||||
|
* Introduction
|
||||||
|
* [Overview]()
|
||||||
|
* [Features]()
|
||||||
* [Historical vs Real-time analysis](essays/realtime.md)
|
* [Historical vs Real-time analysis](essays/realtime.md)
|
||||||
* [Indicators](indicators/indicators.md)
|
|
||||||
* Averages & Trends
|
* Core Concepts
|
||||||
|
* [Time Series Data Handling]()
|
||||||
|
* [Calculation classes]()
|
||||||
|
* [Presentation Classes]()
|
||||||
|
|
||||||
|
* QuanTAlib C# Library
|
||||||
|
* [Installation]()
|
||||||
|
* [Quick Start Guide]()
|
||||||
|
* [Usage Examples]()
|
||||||
|
* [Tests and Validation]()
|
||||||
|
|
||||||
|
* Quantower Charts
|
||||||
|
* [Installation]()
|
||||||
|
* [Quick Start Guide]()
|
||||||
|
* [Using VS Code for QuanTower coding](setup/vscode.md)
|
||||||
|
* [Using DotPeek](setup/dotpeek.md)
|
||||||
|
* [Creating Custom Indicators]()
|
||||||
|
* [Inspecting Quantower Internals]()
|
||||||
|
|
||||||
|
* [Available Indicators](indicators/indicators.md)
|
||||||
|
* Basic Transforms
|
||||||
|
* Numerical Analysis
|
||||||
|
* Errors
|
||||||
|
* Moving Averages
|
||||||
* [AFIRMA - Adaptive Filtering Integrated Recursive Moving Average](indicators/averages/afirma/afirma.md)
|
* [AFIRMA - Adaptive Filtering Integrated Recursive Moving Average](indicators/averages/afirma/afirma.md)
|
||||||
* [Calculation](indicators/averages/afirma/calc.md)
|
* [Calculation](indicators/averages/afirma/calc.md)
|
||||||
* [Analysis](indicators/averages/afirma/analysis.md)
|
* [Analysis](indicators/averages/afirma/analysis.md)
|
||||||
@@ -14,7 +41,6 @@
|
|||||||
* [Calculation](indicators/averages/ama/calc.md)
|
* [Calculation](indicators/averages/ama/calc.md)
|
||||||
* [Analysis](indicators/averages/ama/analysis.md)
|
* [Analysis](indicators/averages/ama/analysis.md)
|
||||||
* [Charts](indicators/averages/ama/charts.md)
|
* [Charts](indicators/averages/ama/charts.md)
|
||||||
* [Convolutiuon]
|
|
||||||
* [DEMA - Double Exponential Moving Average](indicators/averages/dema/dema.md)
|
* [DEMA - Double Exponential Moving Average](indicators/averages/dema/dema.md)
|
||||||
* [Calculation](indicators/averages/dema/calc.md)
|
* [Calculation](indicators/averages/dema/calc.md)
|
||||||
* [Analysis](indicators/averages/dema/analysis.md)
|
* [Analysis](indicators/averages/dema/analysis.md)
|
||||||
@@ -61,11 +87,9 @@
|
|||||||
* VIDYA - Variable Index Dynamic Average
|
* VIDYA - Variable Index Dynamic Average
|
||||||
* WMA - Weighted Moving Average
|
* WMA - Weighted Moving Average
|
||||||
* ZLEMA - Weighted Moving Average
|
* ZLEMA - Weighted Moving Average
|
||||||
* Basic Data Transforms
|
* Trends
|
||||||
* [Statistics & Numerical Analysis](indicators/statistics/list.md)
|
* Momentum
|
||||||
|
* Oscillators
|
||||||
* Volatility
|
* Volatility
|
||||||
* Volume
|
* Volume
|
||||||
* Momentum & Oscillators
|
|
||||||
* Development
|
|
||||||
* [VS Code](setup/vscode.md)
|
|
||||||
* [DotPeek](setup/dotpeek.md)
|
|
||||||
|
|||||||
+46
-69
@@ -2,76 +2,38 @@
|
|||||||
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||||||
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|
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<title>QuanTAlib Documentation</title>
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<meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1">
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<script src="https://cdn.jsdelivr.net/npm/katex@0.16.7/dist/katex.min.js" integrity="sha384-G0zcxDFp5LWZtDuRMnBkk3EphCK1lhEf4UEyEM693ka574TZGwo4IWwS6QLzM/2t" crossorigin="anonymous"></script>
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|
||||||
</html>
|
</html>
|
||||||
|
|||||||
+1602
File diff suppressed because it is too large
Load Diff
+57
-6
@@ -2,10 +2,11 @@ namespace QuanTAlib;
|
|||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
/// EMA: Exponential Moving Average
|
/// 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>
|
/// </summary>
|
||||||
/// <remarks>
|
/// <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:
|
/// Key characteristics:
|
||||||
/// - Uses no buffer, relying only on the previous EMA value.
|
/// - Uses no buffer, relying only on the previous EMA value.
|
||||||
/// - The weight of new data points is calculated as alpha = 2 / (period + 1).
|
/// - 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://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
|
/// - https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA
|
||||||
/// </remarks>
|
/// </remarks>
|
||||||
|
|
||||||
public class Ema : AbstractBase
|
public class Ema : AbstractBase
|
||||||
{
|
{
|
||||||
// inherited _index
|
// inherited _index
|
||||||
// inherited _value
|
// inherited _value
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// The period for the EMA calculation.
|
||||||
|
/// </summary>
|
||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Circular buffer for SMA calculation.
|
||||||
|
/// </summary>
|
||||||
private CircularBuffer _sma;
|
private CircularBuffer _sma;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// The last calculated EMA value.
|
||||||
|
/// </summary>
|
||||||
private double _lastEma, _p_lastEma;
|
private double _lastEma, _p_lastEma;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Compensator for early EMA values.
|
||||||
|
/// </summary>
|
||||||
private double _e, _p_e;
|
private double _e, _p_e;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// The smoothing factor for EMA calculation.
|
||||||
|
/// </summary>
|
||||||
private readonly double _k;
|
private readonly double _k;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Flags to track initialization status.
|
||||||
|
/// </summary>
|
||||||
private bool _isInit, _p_isInit;
|
private bool _isInit, _p_isInit;
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Flag to determine whether to use SMA for initial values.
|
||||||
|
/// </summary>
|
||||||
private readonly bool _useSma;
|
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)
|
public Ema(int period, bool useSma = true)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
@@ -47,6 +81,10 @@ public class Ema : AbstractBase
|
|||||||
Init();
|
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)
|
public Ema(double alpha)
|
||||||
{
|
{
|
||||||
_k = alpha;
|
_k = alpha;
|
||||||
@@ -57,13 +95,21 @@ public class Ema : AbstractBase
|
|||||||
Init();
|
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)
|
public Ema(object source, int period, bool useSma = true) : this(period, useSma)
|
||||||
{
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
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()
|
public override void Init()
|
||||||
{
|
{
|
||||||
base.Init();
|
base.Init();
|
||||||
@@ -74,6 +120,10 @@ public class Ema : AbstractBase
|
|||||||
_sma = new(_period);
|
_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)
|
protected override void ManageState(bool isNew)
|
||||||
{
|
{
|
||||||
if (isNew)
|
if (isNew)
|
||||||
@@ -92,8 +142,9 @@ public class Ema : AbstractBase
|
|||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
/// Core EMA calculation
|
/// Performs the EMA calculation.
|
||||||
/// </summary>
|
/// </summary>
|
||||||
|
/// <returns>The calculated EMA value.</returns>
|
||||||
protected override double Calculation()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
double result, _ema;
|
double result, _ema;
|
||||||
@@ -118,7 +169,7 @@ public class Ema : AbstractBase
|
|||||||
_ema = _k * (Input.Value - _lastEma) + _lastEma;
|
_ema = _k * (Input.Value - _lastEma) + _lastEma;
|
||||||
|
|
||||||
// _useSma decides if we use compensator or not
|
// _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;
|
_lastEma = _ema;
|
||||||
IsHot = _index >= WarmupPeriod;
|
IsHot = _index >= WarmupPeriod;
|
||||||
|
|||||||
+85
-61
@@ -1,68 +1,91 @@
|
|||||||
|
/// <summary>
|
||||||
|
/// Represents a Jurik Moving Average, based on known and reverse-engineered insights
|
||||||
|
/// </summary>
|
||||||
|
|
||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
//TODO fails consistency test
|
|
||||||
public class Jma : AbstractBase
|
public class Jma : AbstractBase
|
||||||
{
|
{
|
||||||
public readonly int Period;
|
private readonly int _period;
|
||||||
private readonly double _phase;
|
private readonly double _phase;
|
||||||
private readonly int _vshort, _vlong;
|
|
||||||
private readonly CircularBuffer _values;
|
|
||||||
private readonly CircularBuffer _voltyShort;
|
|
||||||
private readonly CircularBuffer _vsumBuff;
|
private readonly CircularBuffer _vsumBuff;
|
||||||
private readonly CircularBuffer _avoltyBuff;
|
private readonly CircularBuffer _avoltyBuff;
|
||||||
|
|
||||||
private double _beta, _len1, _pow1;
|
private double _len1;
|
||||||
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
private double _pow1;
|
||||||
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
|
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)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||||
}
|
}
|
||||||
Period = period;
|
_period = period;
|
||||||
_vshort = vshort;
|
|
||||||
_vlong = 65;
|
|
||||||
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
|
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
|
||||||
|
|
||||||
_values = new CircularBuffer(period);
|
_vsumBuff = new CircularBuffer(10);
|
||||||
_voltyShort = new CircularBuffer(vshort);
|
_avoltyBuff = new CircularBuffer(65);
|
||||||
_vsumBuff = new CircularBuffer(_vlong);
|
_beta = 0.45 * (period - 1) / (0.45 * (period - 1) + 2);
|
||||||
_avoltyBuff = new CircularBuffer(2);
|
|
||||||
|
|
||||||
Name = "JMA";
|
|
||||||
WarmupPeriod = period * 2;
|
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");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Initializes the Jma instance by setting up the initial state.
|
||||||
|
/// </summary>
|
||||||
public override void Init()
|
public override void Init()
|
||||||
{
|
{
|
||||||
_upperBand = _lowerBand = _prevMa1 = _prevDet0 = _prevDet1 = _prevJma = 0.0;
|
base.Init();
|
||||||
_p_UpperBand = _p_LowerBand = _p_prevMa1 = _p_prevDet0 = _p_prevDet1 = _p_prevJma = 0.0;
|
_upperBand = _lowerBand = 0.0;
|
||||||
_beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2);
|
_p_upperBand = _p_lowerBand = 0.0;
|
||||||
_len1 = Math.Max((Math.Log(Math.Sqrt(Period - 1)) / Math.Log(2.0)) + 2.0, 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);
|
_pow1 = Math.Max(_len1 - 2.0, 0.5);
|
||||||
_avoltyBuff.Clear();
|
_avoltyBuff.Clear();
|
||||||
_avoltyBuff.Add(0, true);
|
_vsumBuff.Clear();
|
||||||
_avoltyBuff.Add(0, true);
|
|
||||||
base.Init();
|
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// <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)
|
protected override void ManageState(bool isNew)
|
||||||
{
|
{
|
||||||
if (isNew)
|
if (isNew)
|
||||||
{
|
{
|
||||||
_lastValidValue = Input.Value;
|
|
||||||
_index++;
|
_index++;
|
||||||
// Save current state
|
_p_upperBand = _upperBand;
|
||||||
_p_UpperBand = _upperBand;
|
_p_lowerBand = _lowerBand;
|
||||||
_p_LowerBand = _lowerBand;
|
_p_vSum = _vSum;
|
||||||
_p_prevMa1 = _prevMa1;
|
_p_prevMa1 = _prevMa1;
|
||||||
_p_prevDet0 = _prevDet0;
|
_p_prevDet0 = _prevDet0;
|
||||||
_p_prevDet1 = _prevDet1;
|
_p_prevDet1 = _prevDet1;
|
||||||
@@ -70,67 +93,68 @@ public class Jma : AbstractBase
|
|||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
// Restore previous state
|
_upperBand = _p_upperBand;
|
||||||
_upperBand = _p_UpperBand;
|
_lowerBand = _p_lowerBand;
|
||||||
_lowerBand = _p_LowerBand;
|
_vSum = _p_vSum;
|
||||||
_prevMa1 = _p_prevMa1;
|
_prevMa1 = _p_prevMa1;
|
||||||
_prevDet0 = _p_prevDet0;
|
_prevDet0 = _p_prevDet0;
|
||||||
_prevDet1 = _p_prevDet1;
|
_prevDet1 = _p_prevDet1;
|
||||||
_prevJma = _p_prevJma;
|
_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()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_values.Add(Input.Value, Input.IsNew);
|
double price = Input.Value;
|
||||||
|
|
||||||
if (_index == 1)
|
if (_index == 1)
|
||||||
{
|
{
|
||||||
_prevMa1 = _prevJma = Input.Value;
|
_upperBand = _lowerBand = price;
|
||||||
return Input.Value;
|
|
||||||
}
|
}
|
||||||
|
|
||||||
double hprice = _values.Max();
|
double del1 = price - _upperBand;
|
||||||
double lprice = _values.Min();
|
double del2 = price - _lowerBand;
|
||||||
|
|
||||||
double del1 = hprice - _upperBand;
|
|
||||||
double del2 = lprice - _lowerBand;
|
|
||||||
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
|
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
|
||||||
|
|
||||||
_voltyShort.Add(volty, Input.IsNew);
|
_vsumBuff.Add(volty, Input.IsNew);
|
||||||
double vsum = _vsumBuff.Newest() + 0.1 * (volty - _voltyShort.Oldest());
|
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
|
||||||
_vsumBuff.Add(vsum, Input.IsNew);
|
_avoltyBuff.Add(_vSum, Input.IsNew);
|
||||||
|
double avgvolty = _avoltyBuff.Average();
|
||||||
|
|
||||||
double prevAvolty = _avoltyBuff.Newest();
|
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
|
||||||
double avolty = prevAvolty + 2.0 / (Math.Max(4.0 * Period, 30) + 1.0) * (vsum - prevAvolty);
|
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
|
||||||
_avoltyBuff.Add(avolty, Input.IsNew);
|
|
||||||
|
|
||||||
double dVolty = (avolty > 0) ? volty / avolty : 0;
|
double pow2 = Math.Pow(rvolty, _pow1);
|
||||||
dVolty = Math.Min(Math.Max(dVolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
|
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
|
||||||
|
|
||||||
double pow2 = Math.Pow(dVolty, _pow1);
|
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
|
||||||
double len2 = Math.Sqrt(0.5 * (Period - 1)) * _len1;
|
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
|
||||||
double _Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2));
|
|
||||||
|
|
||||||
_upperBand = (del1 > 0) ? hprice : hprice - (_Kv * del1);
|
|
||||||
_lowerBand = (del2 < 0) ? lprice : lprice - (_Kv * del2);
|
|
||||||
|
|
||||||
double alpha = Math.Pow(_beta, pow2);
|
double alpha = Math.Pow(_beta, pow2);
|
||||||
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
|
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
|
||||||
_prevMa1 = ma1;
|
_prevMa1 = ma1;
|
||||||
|
|
||||||
double det0 = (1 - _beta) * (Input.Value - ma1) + _beta * _prevDet0;
|
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
|
||||||
_prevDet0 = det0;
|
_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;
|
_prevDet1 = det1;
|
||||||
double jma = _prevJma + det1;
|
double jma = _prevJma + det1;
|
||||||
_prevJma = jma;
|
_prevJma = jma;
|
||||||
|
|
||||||
|
UpperBand = _upperBand;
|
||||||
|
LowerBand = _lowerBand;
|
||||||
|
Volty = volty;
|
||||||
|
|
||||||
IsHot = _index >= WarmupPeriod;
|
IsHot = _index >= WarmupPeriod;
|
||||||
return jma;
|
return jma;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
+70
-38
@@ -7,17 +7,25 @@ namespace QuanTAlib;
|
|||||||
public class Jvolty : AbstractBase
|
public class Jvolty : AbstractBase
|
||||||
{
|
{
|
||||||
private readonly int _period;
|
private readonly int _period;
|
||||||
private readonly CircularBuffer _values;
|
private readonly double _phase;
|
||||||
private readonly CircularBuffer _voltyShort;
|
|
||||||
private readonly CircularBuffer _vsumBuff;
|
private readonly CircularBuffer _vsumBuff;
|
||||||
private readonly CircularBuffer _avoltyBuff;
|
private readonly CircularBuffer _avoltyBuff;
|
||||||
|
|
||||||
private double _len1;
|
private double _len1;
|
||||||
private double _pow1;
|
private double _pow1;
|
||||||
private double _upperBand;
|
private readonly double _beta;
|
||||||
private double _lowerBand;
|
private double _upperBand, _lowerBand, _p_upperBand, _p_lowerBand;
|
||||||
private double _p_upperBand;
|
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
|
||||||
private double _p_lowerBand;
|
private double _vSum, _p_vSum;
|
||||||
|
|
||||||
|
|
||||||
|
public double UpperBand { get; set; }
|
||||||
|
public double LowerBand { get; set; }
|
||||||
|
public double Volty { get; set; }
|
||||||
|
public double VSum { get; set; }
|
||||||
|
public double Jma { get; set; }
|
||||||
|
public double AvgVolty { get; set; }
|
||||||
|
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
/// Initializes a new instance of the Jvolty class with the specified parameters.
|
/// Initializes a new instance of the Jvolty class with the specified parameters.
|
||||||
@@ -28,22 +36,21 @@ public class Jvolty : AbstractBase
|
|||||||
/// <exception cref="ArgumentOutOfRangeException">
|
/// <exception cref="ArgumentOutOfRangeException">
|
||||||
/// Thrown when period is less than 1.
|
/// Thrown when period is less than 1.
|
||||||
/// </exception>
|
/// </exception>
|
||||||
public Jvolty(int period, int vshort = 10)
|
public Jvolty(int period, int phase = 0)
|
||||||
{
|
{
|
||||||
if (period < 1)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||||
}
|
}
|
||||||
_period = period;
|
_period = period;
|
||||||
int _vlong = 65;
|
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
|
||||||
|
|
||||||
_values = new CircularBuffer(period);
|
_vsumBuff = new CircularBuffer(10);
|
||||||
_voltyShort = new CircularBuffer(vshort);
|
_avoltyBuff = new CircularBuffer(65);
|
||||||
_vsumBuff = new CircularBuffer(_vlong);
|
_beta = 0.45 * (period - 1) / (0.45 * (period - 1) + 2);
|
||||||
_avoltyBuff = new CircularBuffer(2);
|
|
||||||
|
|
||||||
WarmupPeriod = period * 2;
|
WarmupPeriod = period * 2;
|
||||||
Name = $"JVOLTY({period},{vshort})";
|
Name = $"JVOLTY({period})";
|
||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
@@ -53,7 +60,7 @@ public class Jvolty : AbstractBase
|
|||||||
/// <param name="period">The period over which to calculate the Jvolty.</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>
|
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
|
||||||
/// <param name="vshort">The short-term volatility period.</param>
|
/// <param name="vshort">The short-term volatility period.</param>
|
||||||
public Jvolty(object source, int period, int vshort = 10) : this(period, vshort)
|
public Jvolty(object source, int period, int phase = 0) : this(period, phase)
|
||||||
{
|
{
|
||||||
var pubEvent = source.GetType().GetEvent("Pub");
|
var pubEvent = source.GetType().GetEvent("Pub");
|
||||||
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
|
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
|
||||||
@@ -70,8 +77,7 @@ public class Jvolty : AbstractBase
|
|||||||
_len1 = Math.Max((Math.Log(Math.Sqrt(_period - 1)) / Math.Log(2.0)) + 2.0, 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);
|
_pow1 = Math.Max(_len1 - 2.0, 0.5);
|
||||||
_avoltyBuff.Clear();
|
_avoltyBuff.Clear();
|
||||||
_avoltyBuff.Add(0, true);
|
_vsumBuff.Clear();
|
||||||
_avoltyBuff.Add(0, true);
|
|
||||||
}
|
}
|
||||||
|
|
||||||
/// <summary>
|
/// <summary>
|
||||||
@@ -85,11 +91,21 @@ public class Jvolty : AbstractBase
|
|||||||
_index++;
|
_index++;
|
||||||
_p_upperBand = _upperBand;
|
_p_upperBand = _upperBand;
|
||||||
_p_lowerBand = _lowerBand;
|
_p_lowerBand = _lowerBand;
|
||||||
|
_p_vSum = _vSum;
|
||||||
|
_p_prevMa1 = _prevMa1;
|
||||||
|
_p_prevDet0 = _prevDet0;
|
||||||
|
_p_prevDet1 = _prevDet1;
|
||||||
|
_p_prevJma = _prevJma;
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
_upperBand = _p_upperBand;
|
_upperBand = _p_upperBand;
|
||||||
_lowerBand = _p_lowerBand;
|
_lowerBand = _p_lowerBand;
|
||||||
|
_vSum = _p_vSum;
|
||||||
|
_prevMa1 = _p_prevMa1;
|
||||||
|
_prevDet0 = _p_prevDet0;
|
||||||
|
_prevDet1 = _p_prevDet1;
|
||||||
|
_prevJma = _p_prevJma;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -101,41 +117,57 @@ public class Jvolty : AbstractBase
|
|||||||
/// </returns>
|
/// </returns>
|
||||||
protected override double Calculation()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
ManageState(BarInput.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
_values.Add(BarInput.Close, BarInput.IsNew);
|
|
||||||
|
|
||||||
|
double price = Input.Value;
|
||||||
if (_index == 1)
|
if (_index == 1)
|
||||||
{
|
{
|
||||||
return 0;
|
_upperBand = _lowerBand = price;
|
||||||
}
|
}
|
||||||
|
|
||||||
double hprice = _values.Max();
|
double del1 = price - _upperBand;
|
||||||
double lprice = _values.Min();
|
double del2 = price - _lowerBand;
|
||||||
|
|
||||||
double del1 = hprice - _upperBand;
|
|
||||||
double del2 = lprice - _lowerBand;
|
|
||||||
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
|
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
|
||||||
|
|
||||||
_voltyShort.Add(volty, BarInput.IsNew);
|
_vsumBuff.Add(volty, Input.IsNew);
|
||||||
double vsum = _vsumBuff.Newest() + 0.1 * (volty - _voltyShort.Oldest());
|
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
|
||||||
_vsumBuff.Add(vsum, BarInput.IsNew);
|
_avoltyBuff.Add(_vSum, Input.IsNew);
|
||||||
|
double avgvolty = _avoltyBuff.Average();
|
||||||
|
|
||||||
double prevAvolty = _avoltyBuff.Newest();
|
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
|
||||||
double avolty = prevAvolty + 2.0 / (Math.Max(4.0 * _period, 30) + 1.0) * (vsum - prevAvolty);
|
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
|
||||||
_avoltyBuff.Add(avolty, BarInput.IsNew);
|
|
||||||
|
|
||||||
double dVolty = (avolty > 0) ? volty / avolty : 0;
|
double pow2 = Math.Pow(rvolty, _pow1);
|
||||||
dVolty = Math.Min(Math.Max(dVolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
|
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
|
||||||
|
|
||||||
double pow2 = Math.Pow(dVolty, _pow1);
|
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
|
||||||
double len2 = Math.Sqrt(0.5 * (_period - 1)) * _len1;
|
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
|
||||||
double Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2));
|
|
||||||
|
|
||||||
_upperBand = (del1 > 0) ? hprice : hprice - (Kv * del1);
|
|
||||||
_lowerBand = (del2 < 0) ? lprice : lprice - (Kv * del2);
|
|
||||||
|
double alpha = Math.Pow(_beta, pow2);
|
||||||
|
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
|
||||||
|
_prevMa1 = ma1;
|
||||||
|
|
||||||
|
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
|
||||||
|
_prevDet0 = det0;
|
||||||
|
double ma2 = ma1 + _phase * det0;
|
||||||
|
|
||||||
|
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;
|
||||||
|
VSum = _vSum;
|
||||||
|
AvgVolty = avgvolty;
|
||||||
|
Jma = jma;
|
||||||
|
|
||||||
IsHot = _index >= WarmupPeriod;
|
IsHot = _index >= WarmupPeriod;
|
||||||
return volty;
|
return volty;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|||||||
@@ -18,11 +18,11 @@
|
|||||||
|
|
||||||
## OHLC Input (Open, High, Low, Close)
|
## OHLC Input (Open, High, Low, Close)
|
||||||
|
|
||||||
|
- **Average True Range (ATR) (High, Low, Close)**
|
||||||
- Garman-Klass Volatility
|
- Garman-Klass Volatility
|
||||||
- Rogers-Satchell Volatility
|
- Rogers-Satchell Volatility
|
||||||
- Yang-Zhang Volatility
|
- Yang-Zhang Volatility
|
||||||
- Parkinson Volatility (High, Low)
|
- Parkinson Volatility (High, Low)
|
||||||
- Average True Range (ATR) (High, Low, Close)
|
|
||||||
- Chaikin Volatility (High, Low)
|
- Chaikin Volatility (High, Low)
|
||||||
- Keltner Channels (typically Close, High, Low)
|
- Keltner Channels (typically Close, High, Low)
|
||||||
- High-Low Volatility (High, Low)
|
- High-Low Volatility (High, Low)
|
||||||
|
|||||||
+90
-69
@@ -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
|
#!csharp
|
||||||
|
|
||||||
public class Jma1 : AbstractBase
|
public class Jmaxx : AbstractBase
|
||||||
{
|
{
|
||||||
public readonly int Period;
|
private readonly double _period;
|
||||||
private readonly double _phase;
|
private readonly double _phase;
|
||||||
private readonly int _vshort, _vlong;
|
private readonly CircularBuffer _vsumBuff;
|
||||||
private CircularBuffer _voltyShort;
|
private readonly CircularBuffer _avoltyBuff;
|
||||||
private CircularBuffer _vsumBuff;
|
|
||||||
private CircularBuffer _avoltyBuff;
|
|
||||||
|
|
||||||
private double _beta, _len1, _pow1;
|
private double _len1;
|
||||||
private double _upperBand, _lowerBand, _prevMa1, _prevDet0, _prevDet1, _prevJma;
|
private double _pow1;
|
||||||
private double _p_UpperBand, _p_LowerBand, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
|
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)
|
if (period < 1)
|
||||||
{
|
{
|
||||||
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
|
||||||
}
|
}
|
||||||
Period = period;
|
_period = period;
|
||||||
_vshort = vshort;
|
|
||||||
_vlong = 65;
|
|
||||||
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
|
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
|
||||||
|
|
||||||
_voltyShort = new CircularBuffer(vshort);
|
_vsumBuff = new CircularBuffer(10);
|
||||||
_vsumBuff = new CircularBuffer(_vlong);
|
_avoltyBuff = new CircularBuffer(65);
|
||||||
_avoltyBuff = new CircularBuffer(2);
|
_beta = 0.45 * (_period - 1) / (0.45 * (_period - 1) + 2);
|
||||||
|
|
||||||
Name = "JMA";
|
WarmupPeriod = (int)_period * 2;
|
||||||
WarmupPeriod = period * 2;
|
Name = $"JMA({period})";
|
||||||
Init();
|
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// <summary>
|
||||||
|
/// Initializes the Jma instance by setting up the initial state.
|
||||||
|
/// </summary>
|
||||||
public override void Init()
|
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();
|
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)
|
protected override void ManageState(bool isNew)
|
||||||
{
|
{
|
||||||
if (isNew)
|
if (isNew)
|
||||||
{
|
{
|
||||||
_lastValidValue = Input.Value;
|
|
||||||
_index++;
|
_index++;
|
||||||
// Save current state
|
_p_upperBand = _upperBand;
|
||||||
_p_UpperBand = _upperBand;
|
_p_lowerBand = _lowerBand;
|
||||||
_p_LowerBand = _lowerBand;
|
_p_vSum = _vSum;
|
||||||
_p_prevMa1 = _prevMa1;
|
_p_prevMa1 = _prevMa1;
|
||||||
_p_prevDet0 = _prevDet0;
|
_p_prevDet0 = _prevDet0;
|
||||||
_p_prevDet1 = _prevDet1;
|
_p_prevDet1 = _prevDet1;
|
||||||
@@ -141,66 +160,73 @@ public class Jma1 : AbstractBase
|
|||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
// Restore previous state
|
_upperBand = _p_upperBand;
|
||||||
_upperBand = _p_UpperBand;
|
_lowerBand = _p_lowerBand;
|
||||||
_lowerBand = _p_LowerBand;
|
_vSum = _p_vSum;
|
||||||
_prevMa1 = _p_prevMa1;
|
_prevMa1 = _p_prevMa1;
|
||||||
_prevDet0 = _p_prevDet0;
|
_prevDet0 = _p_prevDet0;
|
||||||
_prevDet1 = _p_prevDet1;
|
_prevDet1 = _p_prevDet1;
|
||||||
_prevJma = _p_prevJma;
|
_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()
|
protected override double Calculation()
|
||||||
{
|
{
|
||||||
ManageState(Input.IsNew);
|
ManageState(Input.IsNew);
|
||||||
|
|
||||||
|
double price = Input.Value;
|
||||||
if (_index == 1)
|
if (_index == 1)
|
||||||
{
|
{
|
||||||
_prevMa1 = _prevJma = Input.Value;
|
_upperBand = _lowerBand = price;
|
||||||
return Input.Value;
|
|
||||||
}
|
}
|
||||||
|
|
||||||
double del1 = Input.Value - _upperBand;
|
double del1 = price - _upperBand;
|
||||||
double del2 = Input.Value - _lowerBand;
|
double del2 = price - _lowerBand;
|
||||||
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
|
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
|
||||||
|
|
||||||
_voltyShort.Add(volty, Input.IsNew);
|
_vsumBuff.Add(volty, Input.IsNew);
|
||||||
double vsum = _vsumBuff.Newest() + 0.1 * (volty - _voltyShort.Oldest());
|
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
|
||||||
_vsumBuff.Add(vsum, Input.IsNew);
|
_avoltyBuff.Add(_vSum, Input.IsNew);
|
||||||
|
double avgvolty = _avoltyBuff.Average();
|
||||||
|
|
||||||
double avolty = 0;
|
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
|
||||||
for (int i = 0; i < _vsumBuff.Count; i++) { avolty += _vsumBuff[i]; }
|
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
|
||||||
avolty /= _vsumBuff.Count;
|
|
||||||
|
|
||||||
double rVolty = (avolty > 0) ? volty / avolty *20: 0;
|
double pow2 = Math.Pow(rvolty, _pow1);
|
||||||
double _len1 = Math.Max((Math.Log(Math.Sqrt(Period)) / Math.Log(2.0)) + 2.0, 0);
|
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
|
||||||
double _pow1 = Math.Max(_len1 - 2, 0.5);
|
|
||||||
|
|
||||||
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;
|
_prevMa1 = ma1;
|
||||||
|
|
||||||
double det0 = _beta * (_prevDet0 - Input.Value + ma1) + Input.Value - ma1;
|
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
|
||||||
_prevDet0 = det0;
|
_prevDet0 = det0;
|
||||||
double ma2 = ma1 + _phase * 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;
|
_prevDet1 = det1;
|
||||||
double jma = _prevJma + det1;
|
double jma = _prevJma + det1;
|
||||||
_prevJma = jma;
|
_prevJma = jma;
|
||||||
|
|
||||||
|
UpperBand = _upperBand;
|
||||||
|
LowerBand = _lowerBand;
|
||||||
|
Volty = volty;
|
||||||
|
|
||||||
IsHot = _index >= WarmupPeriod;
|
IsHot = _index >= WarmupPeriod;
|
||||||
return jma;
|
return jma;
|
||||||
}
|
}
|
||||||
@@ -208,22 +234,17 @@ public class Jma1 : AbstractBase
|
|||||||
|
|
||||||
#!csharp
|
#!csharp
|
||||||
|
|
||||||
TSeries ma = Triangle;
|
TSeries ma = Complex;
|
||||||
TSeries re = TriangleJMA;
|
TSeries re = ComplexJMA;
|
||||||
TSeries out1 = new();
|
TSeries out1 = new();
|
||||||
TSeries out2 = new();
|
|
||||||
Jma calc = new(10);
|
Jmaxx calc = new(10);
|
||||||
Jma1 calc1 = new(10);
|
|
||||||
foreach (var value in ma) { out1.Add(calc.Calc(value)); }
|
foreach (var value in ma) { out1.Add(calc.Calc(value)); }
|
||||||
foreach (var value in ma) { out2.Add(calc1.Calc(value)); }
|
|
||||||
Plot plt = new();
|
Plot plt = new();
|
||||||
var sigplot = plt.Add.Signal(ma.v.ToArray()[60..80]);
|
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 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 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;
|
|
||||||
plt.Display();
|
plt.Display();
|
||||||
|
|
||||||
#!csharp
|
|
||||||
|
|
||||||
#r "nuget: Plotly.net.Interactive"
|
|
||||||
using Plotly.NET.Interactive;
|
|
||||||
|
|||||||
@@ -9,7 +9,7 @@ public class JmaIndicator : Indicator, IWatchlistIndicator
|
|||||||
public int Periods { get; set; } = 10;
|
public int Periods { get; set; } = 10;
|
||||||
|
|
||||||
[InputParameter("Phase", sortIndex: 2, -100, 100, 1, 0)]
|
[InputParameter("Phase", sortIndex: 2, -100, 100, 1, 0)]
|
||||||
public double Phase { get; set; } = 0;
|
public int Phase { get; set; } = 0;
|
||||||
|
|
||||||
[InputParameter("Data source", sortIndex: 4, variants: [
|
[InputParameter("Data source", sortIndex: 4, variants: [
|
||||||
"Open", SourceType.Open,
|
"Open", SourceType.Open,
|
||||||
|
|||||||
@@ -0,0 +1,95 @@
|
|||||||
|
using System.Diagnostics.Metrics;
|
||||||
|
using System.Drawing;
|
||||||
|
using TradingPlatform.BusinessLayer;
|
||||||
|
|
||||||
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
public class MacdIndicator : Indicator, IWatchlistIndicator
|
||||||
|
{
|
||||||
|
[InputParameter("Slow EMA", sortIndex: 1, 1, 1000, 1, 0)]
|
||||||
|
public int Slow { get; set; } = 26;
|
||||||
|
|
||||||
|
[InputParameter("Fast EMA", sortIndex: 2, 1, 2000, 1, 0)]
|
||||||
|
public int Fast { get; set; } = 12;
|
||||||
|
|
||||||
|
[InputParameter("Signal line", sortIndex: 3, 1, 2000, 1, 0)]
|
||||||
|
public int Signal { get; set; } = 9;
|
||||||
|
|
||||||
|
[InputParameter("Use SMA for warmup period", sortIndex: 2)]
|
||||||
|
public bool UseSMA { get; set; } = false;
|
||||||
|
|
||||||
|
[InputParameter("Data source", sortIndex: 3, variants: [
|
||||||
|
"Open", SourceType.Open,
|
||||||
|
"High", SourceType.High,
|
||||||
|
"Low", SourceType.Low,
|
||||||
|
"Close", SourceType.Close,
|
||||||
|
"HL/2 (Median)", SourceType.HL2,
|
||||||
|
"OC/2 (Midpoint)", SourceType.OC2,
|
||||||
|
"OHL/3 (Mean)", SourceType.OHL3,
|
||||||
|
"HLC/3 (Typical)", SourceType.HLC3,
|
||||||
|
"OHLC/4 (Average)", SourceType.OHLC4,
|
||||||
|
"HLCC/4 (Weighted)", SourceType.HLCC4
|
||||||
|
])]
|
||||||
|
public SourceType Source { get; set; } = SourceType.Close;
|
||||||
|
|
||||||
|
[InputParameter("Show cold values", sortIndex: 21)]
|
||||||
|
public bool ShowColdValues { get; set; } = true;
|
||||||
|
|
||||||
|
private Ema? slow_ma;
|
||||||
|
private Ema? fast_ma;
|
||||||
|
private Ema? signal_ma;
|
||||||
|
protected LineSeries? MainSeries;
|
||||||
|
protected LineSeries? SignalSeries;
|
||||||
|
|
||||||
|
protected string? SourceName;
|
||||||
|
public int MinHistoryDepths => Slow;
|
||||||
|
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
|
||||||
|
|
||||||
|
public override string ShortName => $"MACD {Slow}:{Fast}:{Signal}";
|
||||||
|
|
||||||
|
public MacdIndicator()
|
||||||
|
{
|
||||||
|
OnBackGround = true;
|
||||||
|
SeparateWindow = true;
|
||||||
|
SourceName = Source.ToString();
|
||||||
|
Name = "MACD - Moving Average Convergence Divergence";
|
||||||
|
Description = "MACD";
|
||||||
|
MainSeries = new(name: $"MAIN", color: Color.Yellow, width: 2, style: LineStyle.Solid);
|
||||||
|
SignalSeries = new(name: $"SIGNAL", color: Color.Blue, width: 2, style: LineStyle.Solid);
|
||||||
|
|
||||||
|
AddLineSeries(MainSeries);
|
||||||
|
AddLineSeries(SignalSeries);
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void OnInit()
|
||||||
|
{
|
||||||
|
slow_ma = new(Slow, useSma: UseSMA);
|
||||||
|
fast_ma = new(Fast, useSma: UseSMA);
|
||||||
|
signal_ma = new(Signal, useSma: UseSMA);
|
||||||
|
SourceName = Source.ToString();
|
||||||
|
base.OnInit();
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void OnUpdate(UpdateArgs args)
|
||||||
|
{
|
||||||
|
TValue input = this.GetInputValue(args, Source);
|
||||||
|
slow_ma!.Calc(input);
|
||||||
|
fast_ma!.Calc(input);
|
||||||
|
double main = fast_ma.Value - slow_ma.Value;
|
||||||
|
signal_ma!.Calc(main);
|
||||||
|
|
||||||
|
MainSeries!.SetValue(main);
|
||||||
|
MainSeries!.SetMarker(0, Color.Transparent); //OnPaintChart draws the line, hidden here
|
||||||
|
SignalSeries!.SetValue(signal_ma.Value);
|
||||||
|
SignalSeries!.SetMarker(0, Color.Transparent); //OnPaintChart draws the line, hidden here
|
||||||
|
}
|
||||||
|
|
||||||
|
public override void OnPaintChart(PaintChartEventArgs args)
|
||||||
|
{
|
||||||
|
base.OnPaintChart(args);
|
||||||
|
this.PaintSmoothCurve(args, MainSeries!, slow_ma!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.2);
|
||||||
|
this.PaintSmoothCurve(args, SignalSeries!, slow_ma!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.2);
|
||||||
|
this.DrawText(args, Description);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
@@ -0,0 +1,64 @@
|
|||||||
|
using System.Drawing;
|
||||||
|
using TradingPlatform.BusinessLayer;
|
||||||
|
|
||||||
|
namespace QuanTAlib;
|
||||||
|
|
||||||
|
public class JbandsIndicator : Indicator, IWatchlistIndicator
|
||||||
|
{
|
||||||
|
[InputParameter("Periods", sortIndex: 1, 1, 2000, 1, 0)]
|
||||||
|
public int Periods { get; set; } = 14;
|
||||||
|
|
||||||
|
[InputParameter("Data source", sortIndex: 5, variants: [
|
||||||
|
"Open", SourceType.Open,
|
||||||
|
"High", SourceType.High,
|
||||||
|
"Low", SourceType.Low,
|
||||||
|
"Close", SourceType.Close,
|
||||||
|
"HL/2 (Median)", SourceType.HL2,
|
||||||
|
"OC/2 (Midpoint)", SourceType.OC2,
|
||||||
|
"OHL/3 (Mean)", SourceType.OHL3,
|
||||||
|
"HLC/3 (Typical)", SourceType.HLC3,
|
||||||
|
"OHLC/4 (Average)", SourceType.OHLC4,
|
||||||
|
"HLCC/4 (Weighted)", SourceType.HLCC4
|
||||||
|
])]
|
||||||
|
public SourceType Source { get; set; } = SourceType.Close;
|
||||||
|
|
||||||
|
[InputParameter("vShort", sortIndex: 6, -100, 100, 1, 0)]
|
||||||
|
public int Phase { get; set; } = 10;
|
||||||
|
|
||||||
|
private Jma? jma;
|
||||||
|
protected LineSeries? UbSeries;
|
||||||
|
protected LineSeries? LbSeries;
|
||||||
|
protected string? SourceName;
|
||||||
|
public static int MinHistoryDepths => 2;
|
||||||
|
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
|
||||||
|
|
||||||
|
public JbandsIndicator()
|
||||||
|
{
|
||||||
|
Name = "JBANDS - Mark Jurik's Bands";
|
||||||
|
Description = "Upper and Lower Bands.";
|
||||||
|
SeparateWindow = false;
|
||||||
|
|
||||||
|
UbSeries = new("UB", Color.Blue, 2, LineStyle.Solid);
|
||||||
|
LbSeries = new("LB", Color.Red, 2, LineStyle.Solid);
|
||||||
|
AddLineSeries(UbSeries);
|
||||||
|
AddLineSeries(LbSeries);
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void OnInit()
|
||||||
|
{
|
||||||
|
jma = new(Periods, phase: Phase);
|
||||||
|
SourceName = Source.ToString();
|
||||||
|
base.OnInit();
|
||||||
|
}
|
||||||
|
|
||||||
|
protected override void OnUpdate(UpdateArgs args)
|
||||||
|
{
|
||||||
|
TValue input = this.GetInputValue(args, Source);
|
||||||
|
jma!.Calc(input);
|
||||||
|
|
||||||
|
UbSeries!.SetValue(jma.UpperBand);
|
||||||
|
LbSeries!.SetValue(jma.LowerBand);
|
||||||
|
}
|
||||||
|
|
||||||
|
public override string ShortName => $"JBands ({Periods}:{Phase})";
|
||||||
|
}
|
||||||
@@ -6,11 +6,27 @@ namespace QuanTAlib;
|
|||||||
public class JvoltyIndicator : Indicator, IWatchlistIndicator
|
public class JvoltyIndicator : Indicator, IWatchlistIndicator
|
||||||
{
|
{
|
||||||
[InputParameter("Periods", sortIndex: 1, 1, 2000, 1, 0)]
|
[InputParameter("Periods", sortIndex: 1, 1, 2000, 1, 0)]
|
||||||
public int Periods { get; set; } = 20;
|
public int Periods { get; set; } = 14;
|
||||||
|
|
||||||
private Jvolty? jvolty;
|
[InputParameter("Data source", sortIndex: 5, variants: [
|
||||||
|
"Open", SourceType.Open,
|
||||||
|
"High", SourceType.High,
|
||||||
|
"Low", SourceType.Low,
|
||||||
|
"Close", SourceType.Close,
|
||||||
|
"HL/2 (Median)", SourceType.HL2,
|
||||||
|
"OC/2 (Midpoint)", SourceType.OC2,
|
||||||
|
"OHL/3 (Mean)", SourceType.OHL3,
|
||||||
|
"HLC/3 (Typical)", SourceType.HLC3,
|
||||||
|
"OHLC/4 (Average)", SourceType.OHLC4,
|
||||||
|
"HLCC/4 (Weighted)", SourceType.HLCC4
|
||||||
|
])]
|
||||||
|
public SourceType Source { get; set; } = SourceType.Close;
|
||||||
|
|
||||||
|
private Jma? jma;
|
||||||
protected LineSeries? JvoltySeries;
|
protected LineSeries? JvoltySeries;
|
||||||
public static int MinHistoryDepths => 2;
|
public static int MinHistoryDepths => 2;
|
||||||
|
|
||||||
|
|
||||||
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
|
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
|
||||||
|
|
||||||
public JvoltyIndicator()
|
public JvoltyIndicator()
|
||||||
@@ -25,16 +41,17 @@ public class JvoltyIndicator : Indicator, IWatchlistIndicator
|
|||||||
|
|
||||||
protected override void OnInit()
|
protected override void OnInit()
|
||||||
{
|
{
|
||||||
jvolty = new (Periods);
|
jma = new(Periods);
|
||||||
base.OnInit();
|
base.OnInit();
|
||||||
}
|
}
|
||||||
|
|
||||||
protected override void OnUpdate(UpdateArgs args)
|
protected override void OnUpdate(UpdateArgs args)
|
||||||
{
|
{
|
||||||
TBar input = IndicatorExtensions.GetInputBar(this, args);
|
TValue input = this.GetInputValue(args, Source);
|
||||||
TValue result = jvolty!.Calc(input);
|
jma!.Calc(input);
|
||||||
|
|
||||||
|
JvoltySeries!.SetValue(jma.Volty);
|
||||||
|
|
||||||
JvoltySeries!.SetValue(result.Value);
|
|
||||||
}
|
}
|
||||||
|
|
||||||
public override string ShortName => $"JVOLTY ({Periods})";
|
public override string ShortName => $"JVOLTY ({Periods})";
|
||||||
|
|||||||
Reference in New Issue
Block a user