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ZLEMA bug + crossovers example

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Miha Kralj
2022-11-10 22:52:44 -08:00
parent b76731fcf6
commit feaa732407
5 changed files with 180 additions and 183 deletions
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Source/Indicators/ZLEMA_Series.cs
+5 -4
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@@ -36,9 +36,10 @@ public class ZLEMA_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update) public override void Add((System.DateTime t, double v) TValue, bool update)
{ {
int _lag = (int)((_p - 1) * 0.5); int _lag = (int)((_p-1) * 0.5);
_lag = (this.Count - _lag < 0) ? 0 : this.Count - _lag; _lag = (this.Count-_lag < 0) ? 0 : this.Count-_lag;
double _zl = TValue.v + (TValue.v - _data[_lag].v); double _zl = TValue.v + (TValue.v - _data[_lag].v);
double _ema = 0; double _ema = 0;
if (update) if (update)
{ this._lastema = this._lastlastema; } { this._lastema = this._lastlastema; }
@@ -59,7 +60,7 @@ public class ZLEMA_Series : Single_TSeries_Indicator
} }
else else
{ {
_ema = TValue.v * this._k + this._lastema * this._k1m; _ema = _zl * this._k + this._lastema * this._k1m;
} }
this._lastlastema = this._lastema; this._lastlastema = this._lastema;
docs/coverage.md
-164
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@@ -1,164 +0,0 @@
# Coverage of indicators
✔️= Calculation exists in QuanTAlib
⭐= Calculation is validated against other TA libraries
⛔= Not implemented in QuanTAlib (yet)
| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** |
|--|:--:|:--:|:--:|
| ✔️ OC2 - (Open+Close)/2 |️ .OC2 || ️GetBaseQuote |
| ⭐ HL2 - Median Price | .HL2 | MEDPRICE | ️GetBaseQuote |
| ⭐ HLC3 - Typical Price | .HLC3 | TYPPRICE ||
| ✔️ OHL3 - (Open+High+Low)/3 | .OHL3 |||
| ⭐ OHLC4 - Average Price | .OHLC4 | AVGPRICE |️ GetBaseQuote |
| ⭐ HLCC4 - Weighted Price | .HLCC4 | WCLPRICE ||
| ✔️ ZL - De-lagged price (Zero-Lag) | ZL_Series |||
| ⭐ MAX - Max value | MAX_Series | MAX ||
| ⛔ MID - Midpoint value || MIDPOINT ||
| ⛔ MIDP - Midpoint price || MIDPRICE ||
| ⭐ MIN - Min value | MIN_Series | MIN ||
| ⭐ ADD - Addition | ADD_Series | ADD ||
| ⭐ SUB - Subtraction | SUB_Series | SUB ||
| ⭐ MUL - Multiplication | MUL_Series | MUL ||
| ⭐ DIV - Division | DIV_Series | DIV ||
|||||
| **STATISTICS & NUMERICAL ANALYSIS** | **QuanTAlib** | **TA-LIB** | **Skender** |
| ✔️ BIAS - Bias | BIAS_Series |||
| ⛔ CORREL - Pearson's Correlation Coefficient || CORREL | GetCorrelation |
| ⛔ COVAR - Covariance ||| GetCorrelation |
| ✔️ ENTP - Entropy | ENTP_Series |||
| ✔️ KURT - Kurtosis | KURT_Series |||
| ⭐ LINREG - Linear Regression | LINREG_Series || GetSlope |
| ⭐ MAD - Mean Absolute Deviation | MAD_Series || GetSma |
| ⭐ MAPE - Mean Absolute Percent Error | MAPE_Series || GetSma |
| ✔️ MED - Median value | MED_Series |||
| ✔️ MSE - Mean Squared Error | MSE_Series || GetSma |
| ⛔ SKEW - Skewness ||||
| ⭐ SDEV - Standard Deviation (Volatility) | SDEV_Series |||
| ✔️ SSDEV - Sample Standard Deviation | SSDEV_Series |||
| ✔️ SMAPE - Symmetric Mean Absolute Percent Error | SMAPE_Series |||
| ✔️ VAR - Population Variance | VAR_Series |||
| ✔️ SVAR - Sample Variance | SVAR_Series |||
| ⛔ QUANT - Quantile ||||
| ✔️ WMAPE - Weighted Mean Absolute Percent Error | WMAPE_Series |||
| ⛔ ZSCORE - Number of standard deviations from mean ||||
|||||
| **TREND INDICATORS & AVERAGES** | **QuanTAlib** | **TA-LIB** | **Skender** |
| ⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average ||||
| ⭐ ALMA - Arnaud Legoux Moving Average | ALMA_Series || GetAlma |
| ⛔ ARIMA - Autoregressive Integrated Moving Average ||||
| ⭐ DEMA - Double EMA Average | DEMA_Series | DEMA | GetDema |
| ⭐ EMA - Exponential Moving Average | EMA_Series || GetEma |
| ⛔ EPMA - Endpoint Moving Average ||| GetEpma |
| ⛔ FWMA - Fibonacci's Weighted Moving Average ||||
| ✔️ HEMA - Hull/EMA Average | HEMA_Series |||
| ⛔ Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline |
| ⭐ HMA - Hull Moving Average | HMA_Series || GetHma |
| ⛔ HWMA - Holt-Winter Moving Average ||||
| ✔️ JMA - Jurik Moving Average | JMA_Series |||
| ⭐ KAMA - Kaufman's Adaptive Moving Average | KAMA_Series | KAMA | GetKama |
| ⛔ LSMA - Least Squares Moving Average ||||
| ⭐ MACD - Moving Average Convergence/Divergence | MACD_Series | MACD | GetMacd |
| ⛔ MAMA - MESA Adaptive Moving Average || MAMA | GetMama |
| ⛔ MMA - Modified Moving Average ||||
| ⛔ PPMA - Pivot Point Moving Average ||||
| ⛔ PWMA - Pascal's Weighted Moving Average ||||
| ✔️ RMA - WildeR's Moving Average | RMA__Series |||
| ⛔ SINWMA - Sine Weighted Moving Average ||||
| ⭐ SMA - Simple Moving Average | SMA_Series |||
| ⭐ SMMA - Smoothed Moving Average | SMMA_Series |||
| ⛔ SSF - Ehler's Super Smoother Filter ||||
| ⛔ SUP - Supertrend ||||
| ⛔ SWMA - Symmetric Weighted Moving Average ||||
| ⛔ T3 - Tillson T3 Moving Average ||||
| ⭐ TEMA - Triple EMA Average | TEMA_Series |||
| ⛔ TRIMA - Triangular Moving Average ||||
| ⛔ VIDYA - Variable Index Dynamic Average ||||
| ⭐ WMA - Weighted Moving Average | WMA_Series |||
| ✔️ ZLEMA - Zero Lag EMA Average | ZLEMA_Series |||
|||||
| **VOLATILITY INDICATORS** | **QuanTAlib** | **TA-LIB** | **Skender** |
| ⭐ ADL - Chaikin Accumulation Distribution Line | ADL_Series | AD | GetAdl |
| ⭐ ADOSC - Chaikin Accumulation Distribution Oscillator | ADOSC_Series | ADOSC| GetAdl |
| ⭐ ATR - Average True Range | ATR_Series | ATR | GetAtr |
| ⭐ ATRP - Average True Range Percent | ATRP_Series || GetAtr |
| ✔️ BETA - Beta coefficient || BETA | GetBeta |
| ⭐ BBANDS - Bollinger Bands® | BBANDS_Series | BBANDS | GetBollingerBands |
| ⛔ CRSI - Connor RSI ||| GetConnorsRsi |
| ⛔ DON - Donchian Channels ||| GetDonchian |
| ⛔ FCB - Fractal Chaos Bands ||| GetFcb |
| ⛔ HV - Historical Volatility ||||
| ⛔ ICH - Ichimoku ||| GetIchimoku |
| ⛔ KEL - Keltner Channels ||| GetKeltner |
| ⛔ NATR - Normalized Average True Range || NATR | GetAtr |
| ⭐ RSI - Relative Strength Index | RSI_Series ||
| ⛔ SAR - Parabolic Stop and Reverse || SAR | GetParabolicSar |
| ⛔ SRSI - Stochastic RSI ||||
| ⛔ STARC - Starc Bands ||||
| ⭐ TR - True Range | TR_Series |||
| ⛔ UI - Ulcer Index ||||
| ⛔ VSTOP - Volatility Stop ||||
|||||
| **MOMENTUM INDICATORS & OSCILLATORS** | **QuanTAlib** | **TA-LIB** | **Skender** |
| ⛔ AC - Acceleration Oscillator ||||
| ⛔ ADX - Average Directional Movement Index || ADX | GetAdx |
| ⛔ ADXR - Average Directional Movement Index Rating || ADXR | GetAdx |
| ⛔ AO - Awesome Oscillator ||| GetAwesome |
| ⛔ APO - Absolute Price Oscillator || APO ||
| ⛔ AROON - Aroon oscillator || AROON | GetAroon |
| ⛔ BOP - Balance of Power || BOP | GetBop |
| ⭐ CCI - Commodity Channel Index | CCI_Series | CCI | GetCci |
| ⛔ CFO - Chande Forcast Oscillator ||||
| ⛔ CMF - Chaikin Money Flow ||||
| ⛔ CMO - Chande Momentum Oscillator || CMO | GetCmo |
| ⛔ COG - Center of Gravity ||||
| ⛔ CTI - Ehler's Correlation Trend Indicator ||||
| ⛔ DPO - Detrended Price Oscillator ||| GetDpo |
| ⛔ DMI - Directional Movement Index || DX | GetAdx |
| ⛔ EFI - Elder Ray's Force Index ||| GetElderRay |
| ⛔ GAT - Alligator oscillator ||| GetGator |
| ⛔ HURST - Hurst Exponent ||| GetHurst |
| ⛔ KRI - Kairi Relative Index ||||
| ⛔ KVO - Klinger Volume Oscillator ||||
| ⛔ MFI - Money Flow Index || MFI | GetMfi |
| ⛔ ROC - Rate of Change (Momentum) || MOM | GetRoc |
| ⛔ NVI - Negative Volume Index ||||
| ⛔ PO - Price Oscillator ||||
| ⛔ PPO - Percentage Price Oscillator || PPO ||
| ⛔ PMO - Price Momentum Oscillator ||||
| ⛔ PVI - Positive Volume Index ||||
| ⛔ RVGI - Relative Vigor Index ||||
| ⛔ SMI - Stochastic Momentum Index ||||
| ⛔ STOCH - Stochastic Oscillator ||||
| ⛔ TRIX - 1-day ROC of TEMA ||||
| ⛔ TSI - True Strength Index ||||
| ⛔ UO - Ultimate Oscillator ||||
| ⛔ WGAT - Williams Alligator ||||
|||||
| **VOLUME INDICATORS** | **QuanTAlib** | **TA-LIB** | **Skender** |
| ⛔ AOBV - Archer On-Balance Volume ||||
| ⛔ OBV - On-Balance Volume || OBV | GetObv |
| ⛔ PRS - Price Relative Strength |||
| ⛔ PVOL - Price-Volume ||||
| ⛔ PVO - Percentage Volume Oscillator ||||
| ⛔ PVR - Price Volume Rank ||||
| ⛔ PVT - Price Volume Trend ||||
| ⛔ VP - Volume Profile ||||
| ⛔ VWAP - Volume Weighted Average Price ||||
| ⛔ VWMA - Volume Weighted Moving Average ||||
|||||
|**Unsorted** | **QuanTAlib** | **TA-LIB** | **Skender** |
| ⛔ CHN - Price Channel ||||
| ⛔ COPPOCK - Coppock Curve ||||
| ⛔ EOM - Ease of Movement ||||
| ⛔ HILO - Gann High-Low Activator ||||
| ⛔ HT - HT Trendline ||||
| ⛔ MCGD - McGinley Dynamic ||||
| ⛔ STC - Schaff Trend Cycle ||||
| ⛔ WILLR - Larry Williams' %R ||||
| ⛔ VOR - Vortex Indicator ||||
| ⛔ PVT - Pivot Points ||||
| ⛔ KDJ - KDJ Index ||||
| ⛔ CHAND - Chandelier Exit ||||
docs/crossovers.ipynb
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File diff suppressed because one or more lines are too long
docs/getting_started.ipynb
+16 -13
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@@ -17,7 +17,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 9, "execution_count": 1,
"metadata": { "metadata": {
"dotnet_interactive": { "dotnet_interactive": {
"language": "csharp" "language": "csharp"
@@ -28,18 +28,21 @@
}, },
"outputs": [ "outputs": [
{ {
"name": "stdout", "data": {
"output_type": "stream", "text/html": [
"text": [ "<div><div></div><div></div><div></div></div>"
"index\t data\t\t sma(data)\t ema(sma(data))\t wma(ema(sma(data)))\n", ]
"0\t 2022-11-01\t 150.65\t\t 150.65\t\t NaN\n", },
"1\t 2022-11-02\t 147.84\t\t 149.25\t\t NaN\n", "metadata": {},
"2\t 2022-11-03\t 144.85\t\t 147.78\t\t NaN\n", "output_type": "display_data"
"3\t 2022-11-04\t 143.24\t\t 146.64\t\t NaN\n", },
"4\t 2022-11-07\t 142.37\t\t 145.79\t\t 147.20\n", {
"5\t 2022-11-08\t 140.14\t\t 143.91\t\t 145.83\n", "ename": "Error",
"6\t 2022-11-09\t 138.11\t\t 141.97\t\t 144.26\n", "evalue": "(3,1): error CS0246: The type or namespace name 'Yahoo_Feed' could not be found (are you missing a using directive or an assembly reference?)\r\n(10,15): error CS0019: Operator '<' cannot be applied to operands of type 'int' and 'method group'",
"7\t 2022-11-10\t 139.71\t\t 141.22\t\t 142.93\n" "output_type": "error",
"traceback": [
"(3,1): error CS0246: The type or namespace name 'Yahoo_Feed' could not be found (are you missing a using directive or an assembly reference?)\r\n",
"(10,15): error CS0019: Operator '<' cannot be applied to operands of type 'int' and 'method group'"
] ]
} }
], ],
docs/readme.md
+2 -2
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@@ -27,7 +27,7 @@ QuanTAlib does not focus on sources of OHLCV quotes. There are some basic data f
See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/getting_started.ipynb) .NET interactive notebook to get a feel how library works. Developers can use QuanTAlib in .NET interactive or in console apps, but the best usage of the library is withing C#-enabled trading platforms - see **QuanTower_Charts** folder for Quantower examples. See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/getting_started.ipynb) .NET interactive notebook to get a feel how library works. Developers can use QuanTAlib in .NET interactive or in console apps, but the best usage of the library is withing C#-enabled trading platforms - see **QuanTower_Charts** folder for Quantower examples.
# Coverage ## Coverage
⭐= Calculation is validated against other TA libraries ⭐= Calculation is validated against other TA libraries
@@ -67,7 +67,7 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
| ⛔ SKEW - Skewness |||| | ⛔ SKEW - Skewness ||||
| ⭐ SDEV - Standard Deviation (Volatility) | SDEV_Series ||| | ⭐ SDEV - Standard Deviation (Volatility) | SDEV_Series |||
| ✔️ SSDEV - Sample Standard Deviation | SSDEV_Series ||| | ✔️ SSDEV - Sample Standard Deviation | SSDEV_Series |||
| ✔️ SMAPE - Symmetric Mean Absolute Percent Error | SMAPE_Series ||| | ✔️ SMAPE - Symmetric Mean Absolute Percent Error | SMAPE_Series |||
| ✔️ VAR - Population Variance | VAR_Series ||| | ✔️ VAR - Population Variance | VAR_Series |||
| ✔️ SVAR - Sample Variance | SVAR_Series ||| | ✔️ SVAR - Sample Variance | SVAR_Series |||
| ⛔ QUANT - Quantile |||| | ⛔ QUANT - Quantile ||||