namespace QuanTAlib; using System; using System.Linq; /* DEMA: Double Exponential Moving Average DEMA uses EMA(EMA()) to calculate smoother Exponential moving average. Sources: https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/double-exponential-moving-average-dema/ Remark: ema1 = EMA(close, length) ema2 = EMA(ema1, length) DEMA = 2 * ema1 - ema2 */ public class DEMA_Series : TSeries { private double _k; private double _sum, _oldsum; private double _lastema1, _oldema1, _lastema2, _oldema2; private int _len; private readonly bool _useSMA; protected readonly int _period; protected readonly bool _NaN; protected readonly TSeries _data; //core constructor public DEMA_Series(int period, bool useNaN, bool useSMA) { _period = period; _NaN = useNaN; _useSMA = useSMA; Name = $"DEMA({period})"; _k = 2.0 / (_period + 1); _len = 0; _sum = _oldsum = _lastema1 = _lastema2 = 0; } //generic constructors (source) public DEMA_Series() : this(0, false, true) { } public DEMA_Series(int period) : this(period, false, true) { } public DEMA_Series(TBars source) : this(source.Close, 0, false) { } public DEMA_Series(TBars source, int period) : this(source.Close, period, false) { } public DEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { } public DEMA_Series(TSeries source, int period) : this(source, period, false, true) { } public DEMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { } public DEMA_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) { _data = source; Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})"; _data.Pub += Sub; Add(_data); } // core Add() algo public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) { if (update) { _lastema1 = _oldema1; _lastema2 = _oldema2; _sum = _oldsum; } else { _oldema1 = _lastema1; _oldema2 = _lastema2; _oldsum = _sum; _len++; } if (_period == 0) { _k = 2.0 / (_len + 1); } double _ema1, _ema2, _dema; if (Count == 0) { _ema1 = _ema2 = _sum = TValue.v; } else if (_len <= _period && _useSMA && _period != 0) { _sum += TValue.v; _ema1 = _sum / Math.Min(_len, _period); _ema2 = _ema1; } else { _ema1 = (TValue.v - _lastema1) * _k + _lastema1; _ema2 = (_ema1 - _lastema2) * _k + _lastema2; } _dema = 2 * _ema1 - _ema2; _lastema1 = double.IsNaN(_ema1) ? _lastema1 : _ema1; _lastema2 = double.IsNaN(_ema2) ? _lastema2 : _ema2; var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _dema); return base.Add(res, update); } //variation of Add() public override (DateTime t, double v) Add(TSeries data) { if (data == null) { return (DateTime.Today, double.NaN); } foreach (var item in data) { Add(item, false); } return _data.Last; } public (DateTime t, double v) Add(bool update) { return Add(_data.Last, update); } public (DateTime t, double v) Add() { return Add(_data.Last, false); } private new void Sub(object source, TSeriesEventArgs e) { Add(_data.Last, e.update); } //reset calculation public override void Reset() { _sum = _oldsum = _lastema1 = _lastema2 = 0; _len = 0; } }