#!csharp

#r "nuget:QuanTAlib;"
using QuanTAlib;

#!csharp

public class GBM1_Feed : TBars
{
    static double seed;
    readonly double drift, volatility;
    public GBM1_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
        seed = Seed;
        volatility = Volatility*0.01;
        drift = Drift*0.01;
        for (int i = 0; i <Bars; i++) {
            DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
            this.Add(Timestamp);
        }
    }

    public void Add(DateTime timestamp, bool update = false) {
        double Open = GBM_value(seed, volatility*volatility, drift);
        double Close = GBM_value(Open, volatility, drift);

        double OCMax = Math.Max(Open,Close);
        double High = (GBM_value(seed, volatility*0.5, 0));
        High = (High<OCMax)? 2*OCMax-High : High;

        double OCMin = Math.Min(Open,Close);
        double Low = (GBM_value(seed, volatility*0.5, 0));
        Low = (Low>OCMin)? 2*OCMin-Low : Low;

        double Volume = GBM_value(seed*10, volatility*2, Drift:0);

        base.Add((timestamp, Open, High, Low, Close, Volume), update);
        seed = Close;
    }

    private static double GBM_value (double Seed, double Volatility, double Drift) {
        Random rnd = new((int)(DateTime.UtcNow.Ticks));
        double U1 = 1.0-rnd.NextDouble();
        double U2 = 1.0-rnd.NextDouble();
        double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
        return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z);
    }
}

#!csharp

GBM1_Feed tqqq = new(30);
TSeries data = tqqq.Close;
SMA_Series sma = new(data, 5, false);
MED_Series med = new(data, 5);
WMA_Series wma = new(data, 5, false);
EMA_Series ema = new(data, 5, false);
HMA_Series hma = new(data, 5, false);
DEMA_Series dema = new(data, 5, false);
TEMA_Series tema = new(data, 5, false);
ZLEMA_Series zlema = new(data, 5, false);
JMA_Series jma = new(data, 10, 0.0, false);

Console.WriteLine($"date\t\t Value\t SMA\t MED\t WMA\t EMA\t HMA\t DEMA\t TEMA \tZLEMA\t JMA");
for (int i=0; i < data.Length; i++) {
    Console.Write($"{data[i].t:yyyy-MM-dd}\t {data[i].v:f2}\t {sma[i].v:f2}\t {med[i].v:f2}\t {wma[i].v:f2}\t {ema[i].v:f2}\t {hma[i].v:f2}\t {dema[i].v:f2}\t {tema[i].v:f2}\t {zlema[i].v:f2}\t {jma[i].v:f2}\n");
}