using System.Linq; namespace QuanTAlib; using System; using System.Collections.Generic; /* MAD: Mean Absolute Deviation Also known as AAD - Average Absolute Deviation, to differentiate it from Median Absolute Deviation MAD defines the degree of variation across the series. Calculation: MAD = Σ(|close-SMA|) / period Sources: https://en.wikipedia.org/wiki/Average_absolute_deviation */ public class MAD_Series : TSeries { private readonly System.Collections.Generic.List _buffer = new(); protected readonly int _period; protected readonly bool _NaN; protected readonly TSeries _data; //core constructors public MAD_Series(int period, bool useNaN) { _period = period; _NaN = useNaN; Name = $"MAD({period})"; } public MAD_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) { _data = source; Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})"; _data.Pub += Sub; Add(_data); } public MAD_Series() : this(period: 0, useNaN: false) { } public MAD_Series(int period) : this(period: period, useNaN: false) { } public MAD_Series(TBars source) : this(source.Close, 0, false) { } public MAD_Series(TBars source, int period) : this(source.Close, period, false) { } public MAD_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { } public MAD_Series(TSeries source) : this(source, 0, false) { } public MAD_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { } ////////////////// // core Add() algo public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) { BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update); double _sma = _buffer.Average(); double _mad = 0; for (int i = 0; i < _buffer.Count; i++) { _mad += Math.Abs(_buffer[i] - _sma); } _mad /= this._buffer.Count; var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _mad); return base.Add(res, update); } 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 this.Add(TValue: _data.Last, update: update); } public (DateTime t, double v) Add() { return Add(TValue: _data.Last, update: false); } private new void Sub(object source, TSeriesEventArgs e) { Add(TValue: _data.Last, update: e.update); } //reset calculation public override void Reset() { _buffer.Clear(); } }