QuanTAlib/archive/Calculations/_Updated/RMA_Series.cs

namespace QuanTAlib;

using System;
using System.Linq;

/* <summary>
RMA: wildeR Moving Average
    J. Welles Wilder introduced RMA as an alternative to EMA. RMA's weight (k) is
    set as 1/period, giving less weight to the new data compared to EMA.

Sources:
    https://archive.org/details/newconceptsintec00wild/page/23/mode/2up
	https://tlc.thinkorswim.com/center/reference/Tech-Indicators/studies-library/V-Z/WildersSmoothing
    https://www.incrediblecharts.com/indicators/wilder_moving_average.php

Issues:
    Pandas-TA library calculates RMA using straight Exponential Weighted Mean:
	pandas.ewm().mean() and returns incorrect first (period) of bars compared to
	published formula. This implementation passess the validation test in Wilder's book.

</summary> */

public class RMA_Series : TSeries
{
    private double _k;
    private double _lastrma, _oldrma;
    private double _sum, _oldsum;
    private readonly bool _useSMA;
    private int _len;
    protected readonly int _period;
    protected readonly bool _NaN;
    protected readonly TSeries _data;

    //core constructor
    public RMA_Series(int period, bool useNaN, bool useSMA)
    {
        _period = period;
        _NaN = useNaN;
        _useSMA = useSMA;
        Name = $"RMA({period})";
        _k = 1.0 / (double)(this._period);
        _len = 0;
        _sum = _oldsum = _lastrma = _oldrma = 0;
    }
    //generic constructors (source)

    public RMA_Series() : this(0, false, true) { }
    public RMA_Series(int period) : this(period, false, true) { }
    public RMA_Series(TBars source) : this(source.Close, 0, false) { }
    public RMA_Series(TBars source, int period) : this(source.Close, period, false) { }
    public RMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
    public RMA_Series(TSeries source, int period) : this(source, period, false, true) { }
    public RMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
    public RMA_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)
        {
            _lastrma = _oldrma;
            _sum = _oldsum;
        }
        else
        {
            _oldrma = _lastrma;
            _oldsum = _sum;
            _len++;
        }

        double _rma = 0;
        if (_period == 0)
        {
            _k = 1.0 / (double)(this._len);
        }

        if (Count == 0)
        {
            _rma = _sum = TValue.v;

        }
        else if (_len <= _period && _useSMA && _period != 0)
        {
            _sum += TValue.v;
            if (_period != 0 && _len > _period)
            {
                _sum -= _data[Count - _period - (update ? 1 : 0)].v;
            }
            _rma = _sum / Math.Min(_len, _period);
        }
        else
        {
            _rma = _k * (TValue.v - _lastrma) + _lastrma;
        }

        _lastrma = double.IsNaN(_rma) ? _lastrma : _rma;
        var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _rma);
        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 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()
    {
        _sum = _oldsum = _lastrma = _oldrma = 0;
        _len = 0;
    }
}