QuanTAlib/lib/averages/Afirma.cs

using System;

namespace QuanTAlib
{

    public class Afirma : AbstractBase
    {

        public enum WindowType
        {
            Rectangular,
            Hanning1,
            Hanning2,
            Blackman,
            BlackmanHarris
        }

        private readonly int Periods;
        private readonly int Taps;
        private readonly WindowType Window;
        private readonly CircularBuffer _buffer;
        private readonly double[] _weights;
        private readonly double _wsum;
        private readonly double[] _armaBuffer;
        private readonly int _n;
        private readonly double _sx2, _sx3, _sx4, _sx5, _sx6, _den;

        public Afirma(int periods, int taps, WindowType window)
        {
            if (periods < 1)
            {
                throw new ArgumentOutOfRangeException(nameof(periods), "Periods must be greater than or equal to 1.");
            }
            if (taps < 1)
            {
                throw new ArgumentOutOfRangeException(nameof(taps), "Taps must be greater than or equal to 1.");
            }
            Periods = periods;
            Taps = taps;
            Window = window;
            WarmupPeriod = taps;
            _buffer = new CircularBuffer(taps);
            _weights = new double[taps];
            _wsum = CalculateWeights();
            _armaBuffer = new double[taps];
            _n = (Taps - 1) / 2;

            // Calculate least squares coefficients in the constructor
            _sx2 = (2 * _n + 1) / 3.0;
            _sx3 = _n * (_n + 1) / 2.0;
            _sx4 = _sx2 * (3 * _n * _n + 3 * _n - 1) / 5.0;
            _sx5 = _sx3 * (2 * _n * _n + 2 * _n - 1) / 3.0;
            _sx6 = _sx2 * (3 * Math.Pow(_n, 3) * (_n + 2) - 3 * _n + 1) / 7.0;
            _den = _sx6 * _sx4 / _sx5 - _sx5;

            Name = "Afirma";
            Init();
        }

        public Afirma(object source, int periods, int taps, WindowType window) : this(periods, taps, window)
        {
            var pubEvent = source.GetType().GetEvent("Pub");
            pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
        }

        protected override void ManageState(bool isNew)
        {
            if (isNew)
            {
                _lastValidValue = Input.Value;
                _index++;
            }
        }

        protected override double Calculation()
        {
            ManageState(IsNew);
            _buffer.Add(Input.Value, Input.IsNew);

            if (_index >= Taps)
            {
                double a0 = _buffer[_n];
                double a1 = _buffer[_n] - _buffer[_n + 1];
                double sx2y = 0.0;
                double sx3y = 0.0;

                for (int i = 0; i <= _n; i++)
                {
                    sx2y += i * i * _buffer[_n - i];
                    sx3y += i * i * i * _buffer[_n - i];
                }

                sx2y = 2.0 * sx2y / _n / (_n + 1);
                sx3y = 2.0 * sx3y / _n / (_n + 1);
                double p = sx2y - a0 * _sx2 - a1 * _sx3;
                double q = sx3y - a0 * _sx3 - a1 * _sx4;
                double a2 = (p * _sx6 / _sx5 - q) / _den;
                double a3 = (q * _sx4 / _sx5 - p) / _den;

                for (int k = 0; k <= _n; k++)
                {
                    _armaBuffer[_n - k] = a0 + k * a1 + k * k * a2 + k * k * k * a3;
                }
            }

            double result = 0.0;
            for (int k = 0; k < Taps; k++)
            {
                result += _buffer[k] * _weights[k] / _wsum;
            }

            IsHot = _index >= WarmupPeriod;
            return result;
        }

        private double CalculateWeights()
        {
            double wsum = 0.0;
            double centerTap = (Taps - 1) / 2.0;
            for (int k = 0; k < Taps; k++)
            {
                double windowWeight;
                switch (Window)
                {
                    case WindowType.Rectangular:
                        windowWeight = 1.0;
                        break;
                    case WindowType.Hanning1:
                        windowWeight = 0.50 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
                        break;
                    case WindowType.Hanning2:
                        windowWeight = 0.54 - 0.46 * Math.Cos(2.0 * Math.PI * k / (Taps - 1));
                        break;
                    case WindowType.Blackman:
                        windowWeight = 0.42 - 0.50 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.08 * Math.Cos(4.0 * Math.PI * k / (Taps - 1));
                        break;
                    case WindowType.BlackmanHarris:
                        windowWeight = 0.35875 - 0.48829 * Math.Cos(2.0 * Math.PI * k / (Taps - 1)) + 0.14128 * Math.Cos(4.0 * Math.PI * k / (Taps - 1)) - 0.01168 * Math.Cos(6.0 * Math.PI * k / (Taps - 1));
                        break;
                    default:
                        windowWeight = 1.0;
                        break;
                }

                double sincWeight;
                if (Math.Abs(k - centerTap) < 1e-10)
                {
                    sincWeight = 1.0;
                }
                else
                {
                    sincWeight = Math.Sin(Math.PI * (k - centerTap) / Periods) / (Math.PI * (k - centerTap) / Periods);
                }

                _weights[k] = windowWeight * sincWeight;
                wsum += _weights[k];
            }
            return wsum;
        }

    }
}