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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
97 lines
3.6 KiB
C#
97 lines
3.6 KiB
C#
namespace QuanTAlib;
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/// <summary>
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/// Represents a Z-score calculator that measures how many standard deviations
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/// an element is from the mean of a set of values.
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/// </summary>
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/// <remarks>
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/// The Zscore class calculates the Z-score (also known as standard score) for
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/// the most recent value in a given period. It uses a circular buffer to
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/// efficiently manage the data points within the specified period.
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/// </remarks>
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public class Zscore : AbstractBase {
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private readonly int Period;
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private readonly CircularBuffer _buffer;
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/// <summary>
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/// Initializes a new instance of the Zscore class with the specified period.
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/// </summary>
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/// <param name="period">The period over which to calculate the Z-score.</param>
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/// <exception cref="ArgumentOutOfRangeException">
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/// Thrown when period is less than 2.
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/// </exception>
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public Zscore(int period) : base() {
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if (period < 2) {
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throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2 for Z-score calculation.");
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}
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Period = period;
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WarmupPeriod = 2;
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_buffer = new CircularBuffer(period);
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Name = $"ZScore(period={period})";
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Init();
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}
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/// <summary>
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/// Initializes a new instance of the Zscore class with the specified source and period.
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/// </summary>
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/// <param name="source">The source object to subscribe to for value updates.</param>
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/// <param name="period">The period over which to calculate the Z-score.</param>
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public Zscore(object source, int period) : this(period) {
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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/// <summary>
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/// Initializes the Zscore instance by clearing the buffer.
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/// </summary>
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public override void Init() {
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base.Init();
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_buffer.Clear();
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}
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/// <summary>
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/// Manages the state of the Zscore instance based on whether a new value is being processed.
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/// </summary>
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/// <param name="isNew">Indicates whether the current input is a new value.</param>
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protected override void ManageState(bool isNew) {
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if (isNew) {
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_lastValidValue = Input.Value;
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_index++;
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}
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}
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/// <summary>
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/// Performs the Z-score calculation for the current period.
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/// </summary>
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/// <returns>
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/// The calculated Z-score value for the most recent input in the current period.
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/// </returns>
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/// <remarks>
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/// This method calculates the Z-score using the formula:
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/// Z = (x - μ) / σ
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/// where x is the input value, μ is the mean of the period, and σ is the sample standard deviation.
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/// If there are fewer than 2 data points or if the standard deviation is 0, the method returns 0.
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/// </remarks>
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protected override double Calculation() {
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ManageState(Input.IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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double zScore = 0;
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if (_buffer.Count >= 2) { // We need at least 2 data points for Z-score
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var values = _buffer.GetSpan().ToArray();
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double mean = values.Average();
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double n = values.Length;
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double sumSquaredDeviations = values.Sum(x => Math.Pow(x - mean, 2));
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double standardDeviation = Math.Sqrt(sumSquaredDeviations / (n - 1)); // Sample standard deviation
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if (standardDeviation != 0) { // Avoid division by zero
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zScore = (Input.Value - mean) / standardDeviation;
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}
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}
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IsHot = _buffer.Count >= Period;
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return zScore;
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}
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} |