QuanTAlib/Source/Indicators/HEMA_Series.cs

namespace QuanTAlib;
using System;

/* <summary>
HEMA: Hull-EMA Moving Average
    Modified HUll Moving Average; instead of using WMA (Weighted MA) for acalculation, 
    HEMA uses EMA for Hull's formula:

EMA1 = EMA(n/2) of price - where k = 4/(n/2 +1)
EMA2 = EMA(n) of price - where k = 3/(n+1)
Raw HMA = (2 * EMA1) - EMA2
EMA3 = EMA(sqrt(n)) of Raw HMA - where k = 2/(sqrt(n)+1)

</summary> */

public class HEMA_Series : Single_TSeries_Indicator
{
    public HEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
    {
        this._k1 = 4 / ((period * 0.5) + 1);
        this._k2 = 3 / (double)(period + 1);
        this._k3 = 2 / (Math.Sqrt(period) + 1);
        this._lastema1 = this._lastlastema1 = double.NaN;
        this._lastema2 = this._lastlastema2 = double.NaN;
        this._lastema3 = this._lastlastema3 = double.NaN;

        if (base._data.Count > 0) { base.Add(base._data); }
    }
    private readonly double _k1, _k2, _k3;
    private double _lastema1, _lastlastema1;
    private double _lastema2, _lastlastema2;
    private double _lastema3, _lastlastema3;

    public override void Add((System.DateTime t, double v) TValue, bool update)
    {
        if (update)
        {
            this._lastema1 = this._lastlastema1;
            this._lastema2 = this._lastlastema2;
            this._lastema3 = this._lastlastema3;
        }
        double _ema1 = System.Double.IsNaN(this._lastema1)
                           ? TValue.v
                           : TValue.v * this._k1 + this._lastema1 * (1 - this._k1);
        double _ema2 = System.Double.IsNaN(this._lastema2)
                           ? TValue.v
                           : TValue.v * this._k2 + this._lastema2 * (1 - this._k2);

        double _rawhema = (2 * _ema1) - _ema2;
        double _ema3 = System.Double.IsNaN(this._lastema3)
                           ? _rawhema
                           : _rawhema * this._k3 + this._lastema3 * (1 - this._k3);

        this._lastlastema1 = this._lastema1;
        this._lastlastema2 = this._lastema2;
        this._lastlastema3 = this._lastema3;
        this._lastema1 = _ema1;
        this._lastema2 = _ema2;
        this._lastema3 = _ema3;

        (System.DateTime t, double v) result =
            (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ema3);
        base.Add(result, update);
    }
}