QuanTAlib/Source/Indicators/ZLEMA_Series.cs

namespace QuanTAlib;
using System;

/* <summary>
ZLEMA: Zero Lag Exponential Moving Average
    The Zero lag exponential moving average (ZLEMA) indicator was created by John
    Ehlers and Ric Way.

The formula for a given N-Day period and for a given Data series is:
    Lag = (Period-1)/2
    Ema Data = {Data+(Data-Data(Lag days ago))
    ZLEMA = EMA (EmaData,Period)

Remark:
    The idea is do a regular exponential moving average (EMA) calculation but on a
    de-lagged data instead of doing it on the regular data. Data is de-lagged by
    removing the data from "lag" days ago thus removing (or attempting to remove)
    the cumulative lag effect of the moving average.

</summary> */

public class ZLEMA_Series : Single_TSeries_Indicator
{
    private readonly double _k, _k1m;
    private double _lastema, _lastlastema;

    public ZLEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
    {
        this._k = 2.0 / (double)(period + 1);
        this._k1m = 1.0 - this._k;
        this._lastema = this._lastlastema = double.NaN;


        if (base._data.Count > 0) { base.Add(base._data); }
    }

    public override void Add((System.DateTime t, double v) TValue, bool update)
    {
        if (update)
        {
            this._lastema = this._lastlastema;
        }
        int _lag = (int)(0.5 * (_p - 1));
        int _l = Math.Max(this._data.Count - _lag, 0);
        double _lagdata = 1 * TValue.v - this._data[_l].v;

        double _ema = System.Double.IsNaN(this._lastema) ? _lagdata : _lagdata * this._k + this._lastema * this._k1m;
        this._lastlastema = this._lastema;
        this._lastema = _ema;

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

    }
}