mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-07 05:27:43 +00:00
Miha Kralj
110 lines
4.5 KiB
C#
110 lines
4.5 KiB
C#
namespace QuanTAlib;
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using System;
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using System.Linq;
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using System.Numerics;
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/* <summary>
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T3: Tillson T3 Moving Average
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Tim Tillson described it in "Technical Analysis of Stocks and Commodities", January 1998 in the
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article "Better Moving Averages". Tillson’s moving average becomes a popular indicator of
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technical analysis as it gets less lag with the price chart and its curve is considerably smoother.
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Sources:
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https://technicalindicators.net/indicators-technical-analysis/150-t3-moving-average
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http://www.binarytribune.com/forex-trading-indicators/t3-moving-average-indicator/
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Calculation:
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Volume Factor is typically 0.7 (but also 0.618);
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Ema1 = Ema (Close);
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Ema2 = Ema (Ema1);
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Ema3 = Ema (Ema2);
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Ema4 = Ema (Ema3);
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Ema5 = Ema (Ema4);
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Ema6 = Ema (Ema5);
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T3 = –(a*a*a) * Ema6 + (3*a*a + 3*a*a*a) * Ema5 + (–6*a*a – 3*a – 3*a*a*a) * Ema4 + (1 + 3*a + a*a*a + 3*a*a) * Ema3
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</summary> */
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public class T3_Series : Single_TSeries_Indicator {
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private readonly double _k, _k1m, _c1, _c2, _c3, _c4;
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private readonly System.Collections.Generic.List<double> _buffer1 = new();
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private readonly System.Collections.Generic.List<double> _buffer2 = new();
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private readonly System.Collections.Generic.List<double> _buffer3 = new();
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private readonly System.Collections.Generic.List<double> _buffer4 = new();
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private readonly System.Collections.Generic.List<double> _buffer5 = new();
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private readonly System.Collections.Generic.List<double> _buffer6 = new();
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private double _lastema1, _lastema2, _lastema3, _lastema4, _lastema5, _lastema6;
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private double _llastema1, _llastema2, _llastema3, _llastema4, _llastema5, _llastema6;
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private bool _useSMA;
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public T3_Series(TSeries source, int period, double vfactor = 0.7, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) {
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double _a = vfactor; //0.7; //0.618
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_c1 = -_a * _a * _a;
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_c2 = 3 * _a * _a + 3 * _a * _a * _a;
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_c3 = -6 * _a * _a - 3 * _a - 3 * _a * _a * _a;
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_c4 = 1 + 3 * _a + _a * _a * _a + 3 * _a * _a;
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_k = 2.0 / (_p + 1);
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_k1m = 1.0 - _k;
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_lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0;
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_useSMA = useSMA;
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if (this._data.Count > 0) { base.Add(this._data); }
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}
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public override void Add((DateTime t, double v) TValue, bool update) {
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double _ema1, _ema2, _ema3, _ema4, _ema5, _ema6;
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if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; _lastema4 = _llastema4; _lastema5 = _llastema5; _lastema6 = _llastema6; }
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else { _llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; _llastema4 = _lastema4; _llastema5 = _lastema5; _llastema6 = _lastema6; }
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if (this.Count == 0) { _lastema1 = _lastema2 = _lastema3 = _lastema4 = _lastema5 = _lastema6 = TValue.v; }
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if ((this.Count < _p) && _useSMA) {
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Add_Replace(_buffer1, TValue.v, update);
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_ema1 = 0;
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for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; }
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_ema1 /= _buffer1.Count;
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Add_Replace(_buffer2, _ema1, update);
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_ema2 = 0;
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for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
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_ema2 /= _buffer2.Count;
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Add_Replace(_buffer3, _ema2, update);
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_ema3 = 0;
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for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; }
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_ema3 /= _buffer3.Count;
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Add_Replace(_buffer4, _ema3, update);
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_ema4 = 0;
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for (int i = 0; i < _buffer4.Count; i++) { _ema4 += _buffer4[i]; }
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_ema4 /= _buffer4.Count;
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Add_Replace(_buffer5, _ema4, update);
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_ema5 = 0;
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for (int i = 0; i < _buffer5.Count; i++) { _ema5 += _buffer5[i]; }
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_ema5 /= _buffer5.Count;
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Add_Replace(_buffer6, _ema5, update);
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_ema6 = 0;
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for (int i = 0; i < _buffer6.Count; i++) { _ema6 += _buffer6[i]; }
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_ema6 /= _buffer6.Count;
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}
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else {
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_ema1 = (TValue.v * this._k) + (this._lastema1 * this._k1m);
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_ema2 = (_ema1 * this._k) + (this._lastema2 * this._k1m);
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_ema3 = (_ema2 * this._k) + (this._lastema3 * this._k1m);
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_ema4 = (_ema3 * this._k) + (this._lastema4 * this._k1m);
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_ema5 = (_ema4 * this._k) + (this._lastema5 * this._k1m);
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_ema6 = (_ema5 * this._k) + (this._lastema6 * this._k1m);
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}
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_lastema1 = _ema1;
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_lastema2 = _ema2;
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_lastema3 = _ema3;
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_lastema4 = _ema4;
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_lastema5 = _ema5;
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_lastema6 = _ema6;
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double _T3 = _c1 * _ema6 + _c2 * _ema5 + _c3 * _ema4 + _c4 * _ema3;
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base.Add((TValue.t, _T3), update, _NaN);
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}
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} |