mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-08 14:07:44 +00:00
Miha Kralj
84ff67fb50
- Introduced Usf.Validation.Tests.cs to validate the USF (Ehlers Ultimate Smoother Filter) for consistency across batch, streaming, and span modes, as well as mathematical properties and coefficient calculations. - Added comprehensive tests for the ATR indicator in Atr.Quantower.Tests.cs, including constructor validation, historical data processing, and handling of NaN/Infinity inputs. - Enhanced Atr.Tests.cs with additional tests for iterative corrections, warmup behavior, and true range calculations. - Updated Atr.cs to ensure warmup period is derived from RMA. - Added new tests for Adosc in Adosc.Tests.cs to validate handling of NaN and Infinity inputs, and to ensure batch calculations match iterative results. - Created a new Volatility.csproj to organize volatility-related implementations.
69 lines
2.4 KiB
C#
69 lines
2.4 KiB
C#
using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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[SkipLocalsInit]
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public sealed class BetaIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
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public int Period { get; set; } = 20;
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[InputParameter("Asset Source", sortIndex: 2)]
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public SourceType AssetSource { get; set; } = SourceType.Close;
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[InputParameter("Market Source", sortIndex: 3)]
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public SourceType MarketSource { get; set; } = SourceType.Close;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Beta? _beta;
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private readonly LineSeries? _series;
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private Func<IHistoryItem, double>? _assetSelector;
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private Func<IHistoryItem, double>? _marketSelector;
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public static int MinHistoryDepths => 2;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"Beta({Period})";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/beta/Beta.Quantower.cs";
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public BetaIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "Beta Coefficient";
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Description = "Measures the volatility of an asset in relation to the overall market.";
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_series = new(name: "Beta", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
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AddLineSeries(_series);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnInit()
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{
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_beta = new Beta(Period);
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_assetSelector = AssetSource.GetPriceSelector();
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_marketSelector = MarketSource.GetPriceSelector();
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
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double assetVal = _assetSelector!(item);
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double marketVal = _marketSelector!(item);
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var time = this.HistoricalData.Time();
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var assetInput = new TValue(time, assetVal);
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var marketInput = new TValue(time, marketVal);
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TValue result = _beta!.Update(assetInput, marketInput, args.IsNewBar());
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_series!.SetValue(result.Value, _beta.IsHot, ShowColdValues);
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}
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}
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