mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 19:57:44 +00:00
Miha Kralj
86 lines
3.3 KiB
C#
86 lines
3.3 KiB
C#
namespace QuanTAlib;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
|
|
/* <summary>
|
|
DECAY:
|
|
Linear decay can be modeled by a straight line with a negative slope of 1/period.
|
|
The value decreases in a straight line from the last maximum to 0.
|
|
Decay = Last Max - distance/period
|
|
|
|
Exponential decay is modeled as an exponential curve with diminishing factor of
|
|
1-1/p
|
|
|
|
</summary> */
|
|
|
|
public class DECAY_Series : TSeries {
|
|
protected readonly int _period;
|
|
protected readonly bool _NaN;
|
|
protected readonly TSeries _data;
|
|
private readonly bool _exp;
|
|
private double _pdecay, _ppdecay;
|
|
private readonly double _dfactor;
|
|
|
|
//core constructors
|
|
public DECAY_Series(int period, bool exponential, bool useNaN) : base() {
|
|
_period = period;
|
|
_NaN = useNaN;
|
|
Name = $"DECAY({period})";
|
|
_exp = exponential;
|
|
_dfactor = (_exp) ? 1.0 - 1.0 / (double)_period : 1 / (double)_period;
|
|
_pdecay = _ppdecay = 0;
|
|
}
|
|
public DECAY_Series(TSeries source, int period, bool exponential, bool useNaN) : this(period, exponential, useNaN) {
|
|
_data = source;
|
|
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
|
|
_data.Pub += Sub;
|
|
Add(_data);
|
|
}
|
|
public DECAY_Series() : this(period: 0, exponential: false, useNaN: false) { }
|
|
public DECAY_Series(int period) : this(period: period, exponential: false, useNaN: false) { }
|
|
public DECAY_Series(TBars source) : this(source.Close, period: 0, exponential: false, useNaN: false) { }
|
|
public DECAY_Series(TBars source, int period) : this(source.Close, period: period, exponential:false, useNaN:false) { }
|
|
public DECAY_Series(TBars source, int period, bool useNaN) : this(source.Close, period: period, exponential: false, useNaN) { }
|
|
public DECAY_Series(TSeries source) : this(source, period: 0, exponential: false, useNaN:false) { }
|
|
public DECAY_Series(TSeries source, int period) : this(source: source, period: period, exponential: false, useNaN: false) { }
|
|
public DECAY_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, exponential: false, useNaN: useNaN) { }
|
|
|
|
//////////////////
|
|
// core Add() algo
|
|
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
|
if (double.IsNaN(TValue.v)) {
|
|
return base.Add((TValue.t, Double.NaN), update);
|
|
}
|
|
if (update) { _pdecay = _ppdecay; }
|
|
else { _ppdecay = _pdecay; }
|
|
|
|
if (this.Count == 0) { _pdecay = TValue.v; }
|
|
double _decay = Math.Max(TValue.v, Math.Max((_exp) ? _pdecay * _dfactor : _pdecay - _dfactor, 0));
|
|
_pdecay = _decay;
|
|
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _decay);
|
|
return base.Add(res, update);
|
|
}
|
|
|
|
public override (DateTime t, double v) Add(TSeries data) {
|
|
if (data == null) { return (DateTime.Today, Double.NaN); }
|
|
foreach (var item in data) { Add(item, false); }
|
|
return _data.Last;
|
|
}
|
|
public new (DateTime t, double v) Add((DateTime t, double v) TValue) {
|
|
return Add(TValue, false);
|
|
}
|
|
public (DateTime t, double v) Add(bool update) {
|
|
return this.Add(TValue: _data.Last, update: update);
|
|
}
|
|
public (DateTime t, double v) Add() {
|
|
return Add(TValue: _data.Last, update: false);
|
|
}
|
|
private new void Sub(object source, TSeriesEventArgs e) {
|
|
Add(TValue: _data.Last, update: e.update);
|
|
}
|
|
|
|
//reset calculation
|
|
public override void Reset() {
|
|
_pdecay = _ppdecay = 0;
|
|
}
|
|
} |