QuanTAlib/Calculations/_Updated/HEMA_Series.cs

namespace QuanTAlib;
using System;
using System.Collections.Generic;

/* <summary>
HEMA: Hull-EMA Moving Average - a hybrid indicator
    Modified HUll Moving Average; instead of using WMA (Weighted MA) for calculation,
    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 : TSeries {
	protected readonly int _period;
	protected readonly bool _NaN;
	protected readonly TSeries _data;
	private double _k1, _k2, _k3;
	private int _len;
	private double _lastema1, _oldema1;
	private double _lastema2, _oldema2;
	private double _lasthema, _oldhema;

	//core constructors
	public HEMA_Series(int period, bool useNaN) : base() {
		_period = period;
		_NaN = useNaN;
		Name = $"HEMA({period})";
		CalculateK(_period, out _k1, out _k2, out _k3);
		_len = 0;
		_lastema1 = _oldema1 = _lastema2 = _oldema2 = _lasthema = _oldhema = 0;
	}
	public HEMA_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) {
		_data = source;
		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
		_data.Pub += Sub;
		Add(_data);
	}
	public HEMA_Series() : this(period: 0, useNaN: false) { }
	public HEMA_Series(int period) : this(period: period, useNaN: false) { }
	public HEMA_Series(TBars source) : this(source.Close, 0, false) { }
	public HEMA_Series(TBars source, int period) : this(source.Close, period, false) { }
	public HEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
	public HEMA_Series(TSeries source) : this(source, 0, false) { }
	public HEMA_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }

	//////////////////
	// core Add() algo
	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
		if (update) {
			_lastema1 = _oldema1;
			_lastema2 = _oldema2;
			_lasthema = _oldhema;
		}
		else {
			_oldema1 = _lastema1;
			_oldema2 = _lastema2;
			_oldhema = _lasthema;
		}
		double _ema1, _ema2, _hema;
		if (_period == 0) {
			_len++;
			CalculateK(_len, out _k1, out _k2, out _k3);
		}
		if (double.IsNaN(TValue.v)) {
			return base.Add((TValue.t, double.NaN), update);
		} else if (this.Count == 0) {
			_ema1 = _ema2 = _hema = TValue.v;
		}
		else {
			_ema1 = _k1 * (TValue.v - _lastema1) + _lastema1;
			_ema2 = _k2 * (TValue.v - _lastema2) + _lastema2;
			_hema = _k3 * (((2 * _ema1) - _ema2) - _lasthema) + _lasthema;
		}

		_lastema1 = _ema1;
		_lastema2 = _ema2;
		_lasthema = _hema;

		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _hema);
		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() {
		_lastema1 = _lastema2 = _lasthema = 0;
		_oldema1 = _oldema2 = _oldhema = 0;
		_len = 0;
	}

	public static void CalculateK(int len, out double k1, out double k2, out double k3) {
		k1 = 8 / (double)(len + 7);
		k2 = 3 / (double)(len + 2);
		k3 = 2 / Math.Sqrt(len + 3);
	}
}