mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
91 lines
3.0 KiB
C#
91 lines
3.0 KiB
C#
namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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/* <summary>
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HMA: Hull Moving Average
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Developed by Alan Hull, an extremely fast and smooth moving average; almost
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eliminates lag altogether and manages to improve smoothing at the same time.
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Sources:
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https://alanhull.com/hull-moving-average
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https://school.stockcharts.com/doku.php?id=technical_indicators:hull_moving_average
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WMA1 = WMA(n/2) of price
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WMA2 = WMA(n) of price
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Raw HMA = (2 * WMA1) - WMA2
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HMA = WMA(sqrt(n)) of Raw HMA
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</summary> */
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public class HMA_Series : TSeries {
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protected int _period, _period2, _psqrt;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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protected WMA_Series _wma1, _wma2, _wma3;
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//core constructors
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public HMA_Series(int period, bool useNaN) : base() {
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_period = period;
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_period2 = period /2;
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_psqrt = (int)Math.Sqrt(period);
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_NaN = useNaN;
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_wma1 = new(Math.Max(_period2,1), false);
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_wma2 = new(Math.Max(_period,1), false);
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_wma3 = new(Math.Max(_psqrt,1), useNaN);
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Name = $"HMA({period})";
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}
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public HMA_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(_data);
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}
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public HMA_Series() : this(period: 0, useNaN: false) { }
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public HMA_Series(int period) : this(period: period, useNaN: false) { }
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public HMA_Series(TBars source) : this(source.Close, 0, false) { }
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public HMA_Series(TBars source, int period) : this(source.Close, period, false) { }
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public HMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
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public HMA_Series(TSeries source) : this(source, 0, false) { }
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public HMA_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
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if (_period == 0) {
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_wma1.Len = this.Count / 2;
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_wma2.Len = this.Count;
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_wma1.Len = (int)Math.Sqrt(this.Count);
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}
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double _w1 = _wma1.Add(TValue, update).v;
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double _w2 = _wma2.Add(TValue, update).v;
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double _hma = _wma3.Add((2 * _w1) - _w2, update).v;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _hma);
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return base.Add(res, update);
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}
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public new (DateTime t, double v) Add((DateTime t, double v) TValue) {
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return Add(TValue, false);
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TValue: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TValue: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset() {
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_wma1.Reset();
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_wma2.Reset();
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_wma3.Reset();
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}
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} |