mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 04:27:43 +00:00
Miha Kralj
164 lines
7.1 KiB
C#
164 lines
7.1 KiB
C#
namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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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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</summary> */
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public class T3_Series : TSeries {
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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 readonly bool _useSMA;
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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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protected int _len;
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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//core constructors
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public T3_Series(int period, double vfactor, bool useSMA, bool useNaN) : base() {
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_period = period;
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_len = 0;
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_NaN = useNaN;
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Name = $"T3({period})";
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_useSMA = useSMA;
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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 / (_period + 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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}
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public T3_Series(TSeries source, int period, double vfactor, bool useSMA, bool useNaN) : this(period, vfactor, useSMA, 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 T3_Series() : this(period: 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(int period) : this(period: period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source) : this(source.Close, 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source, int period) : this(source.Close, period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source, int period, bool useNaN) : this(source.Close, period, vfactor: 0.7, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TBars source, int period, double vfactor, bool useNaN) : this(source.Close, period, vfactor: vfactor, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TBars source, int period, bool useSMA, bool useNaN) : this(source.Close, period, vfactor: 0.7, useSMA: useSMA, useNaN: useNaN) { }
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public T3_Series(TSeries source) : this(source, 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period) : this(source: source, period: period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, vfactor: 0.7, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TSeries source, int period, double vfactor) : this(source: source, period: period, vfactor: vfactor, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period, double vfactor, bool useNaN) : this(source: source, period: period, vfactor: vfactor, useSMA: true, useNaN: useNaN) { }
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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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double _ema1, _ema2, _ema3, _ema4, _ema5, _ema6;
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if (double.IsNaN(TValue.v)) {
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return base.Add((TValue.t, Double.NaN),update);
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}
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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 (_len == 0) { _lastema1 = _lastema2 = _lastema3 = _lastema4 = _lastema5 = _lastema6 = TValue.v; }
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if ((_len < _period) && _useSMA) {
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BufferTrim(_buffer1, TValue.v, _period, 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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BufferTrim(_buffer2, _ema1, _period, 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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BufferTrim(_buffer3, _ema2, _period, 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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BufferTrim(_buffer4, _ema3, _period, 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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BufferTrim(_buffer5, _ema4, _period, 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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BufferTrim(_buffer6, _ema5, _period, 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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_len++;
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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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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _T3);
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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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_lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0;
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_buffer1.Clear();
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_buffer2.Clear();
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_buffer3.Clear();
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_buffer4.Clear();
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_buffer5.Clear();
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_buffer6.Clear();
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_len = 0;
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}
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} |