mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 19:57:44 +00:00
Miha Kralj
b3a64f18fa
- Added Ztest class to compute the one-sample t-statistic using sample standard deviation with Bessel correction. - Implemented validation tests for Ztest to ensure accuracy against manual calculations and PineScript. - Updated documentation for Ztest, detailing its mathematical foundation, performance profile, and common pitfalls. - Adjusted NDepend badges to reflect changes in code metrics after implementation. - Updated missing indicators report to reflect the completion of statistical indicators, including ZTEST.
73 lines
2.6 KiB
C#
73 lines
2.6 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 JbIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 3, 2000, 1, 0)]
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public int Period { get; set; } = 20;
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[IndicatorExtensions.DataSourceInput]
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public SourceType Source { 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 Jb _jb = null!;
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private readonly LineSeries _series;
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private readonly LineSeries _crit10;
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private readonly LineSeries _crit05;
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private readonly LineSeries _crit01;
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private Func<IHistoryItem, double> _priceSelector = null!;
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public static int MinHistoryDepths => 0;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"JB {Period}";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/jb/Jb.Quantower.cs";
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public JbIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "JB - Jarque-Bera Test";
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Description = "Normality test using skewness and kurtosis. Large values reject normality.";
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_series = new LineSeries(name: "JB", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
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_crit10 = new LineSeries(name: "10%", color: Color.Gray, width: 1, style: LineStyle.Dash);
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_crit05 = new LineSeries(name: "5%", color: Color.Orange, width: 1, style: LineStyle.Dash);
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_crit01 = new LineSeries(name: "1%", color: Color.Red, width: 1, style: LineStyle.Solid);
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AddLineSeries(_series);
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AddLineSeries(_crit10);
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AddLineSeries(_crit05);
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AddLineSeries(_crit01);
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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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_jb = new Jb(Period);
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_priceSelector = Source.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 value = _priceSelector(item);
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var time = this.HistoricalData.Time();
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var input = new TValue(time, value);
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TValue result = _jb.Update(input, args.IsNewBar());
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_series.SetValue(result.Value, _jb.IsHot, ShowColdValues);
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_crit10.SetValue(4.605);
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_crit05.SetValue(5.991);
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_crit01.SetValue(9.210);
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}
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}
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