QuanTAlib/lib/statistics/ztest/Ztest.Quantower.cs

using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;

namespace QuanTAlib;

[SkipLocalsInit]
public sealed class ZtestIndicator : Indicator, IWatchlistIndicator
{
    [InputParameter("Period", sortIndex: 1, 2, 2000, 1, 0)]
    public int Period { get; set; } = 30;

    [InputParameter("Hypothesized Mean (μ₀)", sortIndex: 2)]
    public double Mu0 { get; set; } = 0.0;

    [IndicatorExtensions.DataSourceInput]
    public SourceType Source { get; set; } = SourceType.Close;

    [InputParameter("Show cold values", sortIndex: 21)]
    public bool ShowColdValues { get; set; } = true;

    private Ztest _ztest = null!;
    private readonly LineSeries _series;
    private Func<IHistoryItem, double> _priceSelector = null!;

    public static int MinHistoryDepths => 0;
    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;

    public override string ShortName => $"ZTEST({Period})";
    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/ztest/Ztest.Quantower.cs";

    public ZtestIndicator()
    {
        OnBackGround = true;
        SeparateWindow = true;
        Name = "ZTEST - One-Sample t-Test Statistic";
        Description = "Computes the t-statistic for a one-sample hypothesis test against a hypothesized mean";

        _series = new LineSeries(name: "t-stat", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
        AddLineSeries(_series);
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    protected override void OnInit()
    {
        _ztest = new Ztest(Period, Mu0);
        _priceSelector = Source.GetPriceSelector();
        base.OnInit();
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    protected override void OnUpdate(UpdateArgs args)
    {
        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
        double value = _priceSelector(item);
        var time = this.HistoricalData.Time();

        var input = new TValue(time, value);
        TValue result = _ztest.Update(input, args.IsNewBar());

        _series.SetValue(result.Value, _ztest.IsHot, ShowColdValues);
    }
}