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Basic.cs
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Basic.cs
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//==============================================================================
// Project: TuringTrader, simulator core v2
// Name: Indicators/Basic
// Description: Basic indicators.
// History: 2022xi02, FUB, created
//------------------------------------------------------------------------------
// Copyright: (c) 2011-2023, Bertram Enterprises LLC dba TuringTrader.
// https://www.turingtrader.org
// License: This file is part of TuringTrader, an open-source backtesting
// engine/ trading simulator.
// TuringTrader is free software: you can redistribute it and/or
// modify it under the terms of the GNU Affero General Public
// License as published by the Free Software Foundation, either
// version 3 of the License, or (at your option) any later version.
// TuringTrader is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.See the
// GNU Affero General Public License for more details.
// You should have received a copy of the GNU Affero General Public
// License along with TuringTrader. If not, see
// https://www.gnu.org/licenses/agpl-3.0.
//==============================================================================
using System;
using System.Collections.Generic;
using System.Linq;
using System.Threading.Tasks;
namespace TuringTrader.SimulatorV2.Indicators
{
/// <summary>
/// Collection of basic indicators.
/// </summary>
public static class Basic
{
#region Const
/// <summary>
/// Create time series with constant value.
/// </summary>
/// <param name="series">parent series</param>
/// <param name="value">value</param>
/// <returns>time series</returns>
public static TimeSeriesFloat Const(this TimeSeriesFloat series, double value)
=> series.Owner.Const(value);
/// <summary>
/// Create time series with constant value.
/// </summary>
/// <param name="algo">parent algorithm</param>
/// <param name="value">value</param>
/// <returns>time series</returns>
public static TimeSeriesFloat Const(this Algorithm algo, double value)
{
var name = string.Format("Const({0})", value);
return algo.ObjectCache.Fetch(
name,
() =>
{
var data = algo.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var dst = new List<BarType<double>>();
foreach (var t in algo.TradingCalendar.TradingDays)
{
dst.Add(new BarType<double>(
t,
value));
}
return dst;
}));
return new TimeSeriesFloat(algo, name, data);
});
}
#endregion
#region Delay
/// <summary>
/// Delay time series.
/// </summary>
/// <param name="series">input series</param>
/// <param name="n">delay</param>
/// <returns>delayed time series</returns>
public static TimeSeriesFloat Delay(this TimeSeriesFloat series, int n)
{
var name = string.Format("{0}.Delay({1})", series.Name, n);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
for (int idx = 0; idx < src.Count; idx++)
{
var srcIdx = Math.Max(0, idx - n);
dst.Add(new BarType<double>(
src[idx].Date,
src[srcIdx].Value));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Highest
/// <summary>
/// Return highest value in given period.
/// </summary>
/// <param name="series">input series</param>
/// <param name="n">observation period</param>
/// <returns>time series of highest values</returns>
public static TimeSeriesFloat Highest(this TimeSeriesFloat series, int n)
{
var name = string.Format("{0}.Highest({1})", series.Name, n);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
var window = new Queue<double>();
for (var i = 0; i < n; i++)
window.Enqueue(src[0].Value);
for (int idx = 0; idx < src.Count; idx++)
{
window.Enqueue(src[idx].Value);
window.Dequeue();
dst.Add(new BarType<double>(
src[idx].Date,
window.Max(w => w)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Lowest
/// <summary>
/// Return lowest value in given period.
/// </summary>
/// <param name="series">input series</param>
/// <param name="n">observation period</param>
/// <returns>time series of highest values</returns>
public static TimeSeriesFloat Lowest(this TimeSeriesFloat series, int n)
{
var name = string.Format("{0}.Lowest({1})", series.Name, n);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
var window = new Queue<double>();
for (var i = 0; i < n; i++)
window.Enqueue(src[0].Value);
for (int idx = 0; idx < src.Count; idx++)
{
window.Enqueue(src[idx].Value);
window.Dequeue();
dst.Add(new BarType<double>(
src[idx].Date,
window.Min(w => w)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Range
/// <summary>
/// Return value range in given period.
/// </summary>
/// <param name="series">input series</param>
/// <param name="n">observation period</param>
/// <returns>time series of range values</returns>
public static TimeSeriesFloat Range(this TimeSeriesFloat series, int n)
{
var name = string.Format("{0}.Range({1})", series.Name, n);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
var window = new Queue<double>();
for (var i = 0; i < n; i++)
window.Enqueue(src[0].Value);
for (int idx = 0; idx < src.Count; idx++)
{
window.Enqueue(src[idx].Value);
window.Dequeue();
dst.Add(new BarType<double>(
src[idx].Date,
window.Max(w => w) - window.Min(w => w)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region AbsReturn
/// <summary>
/// Calculate absolute return as r = v[0] - v[1].
/// </summary>
/// <param name="series">input series</param>
/// <returns>time series of absolute returns</returns>
public static TimeSeriesFloat AbsReturn(this TimeSeriesFloat series)
{
var name = string.Format("{0}.AbsReturn", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
var prev = src[0].Value;
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
it.Value - prev));
prev = it.Value;
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region RelReturn
/// <summary>
/// Return relative return, calculated as r = v[0] / v[1] - 1.
/// </summary>
/// <param name="series">input series</param>
/// <returns>time series of linear returns</returns>
public static TimeSeriesFloat RelReturn(this TimeSeriesFloat series)
{
var name = string.Format("{0}.RelReturn", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
var prev = src[0].Value;
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
it.Value / prev - 1.0));
prev = it.Value;
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region LogReturn
/// <summary>
/// Calculate logarithmic return as r = log(v[0] / v[1]).
/// </summary>
/// <param name="series">input series</param>
/// <returns>time series of log returns</returns>
public static TimeSeriesFloat LogReturn(this TimeSeriesFloat series)
{
var name = string.Format("{0}.LogReturn", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
var prev = src[0].Value;
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
Math.Log(it.Value / prev)));
prev = it.Value;
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region AbsValue
/// <summary>
/// Calculate absolute value of time series.
/// </summary>
/// <param name="series">input series</param>
/// <returns>time series of absolute values</returns>
public static TimeSeriesFloat AbsValue(this TimeSeriesFloat series)
{
var name = string.Format("{0}.AbsValue", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
Math.Abs(it.Value)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Square
/// <summary>
/// Calculate square of time series.
/// </summary>
/// <param name="series">input series</param>
/// <returns>squared time series</returns>
public static TimeSeriesFloat Square(this TimeSeriesFloat series)
{
var name = string.Format("{0}.Square", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
it.Value * it.Value));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Sqrt
/// <summary>
/// Calculate square root of time series.
/// </summary>
/// <param name="series">input series</param>
/// <returns>square root time series</returns>
public static TimeSeriesFloat Sqrt(this TimeSeriesFloat series)
{
var name = string.Format("{0}.Sqrt", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
Math.Sqrt(it.Value)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Log
/// <summary>
/// Calculate natural logarithm of time series.
/// </summary>
/// <param name="series">input series</param>
/// <returns>log time series</returns>
public static TimeSeriesFloat Log(this TimeSeriesFloat series)
{
var name = string.Format("{0}.Log", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
Math.Log(it.Value)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
#region Exp
/// <summary>
/// Calculate exp of time series.
/// </summary>
/// <param name="series">input series</param>
/// <returns>exp time series</returns>
public static TimeSeriesFloat Exp(this TimeSeriesFloat series)
{
var name = string.Format("{0}.Sqrt", series.Name);
return series.Owner.ObjectCache.Fetch(
name,
() =>
{
var data = series.Owner.DataCache.Fetch(
name,
() => Task.Run(() =>
{
var src = series.Data;
var dst = new List<BarType<double>>();
foreach (var it in src)
{
dst.Add(new BarType<double>(
it.Date,
Math.Exp(it.Value)));
}
return dst;
}));
return new TimeSeriesFloat(series.Owner, name, data);
});
}
#endregion
}
}
//==============================================================================
// end of file