macos dev update

mihakralj · Oct 27, 2024 · c21b961 · c21b961
1 parent e4f718a
commit c21b961
Show file tree

Hide file tree

Showing 28 changed files with 458 additions and 345 deletions.
diff --git a/Directory.Build.props b/Directory.Build.props
@@ -51,9 +51,7 @@
     <PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
   </ItemGroup>
 
-  <PropertyGroup Condition="'$(IsLocalBuild)' == 'true'">
-
-<!-- Set the correct path to Quantower here -->
+  <PropertyGroup Condition="'$(IsLocalBuild)' == 'true' AND $([MSBuild]::IsOSPlatform('Windows'))">
     <QuantowerRoot>D:\Quantower</QuantowerRoot>
     <QuantowerPath>$([System.IO.Directory]::GetDirectories("$(QuantowerRoot)\TradingPlatform", "v1*")[0])</QuantowerPath>
   </PropertyGroup>

diff --git a/Tests/test_eventing.cs b/Tests/test_eventing.cs
@@ -51,6 +51,12 @@ public void EventBasedCalculations()
             ("Tema", new Tema(p), new Tema(input, p)),
             ("Kama", new Kama(2, 30, 6), new Kama(input, 2, 30, 6)),
             ("Zlema", new Zlema(p), new Zlema(input, p)),
+            // oscillators
+            ("Rsi", new Rsi(p), new Rsi(input, p)),
+            ("Rsx", new Rsx(p), new Rsx(input, p)),
+            ("Cmo", new Cmo(p), new Cmo(input, p)),
+            // volatility
+            ("Rv", new Rv(p), new Rv(input, p)),
             // error classes
             ("Mae", new Mae(p), new Mae(input, p)),
             ("Mapd", new Mapd(p), new Mapd(input, p)),
@@ -67,7 +73,7 @@ public void EventBasedCalculations()
             ("Rse", new Rse(p), new Rse(input, p)),
             ("Smape", new Smape(p), new Smape(input, p)),
             ("Rsquared", new Rsquared(p), new Rsquared(input, p)),
-            ("Huberloss", new Huberloss(p), new Huberloss(input, p))
+            ("Huber", new Huber(p), new Huber(input, p))
         };
 
         // Generate 200 random values and feed them to both direct and event-based indicators

diff --git a/Tests/test_updates_errors.cs b/Tests/test_updates_errors.cs
@@ -20,7 +20,7 @@ private double GetRandomDouble()
     [Fact]
     public void Huberloss_Update()
     {
-        var indicator = new Huberloss(period: 14);
+        var indicator = new Huber(period: 14);
         double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
 
         for (int i = 0; i < RandomUpdates; i++)

diff --git a/Tests/test_updates_volatility.cs b/Tests/test_updates_volatility.cs
@@ -45,7 +45,7 @@ public void Atr_Update()
     [Fact]
     public void Historical_Update()
     {
-        var indicator = new Historical(period: 14);
+        var indicator = new Hv(period: 14);
         double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
 
         for (int i = 0; i < RandomUpdates; i++)
@@ -60,7 +60,7 @@ public void Historical_Update()
     [Fact]
     public void Realized_Update()
     {
-        var indicator = new Realized(period: 14);
+        var indicator = new Rv(period: 14);
         double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
 
         for (int i = 0; i < RandomUpdates; i++)

diff --git a/docs/_sidebar.md b/docs/_sidebar.md
@@ -1,5 +1,8 @@
 
 * [Home](/)
+
+[JMA](indicators/averages/jma/calc.md)
+
 * Introduction
    * [Overview]()
    * [Features]()

diff --git a/docs/indicators/averages/jma/calc.md b/docs/indicators/averages/jma/calc.md
@@ -0,0 +1,48 @@
+# JMA Calculation
+
+### Initial Parameters:
+
+$\beta = factor \cdot \frac{period - 1}{factor \cdot (period - 1) + 2}$
+
+$len1 = \frac{\ln(\sqrt{period - 1})}{\ln(2)} + 2$
+
+$pow1 = \max(len1 - 2, 0.5)$
+
+$phase \in [0.5, 2.5]$ (clamped to $(phase \cdot 0.01) + 1.5$)
+
+### Volatility Calculations:
+
+$del1_t = price_t - upperBand_{t-1}$
+
+$del2_t = price_t - lowerBand_{t-1}$
+
+$volty_t = \max(|del1_t|, |del2_t|)$
+
+$vSum_t = \frac{\sum_{i=t-buffer+1}^t volty_i}{buffer}$
+
+$avgVolty_t = \text{mean}(vSum_{t-64:t})$
+
+$rVolty_t = \text{clamp}(\frac{volty_t}{avgVolty_t}, 1, len1^{1/pow1})$
+
+### Band Calculations:
+
+$pow2_t = rVolty_t^{pow1}$
+
+$K_v = \beta^{\sqrt{pow2_t}}$
+
+
+$upperBand_t = price_t - K_v \cdot del1_t$
+
+
+
+$\alpha_t = \beta^{pow2_t}$
+
+$ma1_t = price_t + \alpha_t(ma1_{t-1} - price_t)$
+
+$det0_t = price_t + \beta(det0_{t-1} - price_t + ma1_t) - ma1_t$
+
+$ma2_t = ma1_t + phase \cdot det0_t$
+
+$det1_t = (ma2_t - jma_{t-1})(1-\alpha_t)^2 + \alpha_t^2 \cdot det1_{t-1}$
+
+$jma_t = jma_{t-1} + det1_t$