public double Update(double x, double y)
{
xData.Insert(x);
yData.Insert(y);
return(Value);
}
public void CircularBuffer_InsertNotAtBack_IsRejected()
{
CircularBuffer <int> q = new CircularBuffer <int>(5)
{
1, 2, 3, 4, 5
};
q.Insert(0, 13);
}
public int Repeat(int times, int step)
{
for (var i = 1; i <= times; i++)
{
_buffer.StepForward(step);
_buffer.Insert(i);
}
return(_buffer.ValueAt(_buffer.CurrentPosition + 1));
}
public void CircularBuffer_InsertAtBack_OverwritesOldElements()
{
CircularBuffer <int> q = new CircularBuffer <int>(5)
{
1, 2, 3, 4, 5
};
q.Insert(5, 13);
Assert.AreEqual(5, q.Count, "CircularBuffer should remember its items");
Assert.IsTrue(q.SequenceEqual(new[] { 2, 3, 4, 5, 13 }), "CircularBuffer should remember its items");
}
public void CircularBuffer_InsertAtBack_MaintainsOrder()
{
CircularBuffer <int> q = new CircularBuffer <int>(8)
{
1, 2, 3, 4, 5
};
q.Insert(5, 13);
Assert.AreEqual(6, q.Count, "CircularBuffer should remember its items");
Assert.IsTrue(q.SequenceEqual(new[] { 1, 2, 3, 4, 5, 13 }), "CircularBuffer should remember its items");
}
public static double[] GetSharpe(double[] prices, int numDaysReturns, bool useBPReturns, int SharpeWindow,
int annualisationFactor, bool returnZScore, int ZWindow, bool exponentialSharpe)
{
double[] ret = CalculateReturns(prices, numDaysReturns, useBPReturns);
int nRet = prices.Length;
CircularBuffer <double> returns = new CircularBuffer <double>(SharpeWindow);
CircularBuffer <double> sharpes = new CircularBuffer <double>(ZWindow);
double decayFactor = 1 - 2.0 / (SharpeWindow + 1);
EMA r_ema = new EMA(decayFactor);
EWVol v_ema = new EWVol(decayFactor);
for (int i = 0; i < nRet; ++i)
{
returns.Insert(ret[i]);
if (returns.Full)
{
double sharpe = 0;
if (!exponentialSharpe)
{
double r_t = (prices[i] - prices[i - SharpeWindow + 1]) / prices[i - SharpeWindow + 1] / SharpeWindow;
sharpe = r_t / returns.SD() * Math.Sqrt(annualisationFactor);
}
else
{
r_ema.Update(ret[i]);
v_ema.Update(ret[i]);
sharpe = r_ema.Value / v_ema.Value * Math.Sqrt(annualisationFactor);
}
sharpes.Insert(sharpe);
}
}
double[] r = new double[2];
r[0] = sharpes.Last();
r[1] = sharpes.Last() / sharpes.SD();
return(r);
}
public void UpdateData(ReadOnlySpan <byte> data, uint ts)
{
DataLength = (uint)data.Length;
data.CopyTo(this.data);
Delta = ts - TimeStamp;
DeltaBuffer.Insert(Delta);
TimeStamp = ts;
RaisePropertyChanged(nameof(TimeStamp));
RaisePropertyChanged(nameof(Data));
RaisePropertyChanged(nameof(DataLength));
RaisePropertyChanged(nameof(Delta));
uint elapsed = ts - lastPrintTime;
if (elapsed >= TimeSpan.FromMilliseconds(500).TotalMilliseconds * 1000)
{
RaisePropertyChanged(nameof(SmoothDelta));
lastPrintTime = ts;
}
}
public void insert(int index, object item)
{
_buffer.Insert(index, item);
}
public void Update(double r)
{
R_t.Insert(r);
}
public void UsageExample()
{
// Create a buffer with a capacity of 5 items.
var buffer = new CircularBuffer <long>(5);
// Add three.
foreach (var i in Enumerable.Range(1, 3))
{
buffer.Enqueue(i);
}
Debug.WriteLine(buffer);
// Capacity=5, Count=3, Buffer=[1,2,3]
// Add three more.
foreach (var i in Enumerable.Range(4, 3))
{
buffer.Enqueue(i);
}
Debug.WriteLine(buffer);
// Capacity=5, Count=5, Buffer=[2,3,4,5,6]
// Remove the third.
var value = buffer[3];
buffer.RemoveAt(3);
Debug.WriteLine(buffer);
// Capacity=5, Count=4, Buffer=[2,3,4,6]
// Re-insert it.
buffer.Insert(3, value);
Debug.WriteLine(buffer);
// Capacity=5, Count=5, Buffer=[2,3,4,5,6]
// Dequeue.
Debug.Print("Value = {0}", buffer.Dequeue());
// Value = 2
Debug.WriteLine(buffer);
// Capacity=5, Count=4, Buffer=[3,4,5,6]
// Increase the capacity.
buffer.Capacity = 6;
Debug.WriteLine(buffer);
// Capacity=6, Count=4, Buffer=[3,4,5,6]
// Add three more.
foreach (var i in Enumerable.Range(7, 3))
{
buffer.Enqueue(i);
}
Debug.WriteLine(buffer);
// Capacity=6, Count=6, Buffer=[4,5,6,7,8,9]
// Reduce the capacity.
buffer.Capacity = 4;
Debug.WriteLine(buffer);
// Capacity=4, Count=4, Buffer=[4,5,6,7]
// Clear the buffer.
buffer.Clear();
Debug.WriteLine(buffer);
// Capacity=4, Count=0, Buffer=[]
}
public void UsageExample()
{
// Create a buffer with a capacity of 5 items.
var buffer = new CircularBuffer<long>(5);
// Add three.
foreach (var i in Enumerable.Range(1, 3))
buffer.Enqueue(i);
Debug.WriteLine(buffer);
// Capacity=5, Count=3, Buffer=[1,2,3]
// Add three more.
foreach (var i in Enumerable.Range(4, 3))
buffer.Enqueue(i);
Debug.WriteLine(buffer);
// Capacity=5, Count=5, Buffer=[2,3,4,5,6]
// Remove the third.
var value = buffer[3];
buffer.RemoveAt(3);
Debug.WriteLine(buffer);
// Capacity=5, Count=4, Buffer=[2,3,4,6]
// Re-insert it.
buffer.Insert(3, value);
Debug.WriteLine(buffer);
// Capacity=5, Count=5, Buffer=[2,3,4,5,6]
// Dequeue.
Debug.Print("Value = {0}", buffer.Dequeue());
// Value = 2
Debug.WriteLine(buffer);
// Capacity=5, Count=4, Buffer=[3,4,5,6]
// Increase the capacity.
buffer.Capacity = 6;
Debug.WriteLine(buffer);
// Capacity=6, Count=4, Buffer=[3,4,5,6]
// Add three more.
foreach (var i in Enumerable.Range(7, 3))
buffer.Enqueue(i);
Debug.WriteLine(buffer);
// Capacity=6, Count=6, Buffer=[4,5,6,7,8,9]
// Reduce the capacity.
buffer.Capacity = 4;
Debug.WriteLine(buffer);
// Capacity=4, Count=4, Buffer=[4,5,6,7]
// Clear the buffer.
buffer.Clear();
Debug.WriteLine(buffer);
// Capacity=4, Count=0, Buffer=[]
}
