public static RetCode Tan(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx, out int outNbElement)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outReal == null)
{
return(RetCode.BadParam);
}
int outIdx = default;
for (int i = startIdx; i <= endIdx; i++)
{
outReal[outIdx++] = DecimalMath.Tan(inReal[i]);
}
outBegIdx = startIdx;
outNbElement = outIdx;
return(RetCode.Success);
}
private static void TA_INT_StdDevUsingPrecalcMA(decimal[] inReal, decimal[] inMovAvg, int inMovAvgBegIdx, int inMovAvgNbElement,
decimal[] outReal, int optInTimePeriod)
{
decimal tempReal;
int startSum = inMovAvgBegIdx + 1 - optInTimePeriod;
int endSum = inMovAvgBegIdx;
decimal periodTotal2 = default;
for (int outIdx = startSum; outIdx < endSum; outIdx++)
{
tempReal = inReal[outIdx];
tempReal *= tempReal;
periodTotal2 += tempReal;
}
for (var outIdx = 0; outIdx < inMovAvgNbElement; outIdx++, startSum++, endSum++)
{
tempReal = inReal[endSum];
tempReal *= tempReal;
periodTotal2 += tempReal;
decimal meanValue2 = periodTotal2 / optInTimePeriod;
tempReal = inReal[startSum];
tempReal *= tempReal;
periodTotal2 -= tempReal;
tempReal = inMovAvg[outIdx];
tempReal *= tempReal;
meanValue2 -= tempReal;
outReal[outIdx] = !TA_IsZeroOrNeg(meanValue2) ? DecimalMath.Sqrt(meanValue2) : Decimal.Zero;
}
}
public static RetCode LinearRegAngle(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx,
out int outNbElement, int optInTimePeriod = 14)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outReal == null || optInTimePeriod < 2 || optInTimePeriod > 100000)
{
return(RetCode.BadParam);
}
int lookbackTotal = LinearRegAngleLookback(optInTimePeriod);
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
return(RetCode.Success);
}
int outIdx = default;
int today = startIdx;
decimal sumX = optInTimePeriod * (optInTimePeriod - 1) * 0.5m;
decimal sumXSqr = optInTimePeriod * (optInTimePeriod - 1) * (optInTimePeriod * 2 - 1) / 6m;
decimal divisor = sumX * sumX - optInTimePeriod * sumXSqr;
while (today <= endIdx)
{
decimal sumXY = default;
decimal sumY = default;
for (int i = optInTimePeriod; i != 0; i--)
{
decimal tempValue1 = inReal[today - i];
sumY += tempValue1;
sumXY += i * tempValue1;
}
decimal m = (optInTimePeriod * sumXY - sumX * sumY) / divisor;
outReal[outIdx++] = DecimalMath.Atan(m) * 180m / DecimalMath.PI;
today++;
}
outBegIdx = startIdx;
outNbElement = outIdx;
return(RetCode.Success);
}
private static void TA_INT_StdDevUsingPrecalcMA(decimal[] inReal, decimal[] inMovAvg, int inMovAvgBegIdx, int inMovAvgNbElement,
int timePeriod, decimal[] output)
{
decimal tempReal;
int outIdx;
int startSum = inMovAvgBegIdx + 1 - timePeriod;
int endSum = inMovAvgBegIdx;
decimal periodTotal2 = default;
for (outIdx = startSum; outIdx < endSum; outIdx++)
{
tempReal = inReal[outIdx];
tempReal *= tempReal;
periodTotal2 += tempReal;
}
outIdx = 0;
while (outIdx < inMovAvgNbElement)
{
tempReal = inReal[endSum];
tempReal *= tempReal;
periodTotal2 += tempReal;
decimal meanValue2 = periodTotal2 / timePeriod;
tempReal = inReal[startSum];
tempReal *= tempReal;
periodTotal2 -= tempReal;
tempReal = inMovAvg[outIdx];
tempReal *= tempReal;
meanValue2 -= tempReal;
if (meanValue2 >= 1E-08m)
{
output[outIdx] = DecimalMath.Sqrt(meanValue2);
}
else
{
output[outIdx] = Decimal.Zero;
}
outIdx++;
startSum++;
endSum++;
}
}
public static RetCode StdDev(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx, out int outNbElement,
int optInTimePeriod = 5, decimal optInNbDev = 1m)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outReal == null || optInTimePeriod < 2 || optInTimePeriod > 100000)
{
return(RetCode.BadParam);
}
RetCode retCode = TA_INT_VAR(inReal, startIdx, endIdx, outReal, out outBegIdx, out outNbElement, optInTimePeriod);
if (retCode != RetCode.Success)
{
return(retCode);
}
if (optInNbDev != Decimal.One)
{
for (var i = 0; i < outNbElement; i++)
{
decimal tempReal = outReal[i];
outReal[i] = !TA_IsZeroOrNeg(tempReal) ? DecimalMath.Sqrt(tempReal) * optInNbDev : Decimal.Zero;
}
}
else
{
for (var i = 0; i < outNbElement; i++)
{
decimal tempReal = outReal[i];
outReal[i] = !TA_IsZeroOrNeg(tempReal) ? DecimalMath.Sqrt(tempReal) : Decimal.Zero;
}
}
return(RetCode.Success);
}
public static RetCode Cos(int startIdx, int endIdx, decimal[] inReal, ref int outBegIdx, ref int outNBElement, decimal[] outReal)
{
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return RetCode.OutOfRangeStartIndex;
}
if (inReal == null || outReal == null)
{
return RetCode.BadParam;
}
int outIdx = default;
for (int i = startIdx; i <= endIdx; i++)
{
outReal[outIdx++] = DecimalMath.Cos(inReal[i]);
}
outNBElement = outIdx;
outBegIdx = startIdx;
return RetCode.Success;
}
public static RetCode Correl(decimal[] inReal0, decimal[] inReal1, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx,
out int outNbElement, int optInTimePeriod = 30)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal0 == null || inReal1 == null || outReal == null || optInTimePeriod < 1 || optInTimePeriod > 100000)
{
return(RetCode.BadParam);
}
int lookbackTotal = CorrelLookback(optInTimePeriod);
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
return(RetCode.Success);
}
outBegIdx = startIdx;
int trailingIdx = startIdx - lookbackTotal;
decimal sumX, sumY, sumX2, sumY2;
decimal sumXY = sumX = sumY = sumX2 = sumY2 = default;
int today;
for (today = trailingIdx; today <= startIdx; today++)
{
decimal x = inReal0[today];
sumX += x;
sumX2 += x * x;
decimal y = inReal1[today];
sumXY += x * y;
sumY += y;
sumY2 += y * y;
}
decimal trailingX = inReal0[trailingIdx];
decimal trailingY = inReal1[trailingIdx++];
decimal tempReal = (sumX2 - sumX * sumX / optInTimePeriod) * (sumY2 - sumY * sumY / optInTimePeriod);
outReal[0] = !TA_IsZeroOrNeg(tempReal) ? (sumXY - sumX * sumY / optInTimePeriod) / DecimalMath.Sqrt(tempReal) : Decimal.Zero;
int outIdx = 1;
while (today <= endIdx)
{
sumX -= trailingX;
sumX2 -= trailingX * trailingX;
sumXY -= trailingX * trailingY;
sumY -= trailingY;
sumY2 -= trailingY * trailingY;
decimal x = inReal0[today];
sumX += x;
sumX2 += x * x;
decimal y = inReal1[today++];
sumXY += x * y;
sumY += y;
sumY2 += y * y;
trailingX = inReal0[trailingIdx];
trailingY = inReal1[trailingIdx++];
tempReal = (sumX2 - sumX * sumX / optInTimePeriod) * (sumY2 - sumY * sumY / optInTimePeriod);
outReal[outIdx++] = !TA_IsZeroOrNeg(tempReal)
? (sumXY - sumX * sumY / optInTimePeriod) / DecimalMath.Sqrt(tempReal)
: Decimal.Zero;
}
outNbElement = outIdx;
return(RetCode.Success);
}
public static RetCode HtDcPhase(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx, out int outNbElement)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return RetCode.OutOfRangeStartIndex;
}
if (inReal == null || outReal == null)
{
return RetCode.BadParam;
}
int lookbackTotal = HtDcPhaseLookback();
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
return RetCode.Success;
}
const int smoothPriceSize = 50;
var smoothPrice = new decimal[smoothPriceSize];
const decimal rad2Deg = 180m / DecimalMath.PI;
const decimal constDeg2RadBy360 = 2m * DecimalMath.PI;
outBegIdx = startIdx;
int trailingWMAIdx = startIdx - lookbackTotal;
int today = trailingWMAIdx;
decimal tempReal = inReal[today++];
decimal periodWMASub = tempReal;
decimal periodWMASum = tempReal;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 2m;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 3m;
decimal trailingWMAValue = default;
var i = 34;
do
{
tempReal = inReal[today++];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, tempReal, out _);
} while (--i != 0);
int hilbertIdx = default;
int smoothPriceIdx = default;
var hilbertVariables = InitHilbertVariables<decimal>();
int outIdx = default;
decimal prevI2, prevQ2, re, im, i1ForOddPrev3, i1ForEvenPrev3, i1ForOddPrev2, i1ForEvenPrev2, smoothPeriod, dcPhase;
decimal period = prevI2 = prevQ2 =
re = im = i1ForOddPrev3 = i1ForEvenPrev3 = i1ForOddPrev2 = i1ForEvenPrev2 = smoothPeriod = dcPhase = default;
while (today <= endIdx)
{
decimal i2;
decimal q2;
decimal adjustedPrevPeriod = 0.075m * period + 0.54m;
decimal todayValue = inReal[today];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue,
todayValue, out var smoothedValue);
smoothPrice[smoothPriceIdx] = smoothedValue;
if (today % 2 == 0)
{
DoHilbertEven(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jI", i1ForEvenPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
if (++hilbertIdx == 3)
{
hilbertIdx = 0;
}
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForEvenPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForOddPrev3 = i1ForOddPrev2;
i1ForOddPrev2 = hilbertVariables["detrender"];
}
else
{
DoHilbertOdd(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jI", i1ForOddPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForOddPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForEvenPrev3 = i1ForEvenPrev2;
i1ForEvenPrev2 = hilbertVariables["detrender"];
}
re = 0.2m * (i2 * prevI2 + q2 * prevQ2) + 0.8m * re;
im = 0.2m * (i2 * prevQ2 - q2 * prevI2) + 0.8m * im;
prevQ2 = q2;
prevI2 = i2;
tempReal = period;
if (im != Decimal.Zero && re != Decimal.Zero)
{
period = 360m / (DecimalMath.Atan(im / re) * rad2Deg);
}
decimal tempReal2 = 1.5m * tempReal;
if (period > tempReal2)
{
period = tempReal2;
}
tempReal2 = 0.67m * tempReal;
if (period < tempReal2)
{
period = tempReal2;
}
if (period < 6m)
{
period = 6m;
}
else if (period > 50m)
{
period = 50m;
}
period = 0.2m * period + 0.8m * tempReal;
smoothPeriod = 0.33m * period + 0.67m * smoothPeriod;
decimal dcPeriod = smoothPeriod + 0.5m;
int dcPeriodInt = (int) dcPeriod;
decimal realPart = default;
decimal imagPart = default;
int idx = smoothPriceIdx;
for (i = 0; i < dcPeriodInt; i++)
{
tempReal = i * constDeg2RadBy360 / dcPeriodInt;
tempReal2 = smoothPrice[idx];
realPart += DecimalMath.Sin(tempReal) * tempReal2;
imagPart += DecimalMath.Cos(tempReal) * tempReal2;
if (idx == 0)
{
idx = smoothPriceSize - 1;
}
else
{
idx--;
}
}
tempReal = Math.Abs(imagPart);
if (tempReal > Decimal.Zero)
{
dcPhase = DecimalMath.Atan(realPart / imagPart) * rad2Deg;
}
else if (tempReal <= 0.01m)
{
if (realPart < Decimal.Zero)
{
dcPhase -= 90m;
}
else if (realPart > Decimal.Zero)
{
dcPhase += 90m;
}
}
dcPhase += 90m;
dcPhase += 360m / smoothPeriod;
if (imagPart < Decimal.Zero)
{
dcPhase += 180m;
}
if (dcPhase > 315m)
{
dcPhase -= 360m;
}
if (today >= startIdx)
{
outReal[outIdx++] = dcPhase;
}
if (++smoothPriceIdx > smoothPriceSize - 1)
{
smoothPriceIdx = 0;
}
today++;
}
outNbElement = outIdx;
return RetCode.Success;
}
public static RetCode Mama(decimal[] inReal, int startIdx, int endIdx, decimal[] outMama, decimal[] outFama, out int outBegIdx,
out int outNbElement, decimal optInFastLimit = 0.5m, decimal optInSlowLimit = 0.05m)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outMama == null || outFama == null || optInFastLimit < 0.01m || optInFastLimit > 0.99m ||
optInSlowLimit < 0.01m || optInSlowLimit > 0.99m)
{
return(RetCode.BadParam);
}
int lookbackTotal = MamaLookback();
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
return(RetCode.Success);
}
const decimal rad2Deg = 180m / DecimalMath.PI;
outBegIdx = startIdx;
int trailingWMAIdx = startIdx - lookbackTotal;
int today = trailingWMAIdx;
decimal tempReal = inReal[today++];
decimal periodWMASub = tempReal;
decimal periodWMASum = tempReal;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 2m;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 3m;
decimal trailingWMAValue = default;
int i = 9;
do
{
tempReal = inReal[today];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, tempReal, out _);
} while (--i != 0);
int hilbertIdx = default;
var hilbertVariables = InitHilbertVariables <decimal>();
int outIdx = default;
decimal prevI2, prevQ2, re, im, mama, fama, i1ForOddPrev3, i1ForEvenPrev3, i1ForOddPrev2, i1ForEvenPrev2, prevPhase;
decimal period = prevI2 = prevQ2
= re = im = mama = fama = i1ForOddPrev3 = i1ForEvenPrev3 = i1ForOddPrev2 = i1ForEvenPrev2 = prevPhase = default;
while (today <= endIdx)
{
decimal tempReal2;
decimal i2;
decimal q2;
decimal adjustedPrevPeriod = 0.075m * period + 0.54m;
decimal todayValue = inReal[today];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue,
todayValue, out var smoothedValue);
if (today % 2 == 0)
{
DoHilbertEven(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jI", i1ForEvenPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
if (++hilbertIdx == 3)
{
hilbertIdx = 0;
}
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForEvenPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForOddPrev3 = i1ForOddPrev2;
i1ForOddPrev2 = hilbertVariables["detrender"];
if (i1ForEvenPrev3 != Decimal.Zero)
{
tempReal2 = DecimalMath.Atan(hilbertVariables["q1"] / i1ForEvenPrev3) * rad2Deg;
}
else
{
tempReal2 = Decimal.Zero;
}
}
else
{
DoHilbertOdd(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jI", i1ForOddPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForOddPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForEvenPrev3 = i1ForEvenPrev2;
i1ForEvenPrev2 = hilbertVariables["detrender"];
if (i1ForOddPrev3 != Decimal.Zero)
{
tempReal2 = DecimalMath.Atan(hilbertVariables["q1"] / i1ForOddPrev3) * rad2Deg;
}
else
{
tempReal2 = Decimal.Zero;
}
}
tempReal = prevPhase - tempReal2;
prevPhase = tempReal2;
if (tempReal < Decimal.One)
{
tempReal = Decimal.One;
}
if (tempReal > Decimal.One)
{
tempReal = optInFastLimit / tempReal;
if (tempReal < optInSlowLimit)
{
tempReal = optInSlowLimit;
}
}
else
{
tempReal = optInFastLimit;
}
mama = tempReal * todayValue + (Decimal.One - tempReal) * mama;
tempReal *= 0.5m;
fama = tempReal * mama + (Decimal.One - tempReal) * fama;
if (today >= startIdx)
{
outMama[outIdx] = mama;
outFama[outIdx] = fama;
outIdx++;
}
re = 0.2m * (i2 * prevI2 + q2 * prevQ2) + 0.8m * re;
im = 0.2m * (i2 * prevQ2 - q2 * prevI2) + 0.8m * im;
prevQ2 = q2;
prevI2 = i2;
tempReal = period;
if (im != Decimal.Zero && re != Decimal.Zero)
{
period = 360m / (DecimalMath.Atan(im / re) * rad2Deg);
}
tempReal2 = 1.5m * tempReal;
if (period > tempReal2)
{
period = tempReal2;
}
tempReal2 = 0.67m * tempReal;
if (period < tempReal2)
{
period = tempReal2;
}
if (period < 6m)
{
period = 6m;
}
else if (period > 50m)
{
period = 50m;
}
period = 0.2m * period + 0.8m * tempReal;
today++;
}
outNbElement = outIdx;
return(RetCode.Success);
}
public static RetCode HtPhasor(int startIdx, int endIdx, decimal[] inReal, ref int outBegIdx, ref int outNBElement,
decimal[] outInPhase, decimal[] outQuadrature)
{
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outInPhase == null || outQuadrature == null)
{
return(RetCode.BadParam);
}
int lookbackTotal = HtPhasorLookback();
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
outBegIdx = 0;
outNBElement = 0;
return(RetCode.Success);
}
const decimal rad2Deg = 180m / DecimalMath.PI;
outBegIdx = startIdx;
int trailingWMAIdx = startIdx - lookbackTotal;
int today = trailingWMAIdx;
decimal tempReal = inReal[today++];
decimal periodWMASub = tempReal;
decimal periodWMASum = tempReal;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 2m;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 3m;
decimal trailingWMAValue = default;
int i = 9;
do
{
tempReal = inReal[today++];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, out var _, tempReal);
} while (--i != 0);
int hilbertIdx = default;
var hilbertVariables = InitHilbertVariables <decimal>();
int outIdx = default;
decimal prevI2, prevQ2, re, im, i1ForOddPrev3, i1ForEvenPrev3, i1ForOddPrev2, i1ForEvenPrev2, smoothPeriod;
decimal period = prevI2 = prevQ2 =
re = im = i1ForOddPrev3 = i1ForEvenPrev3 = i1ForOddPrev2 = i1ForEvenPrev2 = smoothPeriod = default;
while (today <= endIdx)
{
decimal i2;
decimal q2;
decimal adjustedPrevPeriod = 0.075m * period + 0.54m;
decimal todayValue = inReal[today];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, out var smoothedValue,
todayValue);
if (today % 2 == 0)
{
DoHilbertEven(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
if (today >= startIdx)
{
outQuadrature[outIdx] = hilbertVariables["q1"];
outInPhase[outIdx++] = i1ForEvenPrev3;
}
DoHilbertEven(hilbertVariables, "jI", i1ForEvenPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
if (++hilbertIdx == 3)
{
hilbertIdx = 0;
}
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForEvenPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForOddPrev3 = i1ForOddPrev2;
i1ForOddPrev2 = hilbertVariables["detrender"];
}
else
{
DoHilbertOdd(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
if (today >= startIdx)
{
outQuadrature[outIdx] = hilbertVariables["q1"];
outInPhase[outIdx++] = i1ForOddPrev3;
}
DoHilbertOdd(hilbertVariables, "jI", i1ForEvenPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
if (++hilbertIdx == 3)
{
hilbertIdx = 0;
}
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForEvenPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForEvenPrev3 = i1ForEvenPrev2;
i1ForEvenPrev2 = hilbertVariables["detrender"];
}
re = 0.2m * (i2 * prevI2 + q2 * prevQ2) + 0.8m * re;
im = 0.2m * (i2 * prevQ2 - q2 * prevI2) + 0.8m * im;
prevQ2 = q2;
prevI2 = i2;
tempReal = period;
if (im != Decimal.Zero && re != Decimal.Zero)
{
period = 360m / (DecimalMath.Atan(im / re) * rad2Deg);
}
decimal tempReal2 = 1.5m * tempReal;
if (period > tempReal2)
{
period = tempReal2;
}
tempReal2 = 0.67m * tempReal;
if (period < tempReal2)
{
period = tempReal2;
}
if (period < 6m)
{
period = 6m;
}
else if (period > 50m)
{
period = 50m;
}
period = 0.2m * period + 0.8m * tempReal;
today++;
}
outNBElement = outIdx;
return(RetCode.Success);
}
public static RetCode HtTrendline(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx,
out int outNbElement)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outReal == null)
{
return(RetCode.BadParam);
}
int lookbackTotal = HtTrendlineLookback();
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
return(RetCode.Success);
}
const int smoothPriceSize = 50;
var smoothPrice = new decimal[smoothPriceSize];
decimal iTrend2, iTrend1;
decimal iTrend3 = iTrend2 = iTrend1 = default;
const decimal rad2Deg = 180m / DecimalMath.PI;
outBegIdx = startIdx;
int trailingWMAIdx = startIdx - lookbackTotal;
int today = trailingWMAIdx;
decimal tempReal = inReal[today++];
decimal periodWMASub = tempReal;
decimal periodWMASum = tempReal;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 2m;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 3m;
decimal trailingWMAValue = default;
var i = 34;
do
{
tempReal = inReal[today++];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, tempReal, out _);
} while (--i != 0);
int hilbertIdx = default;
int smoothPriceIdx = default;
var hilbertVariables = InitHilbertVariables <decimal>();
int outIdx = default;
decimal prevI2, prevQ2, re, im, i1ForOddPrev3, i1ForEvenPrev3, i1ForOddPrev2, i1ForEvenPrev2, smoothPeriod;
decimal period = prevI2 = prevQ2 =
re = im = i1ForOddPrev3 = i1ForEvenPrev3 = i1ForOddPrev2 = i1ForEvenPrev2 = smoothPeriod = default;
while (today <= endIdx)
{
decimal i2;
decimal q2;
decimal adjustedPrevPeriod = 0.075m * period + 0.54m;
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, inReal[today],
out var smoothedValue);
smoothPrice[smoothPriceIdx] = smoothedValue;
if (today % 2 == 0)
{
DoHilbertEven(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jI", i1ForEvenPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
if (++hilbertIdx == 3)
{
hilbertIdx = 0;
}
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForEvenPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForOddPrev3 = i1ForOddPrev2;
i1ForOddPrev2 = hilbertVariables["detrender"];
}
else
{
DoHilbertOdd(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jI", i1ForOddPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForOddPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForEvenPrev3 = i1ForEvenPrev2;
i1ForEvenPrev2 = hilbertVariables["detrender"];
}
re = 0.2m * (i2 * prevI2 + q2 * prevQ2) + 0.8m * re;
im = 0.2m * (i2 * prevQ2 - q2 * prevI2) + 0.8m * im;
prevQ2 = q2;
prevI2 = i2;
tempReal = period;
if (im != Decimal.Zero && re != Decimal.Zero)
{
period = 360m / (DecimalMath.Atan(im / re) * rad2Deg);
}
decimal tempReal2 = 1.5m * tempReal;
if (period > tempReal2)
{
period = tempReal2;
}
tempReal2 = 0.67m * tempReal;
if (period < tempReal2)
{
period = tempReal2;
}
if (period < 6m)
{
period = 6m;
}
else if (period > 50m)
{
period = 50m;
}
period = 0.2m * period + 0.8m * tempReal;
smoothPeriod = 0.33m * period + 0.67m * smoothPeriod;
decimal dcPeriod = smoothPeriod + 0.5m;
var dcPeriodInt = (int)dcPeriod;
int idx = today;
tempReal = default;
for (i = 0; i < dcPeriodInt; i++)
{
tempReal += inReal[idx--];
}
if (dcPeriodInt > 0)
{
tempReal /= dcPeriodInt;
}
tempReal2 = (4m * tempReal + 3m * iTrend1 + 2m * iTrend2 + iTrend3) / 10m;
iTrend3 = iTrend2;
iTrend2 = iTrend1;
iTrend1 = tempReal;
if (today >= startIdx)
{
outReal[outIdx++] = tempReal2;
}
if (++smoothPriceIdx > smoothPriceSize - 1)
{
smoothPriceIdx = 0;
}
today++;
}
outNbElement = outIdx;
return(RetCode.Success);
}
public static RetCode HtTrendMode(int startIdx, int endIdx, decimal[] inReal, ref int outBegIdx, ref int outNBElement,
int[] outInteger)
{
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outInteger == null)
{
return(RetCode.BadParam);
}
const int smoothPriceSize = 50;
var smoothPrice = new decimal[smoothPriceSize];
const decimal rad2Deg = 180m / DecimalMath.PI;
const decimal deg2Rad = Decimal.One / rad2Deg;
const decimal constDeg2RadBy360 = 2m * DecimalMath.PI;
decimal iTrend3 = default;
decimal iTrend2 = iTrend3;
decimal iTrend1 = iTrend2;
int daysInTrend = default;
decimal sine = default;
decimal leadSine = default;
int lookbackTotal = HtTrendModeLookback();
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
outBegIdx = 0;
outNBElement = 0;
return(RetCode.Success);
}
outBegIdx = startIdx;
int trailingWMAIdx = startIdx - lookbackTotal;
int today = trailingWMAIdx;
decimal tempReal = inReal[today++];
decimal periodWMASub = tempReal;
decimal periodWMASum = tempReal;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 2m;
tempReal = inReal[today++];
periodWMASub += tempReal;
periodWMASum += tempReal * 3m;
decimal trailingWMAValue = default;
int i = 34;
do
{
tempReal = inReal[today++];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, out var _, tempReal);
} while (--i != 0);
int hilbertIdx = default;
int smoothPriceIdx = default;
var hilbertVariables = InitHilbertVariables <decimal>();
int outIdx = default;
decimal prevI2, prevQ2, re, im, i1ForOddPrev3, i1ForEvenPrev3, i1ForOddPrev2, i1ForEvenPrev2, smoothPeriod, dcPhase;
decimal period = prevI2 = prevQ2 =
re = im = i1ForOddPrev3 = i1ForEvenPrev3 = i1ForOddPrev2 = i1ForEvenPrev2 = smoothPeriod = dcPhase = default;
while (today <= endIdx)
{
decimal i2;
decimal q2;
decimal adjustedPrevPeriod = 0.075m * period + 0.54m;
decimal todayValue = inReal[today];
DoPriceWma(inReal, ref trailingWMAIdx, ref periodWMASub, ref periodWMASum, ref trailingWMAValue, out var smoothedValue,
todayValue);
smoothPrice[smoothPriceIdx] = smoothedValue;
if (today % 2 == 0)
{
DoHilbertEven(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jI", i1ForEvenPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertEven(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
if (++hilbertIdx == 3)
{
hilbertIdx = 0;
}
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForEvenPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForOddPrev3 = i1ForOddPrev2;
i1ForOddPrev2 = hilbertVariables["detrender"];
}
else
{
DoHilbertOdd(hilbertVariables, "detrender", smoothedValue, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "q1", hilbertVariables["detrender"], hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jI", i1ForOddPrev3, hilbertIdx, adjustedPrevPeriod);
DoHilbertOdd(hilbertVariables, "jQ", hilbertVariables["q1"], hilbertIdx, adjustedPrevPeriod);
q2 = 0.2m * (hilbertVariables["q1"] + hilbertVariables["jI"]) + 0.8m * prevQ2;
i2 = 0.2m * (i1ForOddPrev3 - hilbertVariables["jQ"]) + 0.8m * prevI2;
i1ForEvenPrev3 = i1ForEvenPrev2;
i1ForEvenPrev2 = hilbertVariables["detrender"];
}
re = 0.2m * (i2 * prevI2 + q2 * prevQ2) + 0.8m * re;
im = 0.2m * (i2 * prevQ2 - q2 * prevI2) + 0.8m * im;
prevQ2 = q2;
prevI2 = i2;
tempReal = period;
if (im != Decimal.Zero && re != Decimal.Zero)
{
period = 360m / (DecimalMath.Atan(im / re) * rad2Deg);
}
decimal tempReal2 = 1.5m * tempReal;
if (period > tempReal2)
{
period = tempReal2;
}
tempReal2 = 0.67m * tempReal;
if (period < tempReal2)
{
period = tempReal2;
}
if (period < 6m)
{
period = 6m;
}
else if (period > 50m)
{
period = 50m;
}
period = 0.2m * period + 0.8m * tempReal;
smoothPeriod = 0.33m * period + 0.67m * smoothPeriod;
decimal prevDCPhase = dcPhase;
decimal dcPeriod = smoothPeriod + 0.5m;
int dcPeriodInt = (int)dcPeriod;
decimal realPart = default;
decimal imagPart = default;
int idx = smoothPriceIdx;
for (i = 0; i < dcPeriodInt; i++)
{
tempReal = i * constDeg2RadBy360 / dcPeriodInt;
tempReal2 = smoothPrice[idx];
realPart += DecimalMath.Sin(tempReal) * tempReal2;
imagPart += DecimalMath.Cos(tempReal) * tempReal2;
if (idx == 0)
{
idx = smoothPriceSize - 1;
}
else
{
idx--;
}
}
tempReal = Math.Abs(imagPart);
if (tempReal > Decimal.Zero)
{
dcPhase = DecimalMath.Atan(realPart / imagPart) * rad2Deg;
}
else if (tempReal <= 0.01m)
{
if (realPart < Decimal.Zero)
{
dcPhase -= 90m;
}
else if (realPart > Decimal.Zero)
{
dcPhase += 90m;
}
}
dcPhase += 90m;
dcPhase += 360m / smoothPeriod;
if (imagPart < Decimal.Zero)
{
dcPhase += 180m;
}
if (dcPhase > 315m)
{
dcPhase -= 360m;
}
decimal prevSine = sine;
decimal prevLeadSine = leadSine;
sine = DecimalMath.Sin(dcPhase * deg2Rad);
leadSine = DecimalMath.Sin((dcPhase + 45m) * deg2Rad);
dcPeriod = smoothPeriod + 0.5m;
dcPeriodInt = (int)dcPeriod;
idx = today;
tempReal = default;
for (i = 0; i < dcPeriodInt; i++)
{
tempReal += inReal[idx--];
}
if (dcPeriodInt > 0)
{
tempReal /= dcPeriodInt;
}
decimal trendline = (4m * tempReal + 3m * iTrend1 + 2m * iTrend2 + iTrend3) / 10m;
iTrend3 = iTrend2;
iTrend2 = iTrend1;
iTrend1 = tempReal;
int trend = 1;
if (sine > leadSine && prevSine <= prevLeadSine || sine < leadSine && prevSine >= prevLeadSine)
{
daysInTrend = 0;
trend = 0;
}
if (++daysInTrend < 0.5m * smoothPeriod)
{
trend = 0;
}
tempReal = dcPhase - prevDCPhase;
if (smoothPeriod != Decimal.Zero && tempReal > 0.67m * 360m / smoothPeriod && tempReal < 1.5m * 360m / smoothPeriod)
{
trend = 0;
}
tempReal = smoothPrice[smoothPriceIdx];
if (trendline != Decimal.Zero && Math.Abs((tempReal - trendline) / trendline) >= 0.015m)
{
trend = 1;
}
if (today >= startIdx)
{
outInteger[outIdx++] = trend;
}
if (++smoothPriceIdx > smoothPriceSize - 1)
{
smoothPriceIdx = 0;
}
today++;
}
outNBElement = outIdx;
return(RetCode.Success);
}