AssetManager.API/AssetManager.Infrastructure/StrategyEngine/TechnicalIndicators.cs

namespace AssetManager.Infrastructure.StrategyEngine;

/// <summary>
/// 技术指标计算库
/// </summary>
public static class TechnicalIndicators
{
    /// <summary>
    /// 计算简单移动平均 (SMA)
    /// </summary>
    /// <param name="values">值列表</param>
    /// <param name="period">周期</param>
    /// <returns>SMA 列表（长度与输入一致，前 period-1 个为 null）</returns>
    public static List<decimal?> CalculateSMA(List<decimal> values, int period)
    {
        var result = new List<decimal?>();
        if (values.Count < period)
        {
            result.AddRange(values.Select(_ => (decimal?)null));
            return result;
        }

        // 前 period-1 个为 null
        for (int i = 0; i < period - 1; i++)
        {
            result.Add(null);
        }

        // 计算第一个 SMA
        decimal sum = 0;
        for (int i = 0; i < period; i++)
        {
            sum += values[i];
        }
        result.Add(sum / period);

        // 滑动窗口计算后续 SMA
        for (int i = period; i < values.Count; i++)
        {
            sum = sum - values[i - period] + values[i];
            result.Add(sum / period);
        }

        return result;
    }

    /// <summary>
    /// 计算指数移动平均 (EMA)
    /// </summary>
    /// <param name="values">值列表</param>
    /// <param name="period">周期</param>
    /// <returns>EMA 列表（长度与输入一致，前 period-1 个为 null）</returns>
    public static List<decimal?> CalculateEMA(List<decimal> values, int period)
    {
        var result = new List<decimal?>();
        if (values.Count < period)
        {
            result.AddRange(values.Select(_ => (decimal?)null));
            return result;
        }

        // 前 period-1 个为 null
        for (int i = 0; i < period - 1; i++)
        {
            result.Add(null);
        }

        // 第一个 EMA 使用 SMA
        decimal sma = 0;
        for (int i = 0; i < period; i++)
        {
            sma += values[i];
        }
        sma /= period;
        result.Add(sma);

        // 计算后续 EMA：EMA = (当前值 - 前一个 EMA) * 乘数 + 前一个 EMA
        decimal multiplier = 2.0m / (period + 1);
        decimal prevEma = sma;

        for (int i = period; i < values.Count; i++)
        {
            decimal ema = (values[i] - prevEma) * multiplier + prevEma;
            result.Add(ema);
            prevEma = ema;
        }

        return result;
    }

    /// <summary>
    /// 计算真实波幅 (TR)
    /// </summary>
    /// <param name="highs">最高价列表</param>
    /// <param name="lows">最低价列表</param>
    /// <param name="closes">收盘价列表</param>
    /// <returns>TR 列表</returns>
    public static List<decimal> CalculateTR(List<decimal> highs, List<decimal> lows, List<decimal> closes)
    {
        var trList = new List<decimal>();
        if (highs.Count == 0) return trList;

        // 第一个 TR：High - Low
        trList.Add(highs[0] - lows[0]);

        // 后续 TR：Max(High-Low, High-PrevClose, PrevClose-Low)
        for (int i = 1; i < highs.Count; i++)
        {
            decimal prevClose = closes[i - 1];
            decimal tr1 = highs[i] - lows[i];
            decimal tr2 = Math.Abs(highs[i] - prevClose);
            decimal tr3 = Math.Abs(prevClose - lows[i]);
            trList.Add(Math.Max(Math.Max(tr1, tr2), tr3));
        }

        return trList;
    }

    /// <summary>
    /// 计算平均真实波幅 (ATR)
    /// </summary>
    /// <param name="highs">最高价列表</param>
    /// <param name="lows">最低价列表</param>
    /// <param name="closes">收盘价列表</param>
    /// <param name="period">周期（默认 14）</param>
    /// <returns>ATR 列表（长度与输入一致，前 period-1 个为 null）</returns>
    public static List<decimal?> CalculateATR(List<decimal> highs, List<decimal> lows, List<decimal> closes, int period = 14)
    {
        var result = new List<decimal?>();
        var trList = CalculateTR(highs, lows, closes);

        if (trList.Count < period)
        {
            result.AddRange(trList.Select(_ => (decimal?)null));
            return result;
        }

        // 前 period-1 个为 null
        for (int i = 0; i < period - 1; i++)
        {
            result.Add(null);
        }

        // 第一个 ATR：TR 的简单平均
        decimal sum = 0;
        for (int i = 0; i < period; i++)
        {
            sum += trList[i];
        }
        decimal atr = sum / period;
        result.Add(atr);

        // 后续 ATR：(前一个 ATR * (period-1) + 当前 TR) / period
        for (int i = period; i < trList.Count; i++)
        {
            atr = (atr * (period - 1) + trList[i]) / period;
            result.Add(atr);
        }

        return result;
    }

    /// <summary>
    /// 计算滚动窗口最高价
    /// </summary>
    /// <param name="values">值列表</param>
    /// <param name="period">周期</param>
    /// <returns>滚动最高价列表（长度与输入一致，前 period-1 个为 null）</returns>
    public static List<decimal?> CalculateHighestHigh(List<decimal> values, int period)
    {
        var result = new List<decimal?>();
        if (values.Count < period)
        {
            result.AddRange(values.Select(_ => (decimal?)null));
            return result;
        }

        // 前 period-1 个为 null
        for (int i = 0; i < period - 1; i++)
        {
            result.Add(null);
        }

        // 滑动窗口计算
        for (int i = period - 1; i < values.Count; i++)
        {
            decimal max = decimal.MinValue;
            for (int j = i - period + 1; j <= i; j++)
            {
                if (values[j] > max) max = values[j];
            }
            result.Add(max);
        }

        return result;
    }

    /// <summary>
    /// 计算滚动窗口最低价
    /// </summary>
    /// <param name="values">值列表</param>
    /// <param name="period">周期</param>
    /// <returns>滚动最低价列表（长度与输入一致，前 period-1 个为 null）</returns>
    public static List<decimal?> CalculateLowestLow(List<decimal> values, int period)
    {
        var result = new List<decimal?>();
        if (values.Count < period)
        {
            result.AddRange(values.Select(_ => (decimal?)null));
            return result;
        }

        // 前 period-1 个为 null
        for (int i = 0; i < period - 1; i++)
        {
            result.Add(null);
        }

        // 滑动窗口计算
        for (int i = period - 1; i < values.Count; i++)
        {
            decimal min = decimal.MaxValue;
            for (int j = i - period + 1; j <= i; j++)
            {
                if (values[j] < min) min = values[j];
            }
            result.Add(min);
        }

        return result;
    }
}