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feat: add 8 new indicators with full integration
New indicators: - HWC (Holt-Winters Channel) — channels, 27 tests - VWMACD (Volume-Weighted MACD) — momentum, 38 tests - Squeeze Pro — oscillators, 69 tests - BW_MFI (Bill Williams MFI) — oscillators - DSTOCH (Double Stochastic) — oscillators - ATRSTOP (ATR Trailing Stop) — reversals - VSTOP (Volatility Stop) — reversals - Convexity (Beta Convexity) — statistics, 23 tests Integration: - Python bridge: Exports.cs, _bridge.py, wrapper modules - Documentation: _sidebar.md, _index.md pages, SPEC.md - All analyzer warnings fixed (MA0074, xUnit2013, S2699) Build: 0 warnings, 0 errors | Tests: 15,933 passed, 0 failed
This commit is contained in:
Miha Kralj
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// VSTOP: Volatility Stop (Wilder's Volatility System)
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/// ATR-based trailing stop that tracks trend direction and flips on reversal.
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/// Uses Significant Close (SIC) tracking: highest close in uptrend, lowest in downtrend.
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/// SAR = SIC ± ATR × multiplier.
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/// </summary>
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/// <seealso href="https://dotnet.stockindicators.dev/indicators/VolatilityStop/">Skender reference</seealso>
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[SkipLocalsInit]
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public sealed class Vstop : ITValuePublisher
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{
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private readonly int _period;
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private readonly double _multiplier;
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private readonly Atr _atr;
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private int _count;
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[StructLayout(LayoutKind.Auto)]
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private record struct State(
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bool IsLong,
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double Sic,
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double LastValidHigh,
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double LastValidLow,
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double LastValidClose);
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private State _s;
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private State _ps;
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private readonly TBarPublishedHandler _barHandler;
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/// <summary>Display name.</summary>
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public string Name { get; }
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/// <summary>ATR lookback period.</summary>
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public int Period => _period;
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/// <summary>ATR multiplier for stop offset.</summary>
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public double Multiplier => _multiplier;
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/// <summary>Bars required for valid output.</summary>
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public int WarmupPeriod { get; }
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/// <summary>Current SAR (Stop and Reverse) value.</summary>
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public double SarValue { get; private set; }
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/// <summary>True when the indicator is in uptrend mode.</summary>
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public bool IsLong => _s.IsLong;
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/// <summary>True when a stop reversal occurred on the current bar.</summary>
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public bool IsStop { get; private set; }
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/// <summary>Primary output value (SAR as TValue for overlay plotting).</summary>
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public TValue Last { get; private set; }
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/// <summary>True when enough bars have been processed.</summary>
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public bool IsHot => _count >= _period;
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public event TValuePublishedHandler? Pub;
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/// <summary>
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/// Creates a Volatility Stop indicator.
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/// </summary>
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/// <param name="period">ATR lookback period (default 7).</param>
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/// <param name="multiplier">ATR multiplier (default 3.0).</param>
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public Vstop(int period = 7, double multiplier = 3.0)
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{
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if (period <= 1)
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{
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throw new ArgumentException("Period must be greater than 1.", nameof(period));
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}
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if (multiplier <= 0)
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{
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throw new ArgumentException("Multiplier must be greater than 0.", nameof(multiplier));
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}
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_period = period;
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_multiplier = multiplier;
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_atr = new Atr(period);
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_count = 0;
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_s = new State(
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IsLong: true,
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Sic: double.NaN,
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LastValidHigh: double.NaN,
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LastValidLow: double.NaN,
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LastValidClose: double.NaN);
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_ps = _s;
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Name = $"Vstop({period},{multiplier:F1})";
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WarmupPeriod = period;
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SarValue = double.NaN;
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_barHandler = HandleBar;
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}
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/// <summary>
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/// Creates a Volatility Stop chained to a TBarSeries source.
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/// </summary>
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public Vstop(TBarSeries source, int period = 7, double multiplier = 3.0)
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: this(period, multiplier)
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{
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Prime(source);
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source.Pub += _barHandler;
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}
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private void HandleBar(object? sender, in TBarEventArgs e) => Update(e.Value, e.IsNew);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void PubEvent(TValue value, bool isNew = true) =>
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Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TBar input, bool isNew = true)
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{
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if (isNew)
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{
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_ps = _s;
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_count++;
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}
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else
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{
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_s = _ps;
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}
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var s = _s;
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// Validate inputs — substitute last-valid on NaN/Infinity
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double high = input.High;
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double low = input.Low;
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double close = input.Close;
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if (double.IsFinite(high)) { s.LastValidHigh = high; }
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else { high = s.LastValidHigh; }
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if (double.IsFinite(low)) { s.LastValidLow = low; }
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else { low = s.LastValidLow; }
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if (double.IsFinite(close)) { s.LastValidClose = close; }
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else { close = s.LastValidClose; }
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if (double.IsNaN(high) || double.IsNaN(low) || double.IsNaN(close))
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{
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_s = s;
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Last = new TValue(input.Time, double.NaN);
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PubEvent(Last, isNew);
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return Last;
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}
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// Update internal ATR
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TValue atrResult = _atr.Update(input, isNew);
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double atrValue = atrResult.Value;
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double sarResult;
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IsStop = false;
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if (_count == 1)
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{
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// First bar: initialize SIC, no SAR yet
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s.Sic = close;
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s.IsLong = true;
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sarResult = double.NaN;
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}
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else if (!_atr.IsHot)
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{
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// Warmup: track initial trend direction
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if (_count == _period)
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{
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// At warmup end: determine initial trend from first close vs current
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// (we stored the first close in Sic on bar 1)
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s.IsLong = close >= s.Sic;
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s.Sic = close;
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}
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else
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{
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s.Sic = s.IsLong
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? Math.Max(s.Sic, close)
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: Math.Min(s.Sic, close);
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}
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sarResult = double.NaN;
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}
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else
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{
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// Update SIC (Significant Close)
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s.Sic = s.IsLong
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? Math.Max(s.Sic, close)
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: Math.Min(s.Sic, close);
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// Calculate SAR
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double arc = atrValue * _multiplier;
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sarResult = s.IsLong ? s.Sic - arc : s.Sic + arc;
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// Evaluate stop and reverse
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if ((s.IsLong && close < sarResult) || (!s.IsLong && close > sarResult))
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{
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IsStop = true;
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s.Sic = close;
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s.IsLong = !s.IsLong;
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// Recalculate SAR with new direction
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sarResult = s.IsLong ? s.Sic - arc : s.Sic + arc;
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}
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}
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SarValue = sarResult;
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_s = s;
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Last = new TValue(input.Time, sarResult);
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PubEvent(Last, isNew);
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return Last;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TValue input, bool isNew = true) =>
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Update(new TBar(input.Time, input.Value, input.Value, input.Value, input.Value, 0), isNew);
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public TSeries Update(TBarSeries source)
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{
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if (source.Count == 0)
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{
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return new TSeries([], []);
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}
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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Batch(source.HighValues, source.LowValues, source.CloseValues,
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CollectionsMarshal.AsSpan(v), _period, _multiplier);
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source.Times.CopyTo(CollectionsMarshal.AsSpan(t));
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Prime(source);
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var lastTime = new DateTime(source.Times[^1], DateTimeKind.Utc);
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Last = new TValue(lastTime, CollectionsMarshal.AsSpan(v)[^1]);
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return new TSeries(t, v);
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}
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public void Prime(TBarSeries source)
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{
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Reset();
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if (source.Count == 0)
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{
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return;
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}
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for (int i = 0; i < source.Count; i++)
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{
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Update(source[i], isNew: true);
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}
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}
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public void Reset()
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{
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_atr.Reset();
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_count = 0;
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_s = new State(
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IsLong: true,
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Sic: double.NaN,
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LastValidHigh: double.NaN,
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LastValidLow: double.NaN,
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LastValidClose: double.NaN);
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_ps = _s;
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SarValue = double.NaN;
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IsStop = false;
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Last = default;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Batch(
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ReadOnlySpan<double> high,
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ReadOnlySpan<double> low,
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ReadOnlySpan<double> close,
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Span<double> output,
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int period = 7,
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double multiplier = 3.0)
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{
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if (period <= 1)
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{
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throw new ArgumentException("Period must be greater than 1.", nameof(period));
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}
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if (multiplier <= 0)
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{
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throw new ArgumentException("Multiplier must be greater than 0.", nameof(multiplier));
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}
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if (high.Length != low.Length || high.Length != close.Length)
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{
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throw new ArgumentException("Input spans must have the same length.", nameof(high));
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}
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if (output.Length < high.Length)
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{
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throw new ArgumentException("Output span must be at least as long as input.", nameof(output));
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}
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int len = high.Length;
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if (len == 0)
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{
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return;
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}
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// State machine precludes SIMD — use streaming instance
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var indicator = new Vstop(period, multiplier);
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long baseTime = DateTime.UtcNow.Ticks;
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for (int i = 0; i < len; i++)
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{
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_ = indicator.Update(
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new TBar(baseTime + i, high[i], high[i], low[i], close[i], 0),
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isNew: true);
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output[i] = indicator.SarValue;
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}
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}
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public static TSeries Batch(TBarSeries source, int period = 7, double multiplier = 3.0)
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{
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if (source == null || source.Count == 0)
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{
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return new TSeries([], []);
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}
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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Batch(source.HighValues, source.LowValues, source.CloseValues,
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CollectionsMarshal.AsSpan(v), period, multiplier);
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source.Times.CopyTo(CollectionsMarshal.AsSpan(t));
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return new TSeries(t, v);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static (TSeries Results, Vstop Indicator) Calculate(
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TBarSeries source, int period = 7, double multiplier = 3.0)
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{
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var indicator = new Vstop(period, multiplier);
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var results = indicator.Update(source);
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return (results, indicator);
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}
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}
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