Adl, Adosc, Aobv, Cmf

2026-08-21 03:58:04 +00:00 · 2024-10-28 15:29:29 -07:00
parent 6b79f8158c
commit 45c6f08e1e
14 changed files with 1266 additions and 23 deletions
@@ -0,0 +1,113 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// ADL: Accumulation Distribution Line (Chaikin)
+/// A volume-based indicator that measures the cumulative flow of money into and out
+/// of a security. It assesses the relationship between price and volume to determine
+/// buying/selling pressure.
+/// </summary>
+/// <remarks>
+/// The ADL calculation process:
+/// 1. Calculates Money Flow Multiplier (MFM):
+///    MFM = ((Close - Low) - (High - Close)) / (High - Low)
+/// 2. Calculates Money Flow Volume (MFV):
+///    MFV = MFM × Volume
+/// 3. ADL is cumulative sum of MFV values
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Cumulative indicator
+/// - No upper/lower bounds
+/// - Trend confirmation tool
+/// - Divergence indicator
+///
+/// Formula:
+/// MFM = ((Close - Low) - (High - Close)) / (High - Low)
+/// MFV = MFM × Volume
+/// ADL = Previous ADL + MFV
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Volume analysis
+/// - Price/volume divergence
+/// - Support/resistance levels
+/// - Market participation
+///
+/// Sources:
+///     Marc Chaikin - Original development
+///     https://www.investopedia.com/terms/a/accumulationdistribution.asp
+///
+/// Note: Focuses on the relationship between price and volume
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Adl : AbstractBase
+{
+    private double _cumulativeAdl;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Adl()
+    {
+        WarmupPeriod = 1;
+        Name = "ADL";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Adl(object source) : this()
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _cumulativeAdl = 0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private static double CalculateMoneyFlowMultiplier(double close, double high, double low)
+    {
+        double range = high - low;
+        if (range > 0)
+        {
+            return ((close - low) - (high - close)) / range;
+        }
+        return 0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate Money Flow Multiplier
+        double mfm = CalculateMoneyFlowMultiplier(BarInput.Close, BarInput.High, BarInput.Low);
+
+        // Calculate Money Flow Volume
+        double mfv = mfm * BarInput.Volume;
+
+        // Update cumulative ADL only for new bars
+        if (BarInput.IsNew)
+        {
+            _cumulativeAdl += mfv;
+        }
+
+        IsHot = _index >= WarmupPeriod;
+        return _cumulativeAdl;
+    }
+}