Adl, Adosc, Aobv, Cmf

2026-08-20 03:28:05 +00:00 · 2024-10-28 15:29:29 -07:00
parent 6b79f8158c
commit 45c6f08e1e
14 changed files with 1266 additions and 23 deletions
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+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// ADOSC: Chaikin Accumulation/Distribution Oscillator
+/// A momentum indicator that measures the strength of accumulation/distribution by combining
+/// price and volume with moving averages. It helps identify potential trend reversals and
+/// buying/selling pressure.
+/// </summary>
+/// <remarks>
+/// The ADOSC calculation process:
+/// 1. Calculate ADL (Accumulation/Distribution Line)
+///    a. Money Flow Multiplier = ((Close - Low) - (High - Close)) / (High - Low)
+///    b. Money Flow Volume = MFM × Volume
+///    c. ADL = Previous ADL + MFV
+/// 2. Calculate two EMAs of ADL values
+/// 3. Subtract longer EMA from shorter EMA
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Oscillates around zero
+/// - Uses two different time periods
+/// - Default periods are 3 and 10 days
+/// - Shows momentum of money flow
+///
+/// Formula:
+/// MFM = ((Close - Low) - (High - Close)) / (High - Low)
+/// MFV = MFM × Volume
+/// ADL = Previous ADL + MFV
+/// ADOSC = EMA(ADL, shortPeriod) - EMA(ADL, longPeriod)
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Divergence analysis
+/// - Volume/price relationship
+/// - Support/resistance levels
+/// - Market reversals
+///
+/// Sources:
+///     Marc Chaikin - Original development
+///     https://www.investopedia.com/terms/c/chaikinoscillator.asp
+///
+/// Note: Positive values indicate buying pressure, while negative values indicate selling pressure
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Adosc : AbstractBase
+{
+    private readonly int _longPeriod;
+    private double _cumulativeAdl;
+    private double _shortEma;
+    private double _longEma;
+    private readonly double _shortAlpha;
+    private readonly double _longAlpha;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Adosc(int shortPeriod = 3, int longPeriod = 10)
+    {
+        _longPeriod = longPeriod;
+        WarmupPeriod = longPeriod;  // Need longer period for EMA calculation
+        Name = $"ADOSC({shortPeriod},{_longPeriod})";
+        _shortAlpha = 2.0 / (shortPeriod + 1);
+        _longAlpha = 2.0 / (longPeriod + 1);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Adosc(object source, int shortPeriod = 3, int longPeriod = 10) : this(shortPeriod, longPeriod)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _cumulativeAdl = 0;
+        _shortEma = 0;
+        _longEma = 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
+        _cumulativeAdl += mfv;
+
+        // Calculate EMAs
+        if (_index <= _longPeriod)
+        {
+            // Initialize EMAs
+            _shortEma = _cumulativeAdl;
+            _longEma = _cumulativeAdl;
+            return 0;
+        }
+
+        // Update EMAs
+        _shortEma = (_shortAlpha * _cumulativeAdl) + ((1 - _shortAlpha) * _shortEma);
+        _longEma = (_longAlpha * _cumulativeAdl) + ((1 - _longAlpha) * _longEma);
+
+        // Calculate ADOSC
+        double adosc = _shortEma - _longEma;
+
+        IsHot = _index >= WarmupPeriod;
+        return adosc;
+    }
+}