Adl, Adosc, Aobv, Cmf

2026-08-22 12:38:06 +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 +1,133 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// AOBV: Archer On-Balance Volume
+/// A modified version of the traditional On-Balance Volume (OBV) indicator that uses a more
+/// sophisticated method to determine buying and selling pressure. It considers both the
+/// closing price and the price range to provide a more nuanced view of volume flow.
+/// </summary>
+/// <remarks>
+/// The AOBV calculation process:
+/// 1. Determine price position within the day's range
+/// 2. Apply volume based on price position:
+///    - If close is in upper 1/3 of range: Add full volume
+///    - If close is in middle 1/3 of range: Add/subtract half volume
+///    - If close is in lower 1/3 of range: Subtract full volume
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Cumulative indicator
+/// - No upper/lower bounds
+/// - More nuanced than traditional OBV
+/// - Considers price position in range
+///
+/// Formula:
+/// Range = High - Low
+/// UpperThird = High - (Range / 3)
+/// LowerThird = Low + (Range / 3)
+/// If Close >= UpperThird:
+///     AOBV = Previous AOBV + Volume
+/// Else if Close <= LowerThird:
+///     AOBV = Previous AOBV - Volume
+/// Else:
+///     If Close > Previous Close:
+///         AOBV = Previous AOBV + (Volume / 2)
+///     Else:
+///         AOBV = Previous AOBV - (Volume / 2)
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Volume analysis
+/// - Price/volume divergence
+/// - Support/resistance levels
+/// - Market participation
+///
+/// Sources:
+///     Steve Archer - Original development
+///     Technical Analysis of Stock Trends (Edwards, Magee)
+///
+/// Note: Provides a more detailed analysis of volume flow than traditional OBV
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Aobv : AbstractBase
+{
+    private double _cumulativeAobv;
+    private double _prevClose;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Aobv()
+    {
+        WarmupPeriod = 1;
+        Name = "AOBV";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Aobv(object source) : this()
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _cumulativeAobv = 0;
+        _prevClose = 0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        double range = BarInput.High - BarInput.Low;
+        if (range > 0)
+        {
+            double upperThird = BarInput.High - (range / 3);
+            double lowerThird = BarInput.Low + (range / 3);
+
+            // Determine volume flow based on price position
+            if (BarInput.Close >= upperThird)
+            {
+                _cumulativeAobv += BarInput.Volume;
+            }
+            else if (BarInput.Close <= lowerThird)
+            {
+                _cumulativeAobv -= BarInput.Volume;
+            }
+            else
+            {
+                // In middle third, use half volume based on close comparison
+                _cumulativeAobv += (BarInput.Close > _prevClose) ?
+                    (BarInput.Volume / 2) : -(BarInput.Volume / 2);
+            }
+        }
+
+        _prevClose = BarInput.Close;
+
+        IsHot = _index >= WarmupPeriod;
+        return _cumulativeAobv;
+    }
+}