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
@@ -0,0 +1,129 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CMF: Chaikin Money Flow
+/// A volume-weighted technical indicator that measures the amount of Money Flow Volume (MFV)
+/// over a specific period. Unlike ADL which is cumulative, CMF averages the Money Flow
+/// Volume over a specified period.
+/// </summary>
+/// <remarks>
+/// The CMF 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. CMF = Sum(MFV) / Sum(Volume) over N periods
+///
+/// Key characteristics:
+/// - Oscillator between -1 and +1
+/// - Volume-weighted measure
+/// - Non-cumulative indicator
+/// - Default period is 20 days
+///
+/// Formula:
+/// MFM = ((Close - Low) - (High - Close)) / (High - Low)
+/// MFV = MFM × Volume
+/// CMF = Sum(MFV over N periods) / Sum(Volume over N periods)
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Volume analysis
+/// - Price/volume divergence
+/// - Support/resistance levels
+/// - Market participation
+///
+/// Sources:
+///     Marc Chaikin - Original development
+///     https://www.investopedia.com/terms/c/chaikinmoneyflow.asp
+///
+/// Note: Values above zero indicate buying pressure, while values below zero indicate selling pressure
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Cmf : AbstractBase
+{
+    private readonly int _period;
+    private readonly double[] _mfv;
+    private readonly double[] _volume;
+    private int _position;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Cmf(int period = 20)
+    {
+        _period = period;
+        WarmupPeriod = period;
+        Name = $"CMF({_period})";
+        _mfv = new double[period];
+        _volume = new double[period];
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Cmf(object source, int period = 20) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _position = 0;
+        Array.Clear(_mfv, 0, _mfv.Length);
+        Array.Clear(_volume, 0, _volume.Length);
+    }
+
+    [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 currentMfv = mfm * BarInput.Volume;
+
+        // Update circular buffers
+        _mfv[_position] = currentMfv;
+        _volume[_position] = BarInput.Volume;
+        _position = (_position + 1) % _period;
+
+        // Calculate CMF
+        double sumMfv = 0;
+        double sumVolume = 0;
+        for (int i = 0; i < _period; i++)
+        {
+            sumMfv += _mfv[i];
+            sumVolume += _volume[i];
+        }
+
+        double cmf = Math.Abs(sumVolume) > double.Epsilon ? sumMfv / sumVolume : 0;
+        IsHot = _index >= WarmupPeriod;
+        return cmf;
+    }
+}