Adl, Adosc, Aobv, Cmf

2026-08-19 19:18:05 +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 +1,132 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// EOM: Ease of Movement
+/// A volume-based technical indicator that relates price change to volume, showing the
+/// relationship between price change and volume. It emphasizes days where price changes
+/// are accomplished with minimal volume and minimizes days where large volume generates
+/// small price changes.
+/// </summary>
+/// <remarks>
+/// The EOM calculation process:
+/// 1. Calculate the distance moved:
+///    Distance = ((High + Low)/2 - (Prior High + Prior Low)/2)
+/// 2. Calculate the Box Ratio:
+///    BoxRatio = Volume / (High - Low)
+/// 3. Calculate single-period EMV:
+///    EMV = Distance / BoxRatio
+/// 4. Smooth EMV using simple moving average (optional)
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Oscillates around zero
+/// - Shows ease of price movement
+/// - Default period is 14 days
+///
+/// Formula:
+/// Distance = ((H + L)/2 - (pH + pL)/2)
+/// BoxRatio = Volume / (High - Low)
+/// EMV = Distance / BoxRatio
+/// EOM = SMA(EMV, period)
+///
+/// Market Applications:
+/// - Trend strength analysis
+/// - Volume/price relationship
+/// - Support/resistance breakouts
+/// - Market momentum
+/// - Divergence identification
+///
+/// Sources:
+///     Richard W. Arms Jr. - Original development
+///     https://www.investopedia.com/terms/e/easeofmovement.asp
+///
+/// Note: Positive values suggest prices are rising with light volume (bullish),
+/// while negative values suggest prices are falling with light volume (bearish)
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Eom : AbstractBase
+{
+    private readonly int _period;
+    private readonly double[] _emv;
+    private int _position;
+    private double _prevMidpoint;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Eom(int period = 14)
+    {
+        _period = period;
+        WarmupPeriod = period + 1;  // Need one extra period for previous midpoint
+        Name = $"EOM({_period})";
+        _emv = new double[period];
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Eom(object source, int period = 14) : 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;
+        _prevMidpoint = 0;
+        Array.Clear(_emv, 0, _emv.Length);
+    }
+
+    [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);
+
+        double midpoint = (BarInput.High + BarInput.Low) / 2;
+        double boxRatio = BarInput.Volume / (BarInput.High - BarInput.Low + double.Epsilon);  // Avoid division by zero
+
+        // Skip first period to establish previous midpoint
+        if (_index == 1)
+        {
+            _prevMidpoint = midpoint;
+            return 0;
+        }
+
+        // Calculate distance moved
+        double distance = midpoint - _prevMidpoint;
+
+        // Calculate EMV for this period
+        double emv = distance / boxRatio * 10000;  // Multiply by 10000 to make values more readable
+
+        // Store in circular buffer
+        _emv[_position] = emv;
+        _position = (_position + 1) % _period;
+
+        // Calculate EOM (simple moving average of EMV)
+        double sum = 0;
+        for (int i = 0; i < _period; i++)
+        {
+            sum += _emv[i];
+        }
+        double eom = sum / _period;
+
+        // Store current midpoint for next calculation
+        _prevMidpoint = midpoint;
+
+        IsHot = _index >= WarmupPeriod;
+        return eom;
+    }
+}