Adl, Adosc, Aobv, Cmf

2026-08-22 20:48:04 +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 +1,141 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// KVO: Klinger Volume Oscillator
+/// A volume-based technical indicator that compares volume to price movement to identify
+/// long-term trends and potential reversals. It helps determine the long-term money flow
+/// while remaining sensitive to short-term fluctuations.
+/// </summary>
+/// <remarks>
+/// The KVO calculation process:
+/// 1. Calculate Trend:
+///    Trend = Current DM > Previous DM ? +1 : -1
+/// 2. Calculate Volume Force (VF):
+///    VF = Volume * abs(ROC) * Trend * 100
+/// 3. Calculate two EMAs of VF and their difference:
+///    Signal = EMA(VF, shortPeriod) - EMA(VF, longPeriod)
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Oscillates around zero
+/// - Uses two different time periods
+/// - Default periods are 34 and 55 days
+/// - Shows volume force and price direction
+///
+/// Formula:
+/// DM = (H + L + C) / 3
+/// Trend = DM > Previous DM ? +1 : -1
+/// VF = Volume * abs(ROC) * Trend * 100
+/// KVO = EMA(VF, shortPeriod) - EMA(VF, longPeriod)
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Divergence analysis
+/// - Volume/price relationship
+/// - Support/resistance levels
+/// - Market reversals
+///
+/// Sources:
+///     Stephen Klinger - Original development
+///     https://www.investopedia.com/terms/k/klingeroscillator.asp
+///
+/// Note: Positive values indicate buying pressure, while negative values indicate selling pressure
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Kvo : AbstractBase
+{
+    private readonly int _longPeriod;
+    private double _prevDm;
+    private double _shortEma;
+    private double _longEma;
+    private readonly double _shortAlpha;
+    private readonly double _longAlpha;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Kvo(int shortPeriod = 34, int longPeriod = 55)
+    {
+        _longPeriod = longPeriod;
+        WarmupPeriod = longPeriod + 1;  // Need one extra period for previous DM
+        Name = $"KVO({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 Kvo(object source, int shortPeriod = 34, int longPeriod = 55) : this(shortPeriod, longPeriod)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevDm = 0;
+        _shortEma = 0;
+        _longEma = 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);
+
+        // Calculate Daily Mean
+        double dm = (BarInput.High + BarInput.Low + BarInput.Close) / 3;
+
+        // Skip first period to establish previous DM
+        if (_index == 1)
+        {
+            _prevDm = dm;
+            return 0;
+        }
+
+        // Calculate Trend
+        int trend = dm > _prevDm ? 1 : -1;
+
+        // Calculate Rate of Change
+        double roc = Math.Abs(dm - _prevDm) / _prevDm;
+
+        // Calculate Volume Force
+        double vf = BarInput.Volume * roc * trend * 100;
+
+        // Calculate EMAs
+        if (_index <= _longPeriod)
+        {
+            // Initialize EMAs
+            _shortEma = vf;
+            _longEma = vf;
+        }
+        else
+        {
+            // Update EMAs
+            _shortEma = (_shortAlpha * vf) + ((1 - _shortAlpha) * _shortEma);
+            _longEma = (_longAlpha * vf) + ((1 - _longAlpha) * _longEma);
+        }
+
+        // Store current DM for next calculation
+        _prevDm = dm;
+
+        // Calculate KVO
+        double kvo = _shortEma - _longEma;
+
+        IsHot = _index >= WarmupPeriod;
+        return kvo;
+    }
+}