Macd

2026-08-17 01:58:06 +00:00 · 2024-11-01 17:38:50 -07:00
parent 447d90f4d6
commit 5b3f302ce4
4 changed files with 133 additions and 2 deletions
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+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// MACD: Moving Average Convergence Divergence
+/// A trend-following momentum indicator that shows the relationship between two moving
+/// averages of an asset's price. MACD is calculated by subtracting the longer-period
+/// EMA from the shorter-period EMA. The result is then used to calculate a signal line
+/// (EMA of MACD) and histogram (MACD - Signal).
+/// </summary>
+/// <remarks>
+/// The MACD calculation process:
+/// 1. Calculate the fast EMA (default 12 periods)
+/// 2. Calculate the slow EMA (default 26 periods)
+/// 3. MACD Line = Fast EMA - Slow EMA
+/// 4. Signal Line = EMA of MACD Line (default 9 periods)
+/// 5. MACD Histogram = MACD Line - Signal Line
+///
+/// Key characteristics:
+/// - Centerline crossovers signal trend changes
+/// - Signal line crossovers indicate trading opportunities
+/// - Histogram shows momentum of price movement
+/// - Divergences can signal potential reversals
+///
+/// Formula:
+/// MACD Line = EMA(fast) - EMA(slow)
+/// Signal Line = EMA(MACD Line, signal)
+/// Histogram = MACD Line - Signal Line
+///
+/// Sources:
+///     https://www.investopedia.com/terms/m/macd.asp
+///     https://school.stockcharts.com/doku.php?id=technical_indicators:macd
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Macd : AbstractBase
+{
+    private readonly Ema _fastEma;
+    private readonly Ema _slowEma;
+    private readonly Ema _signalEma;
+    private const int DefaultFastPeriod = 12;
+    private const int DefaultSlowPeriod = 26;
+    private const int DefaultSignalPeriod = 9;
+    private double _macdLine;
+    private double _signalLine;
+
+    /// <summary>
+    /// Gets the MACD line value (Fast EMA - Slow EMA)
+    /// </summary>
+    public double MacdLine => _macdLine;
+
+    /// <summary>
+    /// Gets the Signal line value (EMA of MACD line)
+    /// </summary>
+    public double SignalLine => _signalLine;
+
+    /// <param name="fastPeriod">The number of periods for the fast EMA (default 12).</param>
+    /// <param name="slowPeriod">The number of periods for the slow EMA (default 26).</param>
+    /// <param name="signalPeriod">The number of periods for the signal line EMA (default 9).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when any period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Macd(int fastPeriod = DefaultFastPeriod, int slowPeriod = DefaultSlowPeriod, int signalPeriod = DefaultSignalPeriod)
+    {
+        if (fastPeriod < 1)
+            throw new ArgumentOutOfRangeException(nameof(fastPeriod));
+        if (slowPeriod < 1)
+            throw new ArgumentOutOfRangeException(nameof(slowPeriod));
+        if (signalPeriod < 1)
+            throw new ArgumentOutOfRangeException(nameof(signalPeriod));
+        if (fastPeriod >= slowPeriod)
+            throw new ArgumentException("Fast period must be less than slow period");
+
+        _fastEma = new(fastPeriod);
+        _slowEma = new(slowPeriod);
+        _signalEma = new(signalPeriod);
+        WarmupPeriod = slowPeriod + signalPeriod;
+        Name = $"MACD({fastPeriod},{slowPeriod},{signalPeriod})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="fastPeriod">The number of periods for the fast EMA.</param>
+    /// <param name="slowPeriod">The number of periods for the slow EMA.</param>
+    /// <param name="signalPeriod">The number of periods for the signal line EMA.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Macd(object source, int fastPeriod, int slowPeriod, int signalPeriod) : this(fastPeriod, slowPeriod, signalPeriod)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        // Calculate MACD line
+        double fastEma = _fastEma.Calc(Input.Value, Input.IsNew);
+        double slowEma = _slowEma.Calc(Input.Value, Input.IsNew);
+        _macdLine = fastEma - slowEma;
+
+        // Calculate Signal line
+        _signalLine = _signalEma.Calc(_macdLine, Input.IsNew);
+
+        // Return histogram
+        return _macdLine - _signalLine;
+    }
+}