new indicators

2026-08-21 03:58:04 +00:00 · 2024-11-03 18:16:42 -08:00
parent 4f2772f130
commit 5d086a1473
23 changed files with 2100 additions and 201 deletions
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+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// COPPOCK: Coppock Curve
+/// A long-term momentum oscillator used to identify major bottoms in the market.
+/// It is calculated using a weighted moving average of two different Rate of Change calculations.
+/// </summary>
+/// <remarks>
+/// The Coppock Curve calculation process:
+/// 1. Calculate 14-period Rate of Change (ROC)
+/// 2. Calculate 11-period Rate of Change (ROC)
+/// 3. Sum the two ROC values
+/// 4. Apply 10-period Weighted Moving Average (WMA) to the sum
+///
+/// Key characteristics:
+/// - Long-term momentum indicator
+/// - Primarily used for monthly data
+/// - Buy signals when curve turns up from below zero
+/// - Rarely used for sell signals
+/// - Designed to identify major bottoms in stock market indices
+///
+/// Formula:
+/// COPPOCK = WMA(10) of (ROC(14) + ROC(11))
+/// where:
+/// ROC(n) = ((Price - Price[n]) / Price[n]) * 100
+/// WMA is weighted moving average
+///
+/// Sources:
+///     Edwin Coppock - Barron's Magazine (October 1962)
+///     https://www.investopedia.com/terms/c/coppockcurve.asp
+///
+/// Note: Originally designed for monthly data with parameters (14,11,10),
+/// but can be adapted for other timeframes
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Coppock : AbstractBase
+{
+    private readonly CircularBuffer _values;
+    private readonly Wma _wma;
+    private readonly int _roc1Period;
+    private readonly int _roc2Period;
+    private const int DefaultRoc1Period = 14;
+    private const int DefaultRoc2Period = 11;
+    private const int DefaultWmaPeriod = 10;
+
+    /// <param name="roc1Period">The first ROC period (default 14).</param>
+    /// <param name="roc2Period">The second ROC period (default 11).</param>
+    /// <param name="wmaPeriod">The WMA smoothing period (default 10).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when any period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Coppock(int roc1Period = DefaultRoc1Period, int roc2Period = DefaultRoc2Period, int wmaPeriod = DefaultWmaPeriod)
+    {
+        if (roc1Period < 1)
+            throw new ArgumentOutOfRangeException(nameof(roc1Period), "ROC1 period must be greater than 0");
+        if (roc2Period < 1)
+            throw new ArgumentOutOfRangeException(nameof(roc2Period), "ROC2 period must be greater than 0");
+        if (wmaPeriod < 1)
+            throw new ArgumentOutOfRangeException(nameof(wmaPeriod), "WMA period must be greater than 0");
+
+        _roc1Period = roc1Period;
+        _roc2Period = roc2Period;
+        int maxPeriod = Math.Max(roc1Period, roc2Period);
+        _values = new(maxPeriod + 1);
+        _wma = new(wmaPeriod);
+        WarmupPeriod = maxPeriod + wmaPeriod;
+        Name = $"COPPOCK({roc1Period},{roc2Period},{wmaPeriod})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="roc1Period">The first ROC period.</param>
+    /// <param name="roc2Period">The second ROC period.</param>
+    /// <param name="wmaPeriod">The WMA smoothing period.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Coppock(object source, int roc1Period = DefaultRoc1Period, int roc2Period = DefaultRoc2Period, int wmaPeriod = DefaultWmaPeriod)
+        : this(roc1Period, roc2Period, wmaPeriod)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _values.Add(Input.Value);
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private double CalculateRoc(int period)
+    {
+        if (_index <= period) return 0;
+        double currentValue = _values[0];
+        double oldValue = _values[period];
+        return ((currentValue - oldValue) / oldValue) * 100.0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        // Calculate ROC values and their sum
+        double roc1 = CalculateRoc(_roc1Period);
+        double roc2 = CalculateRoc(_roc2Period);
+        double rocSum = roc1 + roc2;
+
+        // Not enough data for WMA calculation
+        if (_index <= Math.Max(_roc1Period, _roc2Period))
+            return 0;
+
+        // Calculate WMA of ROC sums
+        return _wma.Calc(new TValue(Input.Time, rocSum, Input.IsNew));
+    }
+}