new indicators

2026-08-22 12:38:06 +00:00 · 2024-11-03 18:16:42 -08:00
parent 4f2772f130
commit 5d086a1473
23 changed files with 2100 additions and 201 deletions
@@ -0,0 +1,126 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// STOCH: Stochastic Oscillator
+/// A momentum indicator that shows the location of the close relative to
+/// high-low range over a period. Consists of %K (fast) and %D (slow) lines.
+/// </summary>
+/// <remarks>
+/// The Stochastic calculation process:
+/// 1. Calculate %K (raw stochastic):
+///    - Find highest high and lowest low over period
+///    - Calculate where current close is within this range
+/// 2. Smooth %K with SMA to get Fast %K
+/// 3. Smooth Fast %K with SMA to get %D (signal line)
+///
+/// Key characteristics:
+/// - Oscillates between 0 and 100
+/// - Traditional overbought level at 80
+/// - Traditional oversold level at 20
+/// - %K/%D crossovers signal momentum shifts
+/// - Divergence with price shows potential reversals
+///
+/// Formula:
+/// Raw %K = 100 * (Close - Lowest Low) / (Highest High - Lowest Low)
+/// Fast %K = SMA(Raw %K, smoothK)
+/// %D = SMA(Fast %K, smoothD)
+///
+/// Sources:
+///     George Lane - "Lane's Stochastics" (1950s)
+///     https://www.investopedia.com/terms/s/stochasticoscillator.asp
+///
+/// Note: Default periods (14,3,3) are commonly used values
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Stoch : AbstractBase
+{
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private readonly Sma _fastK;
+    private readonly Sma _slowD;
+    private readonly CircularBuffer _rawK;
+    private const int DefaultPeriod = 14;
+    private const int DefaultSmoothK = 3;
+    private const int DefaultSmoothD = 3;
+    private const double ScalingFactor = 100.0;
+
+    /// <param name="period">The lookback period (default 14).</param>
+    /// <param name="smoothK">%K smoothing period (default 3).</param>
+    /// <param name="smoothD">%D smoothing period (default 3).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when any period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Stoch(int period = DefaultPeriod, int smoothK = DefaultSmoothK, int smoothD = DefaultSmoothD)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than 0");
+        if (smoothK < 1)
+            throw new ArgumentOutOfRangeException(nameof(smoothK), "%K smoothing period must be greater than 0");
+        if (smoothD < 1)
+            throw new ArgumentOutOfRangeException(nameof(smoothD), "%D smoothing period must be greater than 0");
+
+        _highs = new(period);
+        _lows = new(period);
+        _rawK = new(smoothK);
+        _fastK = new(smoothK);
+        _slowD = new(smoothD);
+        WarmupPeriod = period + Math.Max(smoothK, smoothD);
+        Name = $"STOCH({period},{smoothK},{smoothD})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The lookback period.</param>
+    /// <param name="smoothK">%K smoothing period.</param>
+    /// <param name="smoothD">%D smoothing period.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Stoch(object source, int period = DefaultPeriod, int smoothK = DefaultSmoothK, int smoothD = DefaultSmoothD)
+        : this(period, smoothK, smoothD)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _highs.Add(BarInput.High);
+            _lows.Add(BarInput.Low);
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate raw %K
+        double highest = _highs.Max();
+        double lowest = _lows.Min();
+        double range = highest - lowest;
+        double rawK = range >= double.Epsilon ? ((BarInput.Close - lowest) / range) * ScalingFactor : 0;
+
+        if (BarInput.IsNew)
+            _rawK.Add(rawK);
+
+        // Calculate Fast %K (first smoothing)
+        double fastK = _fastK.Calc(new TValue(BarInput.Time, rawK, BarInput.IsNew));
+
+        // Calculate %D (second smoothing)
+        return _slowD.Calc(new TValue(BarInput.Time, fastK, BarInput.IsNew));
+    }
+
+    /// <summary>
+    /// Gets the %K line value (Fast Stochastic)
+    /// </summary>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public double K() => _fastK.Value;
+
+    /// <summary>
+    /// Gets the %D line value (Slow Stochastic)
+    /// </summary>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public double D() => Value;
+}