new indicators

2026-08-20 19:48:05 +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>
+/// TSI: True Strength Index
+/// A momentum oscillator that shows both trend direction and overbought/oversold conditions.
+/// Uses two EMAs of price change momentum to help identify short-term trends and reversals.
+/// </summary>
+/// <remarks>
+/// The TSI calculation process:
+/// 1. Calculate price change (PC): Current close - Previous close
+/// 2. Calculate absolute price change (APC): Absolute value of PC
+/// 3. First smoothing: EMA1 of PC and EMA1 of APC
+/// 4. Second smoothing: EMA2 of EMA1(PC) and EMA2 of EMA1(APC)
+/// 5. TSI = 100 * (Double smoothed PC / Double smoothed APC)
+///
+/// Key characteristics:
+/// - Oscillates around zero
+/// - Shows momentum and trend direction
+/// - Identifies overbought/oversold conditions
+/// - Generates signals through centerline/signal line crossovers
+/// - Shows momentum divergence with price
+///
+/// Formula:
+/// TSI = 100 * (EMA2(EMA1(PC)) / EMA2(EMA1(APC)))
+/// where:
+/// PC = Current Price - Previous Price
+/// APC = |PC|
+/// Default periods: First EMA = 25, Second EMA = 13
+///
+/// Sources:
+///     William Blau - "Momentum, Direction, and Divergence" (1995)
+///     https://www.investopedia.com/terms/t/tsi.asp
+///
+/// Note: Default periods (25,13) were recommended by Blau
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Tsi : AbstractBase
+{
+    private readonly Ema _pcEma1;
+    private readonly Ema _pcEma2;
+    private readonly Ema _apcEma1;
+    private readonly Ema _apcEma2;
+    private double _prevPrice;
+    private const int DefaultFirstPeriod = 25;
+    private const int DefaultSecondPeriod = 13;
+    private const double ScalingFactor = 100.0;
+
+    /// <param name="firstPeriod">The first EMA smoothing period (default 25).</param>
+    /// <param name="secondPeriod">The second EMA smoothing period (default 13).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when any period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Tsi(int firstPeriod = DefaultFirstPeriod, int secondPeriod = DefaultSecondPeriod)
+    {
+        if (firstPeriod < 1 || secondPeriod < 1)
+            throw new ArgumentOutOfRangeException(nameof(firstPeriod), "All periods must be greater than 0");
+
+        _pcEma1 = new(firstPeriod);
+        _pcEma2 = new(secondPeriod);
+        _apcEma1 = new(firstPeriod);
+        _apcEma2 = new(secondPeriod);
+        WarmupPeriod = firstPeriod + secondPeriod;
+        Name = $"TSI({firstPeriod},{secondPeriod})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="firstPeriod">The first EMA smoothing period.</param>
+    /// <param name="secondPeriod">The second EMA smoothing period.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Tsi(object source, int firstPeriod = DefaultFirstPeriod, int secondPeriod = DefaultSecondPeriod)
+        : this(firstPeriod, secondPeriod)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            if (_index == 0)
+                _prevPrice = Input.Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        // Calculate price changes
+        double priceChange = Input.Value - _prevPrice;
+        double absPriceChange = Math.Abs(priceChange);
+
+        if (Input.IsNew)
+            _prevPrice = Input.Value;
+
+        // First smoothing
+        double smoothPc = _pcEma1.Calc(new TValue(Input.Time, priceChange, Input.IsNew));
+        double smoothApc = _apcEma1.Calc(new TValue(Input.Time, absPriceChange, Input.IsNew));
+
+        // Second smoothing
+        double doubleSmoothedPc = _pcEma2.Calc(new TValue(Input.Time, smoothPc, Input.IsNew));
+        double doubleSmoothedApc = _apcEma2.Calc(new TValue(Input.Time, smoothApc, Input.IsNew));
+
+        // Calculate TSI
+        return doubleSmoothedApc >= double.Epsilon ? ScalingFactor * (doubleSmoothedPc / doubleSmoothedApc) : 0;
+    }
+}