new indicators

lib/volatility/Natr.cs

@@ -0,0 +1,94 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// NATR: Normalized Average True Range
+/// A volatility indicator that expresses ATR as a percentage of closing price,
+/// making it more comparable across different price levels.
+/// </summary>
+/// <remarks>
+/// The NATR calculation process:
+/// 1. Calculate True Range (TR):
+///    TR = max(high-low, abs(high-prevClose), abs(low-prevClose))
+/// 2. Calculate ATR using SMA of TR
+/// 3. Normalize by dividing ATR by close price and multiply by 100
+/// 4. Updates with each new price bar
+///
+/// Key characteristics:
+/// - Normalized volatility measure
+/// - Period-based average
+/// - Trend independent
+/// - Percentage-based measure
+/// - Comparable across instruments
+///
+/// Formula:
+/// TR = max(high-low, abs(high-prevClose), abs(low-prevClose))
+/// ATR = SMA(TR, period)
+/// NATR = (ATR / Close) * 100
+///
+/// Market Applications:
+/// - Cross-market comparison
+/// - Position sizing
+/// - Volatility analysis
+/// - Risk assessment
+/// - Market regime identification
+///
+/// Note: More suitable for comparing volatility across different instruments than ATR
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Natr : AbstractBase
+{
+    private readonly Sma _ma;
+    private double _prevClose;
+    private const int DefaultPeriod = 14;
+
+    /// <param name="period">The number of periods for NATR calculation (default 14).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Natr(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _ma = new(period);
+        WarmupPeriod = period;
+        Name = $"NATR({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for NATR calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Natr(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _prevClose = BarInput.Close;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate True Range
+        double hl = BarInput.High - BarInput.Low;
+        double hc = Math.Abs(BarInput.High - _prevClose);
+        double lc = Math.Abs(BarInput.Low - _prevClose);
+        double tr = Math.Max(hl, Math.Max(hc, lc));
+
+        // Calculate ATR
+        double atr = _ma.Calc(tr, BarInput.IsNew);
+
+        // Normalize ATR
+        return (atr / BarInput.Close) * 100.0;
+    }
+}