mirror of
https://github.com/mihakralj/QuanTAlib.git
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feat: Dpo, Tsi, Vortex, Bpp, Cci, Cfo, Tr, Ui, Vc, Vov, Vr, Vs, Mfi, Nvi, Obv, Pvi, Pvo, Pvol, Pvr, Pvt, Tvi
This commit is contained in:
Miha
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// DPO: Detrended Price Oscillator
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/// A momentum indicator that removes the trend from price by comparing the current price
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/// to a past moving average, helping to identify cycles in the price.
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/// </summary>
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/// <remarks>
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/// The DPO calculation process:
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/// 1. Calculate the period shifted back by (period / 2 + 1) days
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/// 2. Calculate SMA for the shifted period
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/// 3. DPO = Price - SMA(Price, period) shifted back
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///
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/// Key characteristics:
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/// - Removes long-term trends
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/// - Helps identify cycles
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/// - Oscillates above and below zero
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/// - Default period is 20 days
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/// - Uses price displacement
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///
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/// Formula:
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/// DPO = Price - SMA(Price, period) shifted (period/2 + 1) bars back
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///
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/// Market Applications:
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/// - Cycle identification
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/// - Overbought/Oversold conditions
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/// - Price momentum
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/// - Trading signals
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/// - Market timing
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///
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/// Sources:
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/// Donald Dorsey - Original development
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/// https://www.investopedia.com/terms/d/detrended-price-oscillator-dpo.asp
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///
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/// Note: DPO helps identify cycles by removing the trend component from the price data
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Dpo : AbstractBase
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{
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private readonly int _shift;
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private readonly CircularBuffer _prices;
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private readonly CircularBuffer _sma;
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Dpo(int period = 20)
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{
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_shift = period / 2 + 1;
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WarmupPeriod = period + _shift;
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Name = $"DPO({period})";
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_prices = new CircularBuffer(WarmupPeriod);
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_sma = new CircularBuffer(period);
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Init();
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}
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/// <param name="source">The data source object that publishes updates.</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Dpo(object source, int period = 20) : this(period)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new BarSignal(Sub));
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void Init()
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{
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base.Init();
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_prices.Clear();
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_sma.Clear();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Value;
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_index++;
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
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protected override double Calculation()
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{
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ManageState(BarInput.IsNew);
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// Add current price to buffer
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_prices.Add(BarInput.Close);
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// Need enough prices for the shifted SMA calculation
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if (_index <= _shift)
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{
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return 0;
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}
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// Add price from shift periods ago to SMA buffer
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_sma.Add(_prices[_shift]);
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// Need enough prices for full calculation
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if (_index <= WarmupPeriod)
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{
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return 0;
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}
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// Calculate DPO
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double dpo = BarInput.Close - _sma.Average();
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IsHot = _index >= WarmupPeriod;
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return dpo;
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}
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}
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// TSI: True Strength Index
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/// A momentum indicator that shows both trend direction and overbought/oversold conditions
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/// by using two smoothing steps on price changes.
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/// </summary>
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/// <remarks>
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/// The TSI calculation process:
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/// 1. Calculate price change (PC):
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/// PC = Close - Previous Close
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/// 2. Calculate absolute price change (APC):
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/// APC = |PC|
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/// 3. Double smooth both PC and APC using EMA:
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/// First PC EMA = EMA(PC, firstPeriod)
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/// Second PC EMA = EMA(First PC EMA, secondPeriod)
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/// First APC EMA = EMA(APC, firstPeriod)
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/// Second APC EMA = EMA(First APC EMA, secondPeriod)
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/// 4. Calculate TSI:
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/// TSI = (Second PC EMA / Second APC EMA) * 100
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///
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/// Key characteristics:
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/// - Double smoothed momentum indicator
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/// - Oscillates between +100 and -100
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/// - Default periods are 25 and 13
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/// - Shows trend direction
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/// - Identifies overbought/oversold
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///
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/// Formula:
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/// TSI = (EMA(EMA(PC, r), s) / EMA(EMA(|PC|, r), s)) * 100
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/// where:
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/// PC = Close - Previous Close
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/// r = first period (default 25)
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/// s = second period (default 13)
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///
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/// Market Applications:
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/// - Trend direction
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/// - Overbought/Oversold levels
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/// - Centerline crossovers
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/// - Divergence analysis
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/// - Signal line crossovers
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///
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/// Sources:
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/// William Blau - Original development (1991)
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/// https://www.investopedia.com/terms/t/tsi.asp
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///
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/// Note: Values above +25 indicate overbought conditions, while values below -25 indicate oversold conditions
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Tsi : AbstractBase
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{
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private readonly int _firstPeriod;
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private double _prevClose;
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private double _pcFirstEma;
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private double _pcSecondEma;
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private double _apcFirstEma;
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private double _apcSecondEma;
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private readonly double _firstAlpha;
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private readonly double _secondAlpha;
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Tsi(int firstPeriod = 25, int secondPeriod = 13)
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{
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_firstPeriod = firstPeriod;
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WarmupPeriod = firstPeriod + secondPeriod;
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Name = $"TSI({_firstPeriod},{secondPeriod})";
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_firstAlpha = 2.0 / (firstPeriod + 1);
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_secondAlpha = 2.0 / (secondPeriod + 1);
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Init();
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}
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/// <param name="source">The data source object that publishes updates.</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Tsi(object source, int firstPeriod = 25, int secondPeriod = 13) : this(firstPeriod, secondPeriod)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new BarSignal(Sub));
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void Init()
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{
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base.Init();
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_prevClose = 0;
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_pcFirstEma = 0;
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_pcSecondEma = 0;
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_apcFirstEma = 0;
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_apcSecondEma = 0;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Value;
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_index++;
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
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protected override double Calculation()
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{
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ManageState(BarInput.IsNew);
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// Skip first period to establish previous close
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if (_index == 1)
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{
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_prevClose = BarInput.Close;
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return 0;
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}
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// Calculate price changes
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double pc = BarInput.Close - _prevClose;
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double apc = Math.Abs(pc);
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// Initialize or update EMAs
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if (_index <= _firstPeriod)
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{
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_pcFirstEma = pc;
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_apcFirstEma = apc;
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}
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else
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{
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_pcFirstEma = (_firstAlpha * pc) + ((1 - _firstAlpha) * _pcFirstEma);
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_apcFirstEma = (_firstAlpha * apc) + ((1 - _firstAlpha) * _apcFirstEma);
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}
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if (_index <= WarmupPeriod)
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{
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_pcSecondEma = _pcFirstEma;
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_apcSecondEma = _apcFirstEma;
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}
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else
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{
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_pcSecondEma = (_secondAlpha * _pcFirstEma) + ((1 - _secondAlpha) * _pcSecondEma);
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_apcSecondEma = (_secondAlpha * _apcFirstEma) + ((1 - _secondAlpha) * _apcSecondEma);
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}
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// Store current close for next calculation
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_prevClose = BarInput.Close;
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// Calculate TSI
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double tsi = Math.Abs(_apcSecondEma) > double.Epsilon ? (_pcSecondEma / _apcSecondEma) * 100 : 0;
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IsHot = _index >= WarmupPeriod;
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return tsi;
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}
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}
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// VORTEX: Vortex Indicator
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/// A technical indicator consisting of two oscillating lines that identify trend reversals
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/// and confirm current trends based on the highs and lows of the previous period.
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/// </summary>
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/// <remarks>
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/// The Vortex calculation process:
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/// 1. Calculate True Range (TR):
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/// TR = max(High - Low, |High - Previous Close|, |Low - Previous Close|)
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/// 2. Calculate +VM (Positive Movement):
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/// +VM = |Current High - Previous Low|
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/// 3. Calculate -VM (Negative Movement):
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/// -VM = |Current Low - Previous High|
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/// 4. Calculate period sums:
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/// TR Period Sum = Sum(TR, period)
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/// +VM Period Sum = Sum(+VM, period)
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/// -VM Period Sum = Sum(-VM, period)
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/// 5. Calculate +VI and -VI:
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/// +VI = +VM Period Sum / TR Period Sum
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/// -VI = -VM Period Sum / TR Period Sum
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///
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/// Key characteristics:
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/// - Two oscillating lines (+VI and -VI)
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/// - No upper or lower bounds
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/// - Default period is 14 days
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/// - Crossovers signal trend changes
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/// - Uses true range normalization
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///
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/// Formula:
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/// +VI = Sum(+VM, period) / Sum(TR, period)
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/// -VI = Sum(-VM, period) / Sum(TR, period)
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///
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/// Market Applications:
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/// - Trend identification
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/// - Trend reversals
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/// - Trend confirmation
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/// - Trading signals
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/// - Market momentum
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///
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/// Sources:
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/// Etienne Botes and Douglas Siepman - Original development (2010)
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/// https://www.investopedia.com/terms/v/vortex-indicator-vi.asp
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///
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/// Note: When +VI crosses above -VI, it signals a potential uptrend, and vice versa
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Vortex : AbstractBase
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{
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private readonly CircularBuffer _tr;
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private readonly CircularBuffer _vmPlus;
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private readonly CircularBuffer _vmMinus;
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private double _prevHigh;
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private double _prevLow;
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private double _prevClose;
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public double _viPlus { get; set; }
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public double _viMinus { get; set; }
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Vortex(int period = 14)
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{
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WarmupPeriod = period + 1; // Need one extra period for previous values
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Name = $"VORTEX({period})";
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_tr = new CircularBuffer(period);
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_vmPlus = new CircularBuffer(period);
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_vmMinus = new CircularBuffer(period);
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Init();
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}
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/// <param name="source">The data source object that publishes updates.</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Vortex(object source, int period = 14) : this(period)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new BarSignal(Sub));
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void Init()
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{
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base.Init();
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_prevHigh = 0;
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_prevLow = 0;
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_prevClose = 0;
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_viPlus = 0;
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_viMinus = 0;
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_tr.Clear();
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_vmPlus.Clear();
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_vmMinus.Clear();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Value;
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_index++;
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
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protected override double Calculation()
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{
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ManageState(BarInput.IsNew);
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// Skip first period to establish previous values
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if (_index == 1)
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{
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_prevHigh = BarInput.High;
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_prevLow = BarInput.Low;
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_prevClose = BarInput.Close;
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return 0;
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}
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// Calculate True Range
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double tr = Math.Max(BarInput.High - BarInput.Low,
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Math.Max(Math.Abs(BarInput.High - _prevClose),
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Math.Abs(BarInput.Low - _prevClose)));
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// Calculate VM+ and VM-
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double vmPlus = Math.Abs(BarInput.High - _prevLow);
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double vmMinus = Math.Abs(BarInput.Low - _prevHigh);
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// Add values to buffers
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_tr.Add(tr);
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_vmPlus.Add(vmPlus);
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_vmMinus.Add(vmMinus);
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// Calculate VI+ and VI-
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double trSum = _tr.Sum();
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if (Math.Abs(trSum) > double.Epsilon)
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{
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_viPlus = _vmPlus.Sum() / trSum;
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_viMinus = _vmMinus.Sum() / trSum;
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}
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// Store current values for next calculation
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_prevHigh = BarInput.High;
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_prevLow = BarInput.Low;
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_prevClose = BarInput.Close;
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// Return the difference between VI+ and VI-
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double vortex = _viPlus - _viMinus;
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IsHot = _index >= WarmupPeriod;
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return vortex;
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}
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/// <summary>
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/// Gets the positive Vortex line (VI+)
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/// </summary>
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public double ViPlus => _viPlus;
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/// <summary>
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/// Gets the negative Vortex line (VI-)
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/// </summary>
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public double ViMinus => _viMinus;
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}
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@@ -1,20 +1,20 @@
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# Momentum indicators
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Done: 12, Todo: 5
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Done: 15, Todo: 2
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✔️ ADX - Average Directional Movement Index
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✔️ ADXR - Average Directional Movement Index Rating
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✔️ APO - Absolute Price Oscillator
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✔️ DMI - Directional Movement Index
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✔️ *DMI - Directional Movement Index (DI+, DI-)
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✔️ DMX - Jurik Directional Movement Index
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DPO - Detrended Price Oscillator
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MACD - Moving Average Convergence/Divergence
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✔️ DPO - Detrended Price Oscillator
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*MACD - Moving Average Convergence/Divergence (MACD, Signal, Histogram)
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✔️ MOM - Momentum
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✔️ PMO - Price Momentum Oscillator
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✔️ PO - Price Oscillator
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✔️ PPO - Percentage Price Oscillator
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✔️ PRS - Price Relative Strength
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✔️ ROC - Rate of Change
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TSI - True Strength Index
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✔️ TSI - True Strength Index
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✔️ TRIX - 1-day ROC of TEMA
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✔️ VEL - Jurik Signal Velocity
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VORTEX - Vortex Indicator
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✔️ *VORTEX - Vortex Indicator (VI+, VI-)
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