feat: Dpo, Tsi, Vortex, Bpp, Cci, Cfo, Tr, Ui, Vc, Vov, Vr, Vs, Mfi, Nvi, Obv, Pvi, Pvo, Pvol, Pvr, Pvt, Tvi

2026-08-18 18:48:05 +00:00 · 2024-10-30 13:45:36 -07:00
parent 06c6875970
commit 6231bab9e5
34 changed files with 3151 additions and 254 deletions
@@ -0,0 +1,114 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// UI: Ulcer Index
+/// A technical indicator that measures downside risk by incorporating both
+/// the depth and duration of price declines over a given period.
+/// </summary>
+/// <remarks>
+/// The UI calculation process:
+/// 1. Calculate percentage drawdown from recent high for each period
+/// 2. Square the drawdowns to emphasize larger declines
+/// 3. Calculate the average of squared drawdowns
+/// 4. Take the square root of the average
+///
+/// Key characteristics:
+/// - Measures downside volatility
+/// - Emphasizes larger drawdowns
+/// - Default period is 14 days
+/// - Always positive
+/// - No upper bound
+///
+/// Formula:
+/// Drawdown = ((Close - 14-period High) / 14-period High) * 100
+/// UI = sqrt(sum(Drawdown^2) / period)
+///
+/// Market Applications:
+/// - Risk assessment
+/// - Portfolio analysis
+/// - Trading system evaluation
+/// - Market timing
+/// - Trend strength measurement
+///
+/// Sources:
+///     Peter Martin - Original development (1987)
+///     https://www.investopedia.com/terms/u/ulcerindex.asp
+///
+/// Note: Higher values indicate higher risk due to deeper or more frequent drawdowns
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ui : AbstractBase
+{
+    private readonly int _period;
+    private readonly CircularBuffer _prices;
+    private readonly CircularBuffer _drawdowns;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ui(int period = 14)
+    {
+        _period = period;
+        WarmupPeriod = period;
+        Name = $"UI({_period})";
+        _prices = new CircularBuffer(period);
+        _drawdowns = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ui(object source, int period = 14) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prices.Clear();
+        _drawdowns.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Add current price to buffer
+        _prices.Add(BarInput.Close);
+
+        // Need enough prices for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate maximum price in period
+        double maxPrice = _prices.Max();
+
+        // Calculate percentage drawdown
+        double drawdown = Math.Abs(maxPrice) > double.Epsilon ? ((BarInput.Close - maxPrice) / maxPrice) * 100 : 0;
+
+        // Add squared drawdown to buffer
+        _drawdowns.Add(drawdown * drawdown);
+
+        // Calculate Ulcer Index
+        double ui = Math.Sqrt(_drawdowns.Average());
+
+        IsHot = _index >= WarmupPeriod;
+        return ui;
+    }
+}