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

2026-08-17 18:18:04 +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 +1,117 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// OBV: On-Balance Volume
+/// A momentum indicator that uses volume flow to predict changes in stock price.
+/// It accumulates volume on up days and subtracts volume on down days.
+/// </summary>
+/// <remarks>
+/// The OBV calculation process:
+/// 1. Compare current close with previous close
+/// 2. If current close is higher:
+///    OBV = Previous OBV + Current Volume
+/// 3. If current close is lower:
+///    OBV = Previous OBV - Current Volume
+/// 4. If current close equals previous close:
+///    OBV = Previous OBV
+///
+/// Key characteristics:
+/// - Cumulative indicator
+/// - Volume-based momentum measure
+/// - Leading indicator
+/// - No upper or lower bounds
+/// - Focuses on volume flow
+///
+/// Formula:
+/// If Close > Previous Close:
+///    OBV = Previous OBV + Volume
+/// If Close < Previous Close:
+///    OBV = Previous OBV - Volume
+/// If Close = Previous Close:
+///    OBV = Previous OBV
+///
+/// Market Applications:
+/// - Trend confirmation
+/// - Potential breakouts
+/// - Divergence analysis
+/// - Volume flow analysis
+/// - Price movement prediction
+///
+/// Sources:
+///     Joe Granville - Original development (1963)
+///     https://www.investopedia.com/terms/o/onbalancevolume.asp
+///
+/// Note: Rising OBV suggests buying pressure, while falling OBV suggests selling pressure
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Obv : AbstractBase
+{
+    private double _prevClose;
+    private double _prevObv;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Obv()
+    {
+        WarmupPeriod = 2;  // Need previous close
+        Name = "OBV";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Obv(object source) : this()
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _prevObv = 0;
+    }
+
+    [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);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate OBV
+        if (BarInput.Close > _prevClose)
+        {
+            _prevObv += BarInput.Volume;
+        }
+        else if (BarInput.Close < _prevClose)
+        {
+            _prevObv -= BarInput.Volume;
+        }
+        // If prices equal, OBV remains the same
+
+        // Store current close for next calculation
+        _prevClose = BarInput.Close;
+
+        IsHot = _index >= WarmupPeriod;
+        return _prevObv;
+    }
+}