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 +1,111 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// PVO: Percentage Volume Oscillator
+/// A momentum indicator for volume that shows the relationship between two volume moving averages
+/// as a percentage. Similar to the Price Oscillator but uses volume instead of price.
+/// </summary>
+/// <remarks>
+/// The PVO calculation process:
+/// 1. Calculate short-term EMA of volume
+/// 2. Calculate long-term EMA of volume
+/// 3. Calculate PVO:
+///    PVO = ((Short EMA - Long EMA) / Long EMA) * 100
+///
+/// Key characteristics:
+/// - Volume-based momentum indicator
+/// - Oscillates around zero
+/// - Shows volume trends
+/// - Default periods are 12 and 26 days
+/// - Percentage-based measure
+///
+/// Formula:
+/// Short EMA = EMA(Volume, shortPeriod)
+/// Long EMA = EMA(Volume, longPeriod)
+/// PVO = ((Short EMA - Long EMA) / Long EMA) * 100
+///
+/// Market Applications:
+/// - Volume trend analysis
+/// - Divergence identification
+/// - Volume momentum measurement
+/// - Market tops and bottoms
+/// - Trading volume patterns
+///
+/// Sources:
+///     https://www.investopedia.com/terms/p/pvo.asp
+///
+/// Note: Positive values indicate higher short-term volume, while negative values indicate higher long-term volume
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Pvo : AbstractBase
+{
+    private readonly int _longPeriod;
+    private double _shortEma;
+    private double _longEma;
+    private readonly double _shortAlpha;
+    private readonly double _longAlpha;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Pvo(int shortPeriod = 12, int longPeriod = 26)
+    {
+        _longPeriod = longPeriod;
+        WarmupPeriod = longPeriod;
+        Name = $"PVO({shortPeriod},{_longPeriod})";
+        _shortAlpha = 2.0 / (shortPeriod + 1);
+        _longAlpha = 2.0 / (longPeriod + 1);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Pvo(object source, int shortPeriod = 12, int longPeriod = 26) : this(shortPeriod, longPeriod)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _shortEma = 0;
+        _longEma = 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);
+
+        // Initialize or update EMAs
+        if (_index <= _longPeriod)
+        {
+            _shortEma = BarInput.Volume;
+            _longEma = BarInput.Volume;
+            return 0;
+        }
+
+        // Update EMAs
+        _shortEma = (_shortAlpha * BarInput.Volume) + ((1 - _shortAlpha) * _shortEma);
+        _longEma = (_longAlpha * BarInput.Volume) + ((1 - _longAlpha) * _longEma);
+
+        // Calculate PVO
+
+        double pvo = Math.Abs(_longEma) >= double.Epsilon ? ((_shortEma - _longEma) / _longEma) * 100 : 0;
+
+        IsHot = _index >= WarmupPeriod;
+        return pvo;
+    }
+}