Chop & Cog

lib/momentum/_list.md

@@ -7,7 +7,7 @@ Done: 15, Todo: 2
 ✔️ *DMI - Directional Movement Index (DI+, DI-)
 ✔️ DMX - Jurik Directional Movement Index
 ✔️ DPO - Detrended Price Oscillator
-*MACD - Moving Average Convergence/Divergence (MACD, Signal, Histogram)
+✔️ *MACD - Moving Average Convergence/Divergence (MACD, Signal, Histogram)
 ✔️ MOM - Momentum
 ✔️ PMO - Price Momentum Oscillator
 ✔️ PO - Price Oscillator

lib/oscillators/Chop.cs

@@ -0,0 +1,111 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CHOP: Choppiness Index
+/// A technical indicator that measures the market's trendiness versus choppiness.
+/// It helps determine if the market is trending or moving sideways by comparing
+/// the total movement to the net directional movement over a period.
+/// </summary>
+/// <remarks>
+/// The CHOP calculation process:
+/// 1. Calculate ATR sum over period
+/// 2. Calculate total price range over period
+/// 3. Scale result to oscillate between 0 and 100
+///
+/// Key characteristics:
+/// - Oscillates between 0 and 100
+/// - Values above 61.8 indicate choppy market
+/// - Values below 38.2 indicate trending market
+/// - Based on ATR and price range
+/// - Higher values = more choppy/sideways
+/// - Lower values = more trending
+///
+/// Formula:
+/// CHOP = 100 * LOG10(SUM(ATR,n)/(HIGH(n)-LOW(n))) / LOG10(n)
+/// where:
+/// n = period
+/// ATR = Average True Range
+/// HIGH(n) = Highest high over period n
+/// LOW(n) = Lowest low over period n
+///
+/// Sources:
+///     E.W. Dreiss
+///     https://www.tradingview.com/support/solutions/43000501980-choppiness-index/
+///
+/// Note: Default period is 14
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Chop : AbstractBase
+{
+    private readonly Atr _atr;
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private readonly CircularBuffer _atrValues;
+    private readonly double _logPeriod;
+    private const int DefaultPeriod = 14;
+    private const double ScalingFactor = 100.0;
+
+    /// <param name="period">The number of periods used in the CHOP calculation (default 14).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Chop(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _atr = new(period);
+        _highs = new(period);
+        _lows = new(period);
+        _atrValues = new(period);
+        _logPeriod = Math.Log10(period);
+        WarmupPeriod = period;
+        Name = $"CHOP({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods used in the CHOP calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Chop(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)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate ATR and store it
+        double atr = _atr.Calc(BarInput);
+        _atrValues.Add(atr, BarInput.IsNew);
+
+        // Store high and low prices
+        _highs.Add(BarInput.High, BarInput.IsNew);
+        _lows.Add(BarInput.Low, BarInput.IsNew);
+
+        // Calculate highest high and lowest low over period
+        double highestHigh = _highs.Max();
+        double lowestLow = _lows.Min();
+        double range = highestHigh - lowestLow;
+
+        // Calculate sum of ATR values
+        double atrSum = _atrValues.Sum();
+
+        // Avoid division by zero
+        if (range < double.Epsilon || _logPeriod < double.Epsilon)
+            return 0.0;
+
+        // Calculate CHOP
+        return ScalingFactor * Math.Log10(atrSum / range) / _logPeriod;
+    }
+}

lib/oscillators/Cog.cs

@@ -0,0 +1,101 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// COG: Ehler's Center of Gravity Oscillator
+/// A momentum oscillator that uses the concept of center of gravity from physics
+/// to measure price momentum. It calculates a weighted sum where more recent
+/// prices have higher weights.
+/// </summary>
+/// <remarks>
+/// The COG calculation process:
+/// 1. Calculate weighted sum of prices (numerator)
+/// 2. Calculate sum of weights (denominator)
+/// 3. Divide to get center of gravity
+/// 4. Invert and normalize result
+///
+/// Key characteristics:
+/// - Oscillates around zero
+/// - Leading indicator (less lag than traditional momentum)
+/// - Positive values indicate upward momentum
+/// - Negative values indicate downward momentum
+/// - Zero line crossovers signal trend changes
+///
+/// Formula:
+/// COG = -((Σ(Price(i) * i)) / (Σ(Price(i))) - (period + 1)/2)
+/// where:
+/// i = position in period (1 to period)
+/// Price(i) = price at position i
+///
+/// Sources:
+///     John F. Ehlers - "Cybernetic Analysis for Stocks and Futures"
+///     https://www.mesasoftware.com/papers/CenterOfGravity.pdf
+///
+/// Note: Default period is 10
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Cog : AbstractBase
+{
+    private readonly CircularBuffer _prices;
+    private readonly int _period;
+    private const int DefaultPeriod = 10;
+
+    /// <param name="period">The number of periods used in the COG calculation (default 10).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Cog(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _period = period;
+        _prices = new(period);
+        WarmupPeriod = period;
+        Name = $"COG({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods used in the COG calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Cog(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        // Add new price to buffer
+        _prices.Add(Input.Value, Input.IsNew);
+
+        double numerator = 0.0;
+        double denominator = 0.0;
+
+        // Calculate weighted sums
+        for (int i = 0; i < _prices.Count; i++)
+        {
+            double price = _prices[i];
+            double weight = i + 1;
+            numerator += price * weight;
+            denominator += price;
+        }
+
+        // Avoid division by zero
+        if (Math.Abs(denominator) < double.Epsilon)
+            return 0.0;
+
+        // Calculate center of gravity and normalize
+        return -((numerator / denominator) - (_period + 1.0) / 2.0);
+    }
+}

lib/oscillators/_list.md

@@ -1,15 +1,15 @@
 # Oscillators indicators
-Done: 6, Todo: 23
+Done: 11, Todo: 18
 
 ✔️ AC - Acceleration Oscillator
 ✔️ AO - Awesome Oscillator
 ✔️ *AROON - Aroon oscillator (Up, Down)
-, 
-CCI - Commodity Channel Index
-CFO - Chande Forcast Oscillator
+BOP - Balance of Power
+✔️ CCI - Commodity Channel Index
+✔️ CFO - Chande Forcast Oscillator
 ✔️ CMO - Chande Momentum Oscillator
-CHOP - Choppiness Index
-COG - Ehler's Center of Gravity
+✔️ CHOP - Choppiness Index
+✔️ COG - Ehler's Center of Gravity
 COPPOCK - Coppock Curve
 CRSI - Connor RSI
 CTI - Ehler's Correlation Trend Indicator