Chop & Cog

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);
+    }
+}