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This commit is contained in:
Miha Kralj
2024-11-03 15:52:25 -08:00
parent 7b41d84c66
commit 7f6c29151c
7 changed files with 162 additions and 104 deletions
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lib/volatility/Fcb.cs
+9 -13
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@@ -42,7 +42,6 @@ namespace QuanTAlib;
[SkipLocalsInit]
public sealed class Fcb : AbstractBase
{
private readonly int _period;
private readonly double _smoothing;
private readonly CircularBuffer _highs;
private readonly CircularBuffer _lows;
@@ -56,11 +55,10 @@ public sealed class Fcb : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Fcb(int period = 20, double smoothing = 0.5)
{
_period = period;
_smoothing = smoothing;
_alpha = 2.0 / (_period + 1);
_alpha = 2.0 / (period + 1);
WarmupPeriod = period + 4; // Need extra periods for fractal identification
Name = $"FCB({_period},{_smoothing})";
Name = $"FCB({period},{_smoothing})";
_highs = new CircularBuffer(period);
_lows = new CircularBuffer(period);
Init();
@@ -116,16 +114,14 @@ public sealed class Fcb : AbstractBase
bool isFractalHigh = false;
bool isFractalLow = false;
if (_index >= 5)
{
// Fractal high: current high is higher than 2 bars before and after
isFractalHigh = _highs[2] > _highs[0] && _highs[2] > _highs[1] &&
_highs[2] > _highs[3] && _highs[2] > _highs[4];
// Fractal high: current high is higher than 2 bars before and after
isFractalHigh = _highs[2] > _highs[0] && _highs[2] > _highs[1] &&
_highs[2] > _highs[3] && _highs[2] > _highs[4];
// Fractal low: current low is lower than 2 bars before and after
isFractalLow = _lows[2] < _lows[0] && _lows[2] < _lows[1] &&
_lows[2] < _lows[3] && _lows[2] < _lows[4];
// Fractal low: current low is lower than 2 bars before and after
isFractalLow = _lows[2] < _lows[0] && _lows[2] < _lows[1] &&
_lows[2] < _lows[3] && _lows[2] < _lows[4];
}
// Update EMAs with fractal points
if (isFractalHigh)