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Dosc

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Miha Kralj
2024-11-04 15:12:39 -08:00
parent c0cb90e89b 5b333bd2ec
commit 82fc868cf5
6 changed files with 436 additions and 350 deletions
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.github/workflows/Publish.yml
+1 -6
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@@ -252,6 +252,7 @@ jobs:
(github.event_name == 'push' && (github.ref == 'refs/heads/main' || github.ref == 'refs/heads/dev')) ||
github.event_name == 'workflow_dispatch'
runs-on: ubuntu-latest
steps:
- name: Checkout repository
uses: actions/checkout@v4
@@ -324,15 +325,9 @@ jobs:
env:
GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
run: |
<<<<<<<
gh release create v${{ github.sha }} \
--title "Release from commit ${{ github.sha }}" \
--notes "Release notes for this version." \
=======
gh release create v${{ steps.gitversion.outputs.MajorMinorPatch }} \
--title "Release from commit ${{ steps.gitversion.outputs.MajorMinorPatch }}" \
--notes "Release notes for this version." \
>>>>>>>
quantower/Averages/bin/Release/Averages.dll \
quantower/Statistics/bin/Release/Statistics.dll \
quantower/Volatility/bin/Release/Volatility.dll \
Tests/test_eventing.cs
+2 -1
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@@ -113,7 +113,8 @@ public class EventingTests
// Volatility indicators (bar-based)
("Atr", new Atr(14), new Atr(barInput, 14)),
// Oscillators (bar-based)
("Chop", new Chop(14), new Chop(barInput, 14))
("Chop", new Chop(14), new Chop(barInput, 14)),
("Dosc", new Dosc(), new Dosc(barInput))
};
// Generate 200 random values and feed them to indicators
Tests/test_updates_oscillators.cs
+324 -308
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@@ -1,308 +1,324 @@
using Xunit;
using System.Security.Cryptography;
namespace QuanTAlib.Tests;
public class OscillatorsUpdateTests
{
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
private const int RandomUpdates = 100;
private const double ReferenceValue = 100.0;
private const int precision = 8;
private double GetRandomDouble()
{
byte[] bytes = new byte[8];
rng.GetBytes(bytes);
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
}
private TBar GetRandomBar(bool IsNew)
{
double open = GetRandomDouble();
double high = open + Math.Abs(GetRandomDouble());
double low = open - Math.Abs(GetRandomDouble());
double close = low + ((high - low) * GetRandomDouble());
return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
}
[Fact]
public void Rsi_Update()
{
var indicator = new Rsi(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Rsx_Update()
{
var indicator = new Rsx(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cmo_Update()
{
var indicator = new Cmo(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Ao_Update()
{
var indicator = new Ao();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Ac_Update()
{
var indicator = new Ac();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Aroon_Update()
{
var indicator = new Aroon(period: 25);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Bop_Update()
{
var indicator = new Bop();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cci_Update()
{
var indicator = new Cci(period: 20);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cfo_Update()
{
var indicator = new Cfo(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Chop_Update()
{
var indicator = new Chop(period: 14);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cog_Update()
{
var indicator = new Cog(period: 10);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Smi_Update()
{
var indicator = new Smi(period: 10, smooth1: 3, smooth2: 3);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Srsi_Update()
{
var indicator = new Srsi(rsiPeriod: 14, stochPeriod: 14, smoothK: 3, smoothD: 3);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Stc_Update()
{
var indicator = new Stc(cyclePeriod: 10, fastPeriod: 23, slowPeriod: 50);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Stoch_Update()
{
var indicator = new Stoch(period: 14, smoothK: 3, smoothD: 3);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Tsi_Update()
{
var indicator = new Tsi(firstPeriod: 25, secondPeriod: 13);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Uo_Update()
{
var indicator = new Uo(period1: 7, period2: 14, period3: 28);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Willr_Update()
{
var indicator = new Willr(period: 14);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
}
using Xunit;
using System.Security.Cryptography;
namespace QuanTAlib.Tests;
public class OscillatorsUpdateTests
{
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
private const int RandomUpdates = 100;
private const double ReferenceValue = 100.0;
private const int precision = 8;
private double GetRandomDouble()
{
byte[] bytes = new byte[8];
rng.GetBytes(bytes);
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
}
private TBar GetRandomBar(bool IsNew)
{
double open = GetRandomDouble();
double high = open + Math.Abs(GetRandomDouble());
double low = open - Math.Abs(GetRandomDouble());
double close = low + ((high - low) * GetRandomDouble());
return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
}
[Fact]
public void Rsi_Update()
{
var indicator = new Rsi(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Rsx_Update()
{
var indicator = new Rsx(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cmo_Update()
{
var indicator = new Cmo(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Ao_Update()
{
var indicator = new Ao();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Ac_Update()
{
var indicator = new Ac();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Aroon_Update()
{
var indicator = new Aroon(period: 25);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Bop_Update()
{
var indicator = new Bop();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cci_Update()
{
var indicator = new Cci(period: 20);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cfo_Update()
{
var indicator = new Cfo(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Chop_Update()
{
var indicator = new Chop(period: 14);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cog_Update()
{
var indicator = new Cog(period: 10);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Smi_Update()
{
var indicator = new Smi(period: 10, smooth1: 3, smooth2: 3);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Srsi_Update()
{
var indicator = new Srsi(rsiPeriod: 14, stochPeriod: 14, smoothK: 3, smoothD: 3);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Stc_Update()
{
var indicator = new Stc(cyclePeriod: 10, fastPeriod: 23, slowPeriod: 50);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Stoch_Update()
{
var indicator = new Stoch(period: 14, smoothK: 3, smoothD: 3);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Tsi_Update()
{
var indicator = new Tsi(firstPeriod: 25, secondPeriod: 13);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Uo_Update()
{
var indicator = new Uo(period1: 7, period2: 14, period3: 28);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Willr_Update()
{
var indicator = new Willr(period: 14);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Dosc_Update()
{
var indicator = new Dosc();
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
}
docs/indicators/indicators.md
+3 -3
View File
@@ -5,12 +5,12 @@
| Basic Transforms | 6 of 6 | 100% |
| Averages & Trends | 33 of 33 | 100% |
| Momentum | 16 of 16 | 100% |
| Oscillators | 20 of 29 | 69% |
| Oscillators | 21 of 29 | 72% |
| Volatility | 24 of 35 | 69% |
| Volume | 15 of 19 | 79% |
| Numerical Analysis | 13 of 19 | 68% |
| Errors | 16 of 16 | 100% |
| **Total** | **143 of 173** | **83%** |
| **Total** | **144 of 173** | **83%** |
|Technical Indicator Name| Class Name|
|-----------|:----------:|
@@ -85,7 +85,6 @@
|COPPOCK - Coppock Curve|`Coppock`|
|CRSI - Connor RSI|`Crsi`|
|🚧 CTI - Ehler's Correlation Trend Indicator|`Cti`|
|🚧 DOSC - Derivative Oscillator|`Dosc`|
|🚧 EFI - Elder Ray's Force Index|`Efi`|
|🚧 FISHER - Fisher Transform|`Fisher`|
|🚧 FOSC - Forecast Oscillator|`Fosc`|
@@ -102,6 +101,7 @@
|TSI - True Strength Index|`Tsi`|
|UO - Ultimate Oscillator|`Uo`|
|WILLR - Larry Williams' %R|`Willr`|
|DOSC - Derivative Oscillator|`Dosc`|
|**VOLATILITY INDICATORS**||
|ADR - Average Daily Range|`Adr`|
|AP - Andrew's Pitchfork|`Ap`|
lib/oscillators/Dosc.cs
+74
View File
@@ -0,0 +1,74 @@
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
/// DOSC: Derivative Oscillator
/// A momentum indicator that combines the Relative Strength Index (RSI) and the Moving Average Convergence Divergence (MACD) to identify potential trend reversals.
/// </summary>
/// <remarks>
/// The DOSC calculation process:
/// 1. Calculate the RSI
/// 2. Calculate the MACD of the RSI
/// 3. Calculate the signal line (SMA) of the MACD
/// 4. Subtract the signal line from the MACD to get the DOSC
///
/// Key characteristics:
/// - Combines RSI and MACD
/// - Oscillates above and below zero
/// - Positive values indicate bullish momentum
/// - Negative values indicate bearish momentum
/// - Crosses above zero suggest buying opportunities
/// - Crosses below zero suggest selling opportunities
///
/// Formula:
/// DOSC = MACD(RSI) - Signal(MACD(RSI))
///
/// Sources:
/// Original development
/// https://www.investopedia.com/terms/d/derivativeoscillator.asp
/// </remarks>
[SkipLocalsInit]
public sealed class Dosc : AbstractBase
{
private readonly Rsi _rsi;
private readonly Macd _macd;
private readonly Sma _signal;
/// <param name="source">The data source object that publishes updates.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Dosc(object source) : this()
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Dosc()
{
_rsi = new Rsi();
_macd = new Macd();
_signal = new Sma(9);
WarmupPeriod = 34; // RSI requires 14 periods + MACD requires 26 periods + 9 for signal line
Name = "DOSC";
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
{
_index++;
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override double Calculation()
{
ManageState(BarInput.IsNew);
var rsi = _rsi.Calc(BarInput.Close, BarInput.IsNew);
var macd = _macd.Calc(rsi, BarInput.IsNew);
_signal.Calc(macd, BarInput.IsNew);
return macd - _signal.Value;
}
}
lib/oscillators/_list.md
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# Oscillators indicators
Done: 20, Todo: 9
✔️ AC - Acceleration Oscillator
✔️ AO - Awesome Oscillator
✔️ AROON - Aroon oscillator (Up, Down)
✔️ BOP - Balance of Power
✔️ CCI - Commodity Channel Index
✔️ CFO - Chande Forcast Oscillator
✔️ CHOP - Choppiness Index
✔️ CMO - Chande Momentum Oscillator
✔️ COG - Ehler's Center of Gravity
✔️ COPPOCK - Coppock Curve
✔️ CRSI - Connor RSI
CTI - Ehler's Correlation Trend Indicator
DOSC - Derivative Oscillator
EFI - Elder Ray's Force Index
FISHER - Fisher Transform
FOSC - Forecast Oscillator
*GATOR - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)
*KDJ - KDJ Indicator (K, D, J lines)
KRI - Kairi Relative Index
✔️ RSI - Relative Strength Index
✔️ RSX - Jurik Trend Strength Index
*RVGI - Relative Vigor Index (RVGI, Signal)
✔️ SMI - Stochastic Momentum Index
✔️ SRSI - Stochastic RSI (SRSI, Signal)
✔️ STC - Schaff Trend Cycle
✔️ STOCH - Stochastic Oscillator (%K, %D)
✔️ TSI - True Strength Index
✔️ UO - Ultimate Oscillator
✔️ WILLR - Larry Williams' %R
# Oscillators indicators
Done: 21, Todo: 8
✔️ AC - Acceleration Oscillator
✔️ AO - Awesome Oscillator
✔️ AROON - Aroon oscillator (Up, Down)
✔️ BOP - Balance of Power
✔️ CCI - Commodity Channel Index
✔️ CFO - Chande Forcast Oscillator
✔️ CHOP - Choppiness Index
✔️ CMO - Chande Momentum Oscillator
✔️ COG - Ehler's Center of Gravity
✔️ COPPOCK - Coppock Curve
✔️ CRSI - Connor RSI
CTI - Ehler's Correlation Trend Indicator
✔️ DOSC - Derivative Oscillator
EFI - Elder Ray's Force Index
FISHER - Fisher Transform
FOSC - Forecast Oscillator
*GATOR - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)
*KDJ - KDJ Indicator (K, D, J lines)
KRI - Kairi Relative Index
✔️ RSI - Relative Strength Index
✔️ RSX - Jurik Trend Strength Index
*RVGI - Relative Vigor Index (RVGI, Signal)
✔️ SMI - Stochastic Momentum Index
✔️ SRSI - Stochastic RSI (SRSI, Signal)
✔️ STC - Schaff Trend Cycle
✔️ STOCH - Stochastic Oscillator (%K, %D)
✔️ TSI - True Strength Index
✔️ UO - Ultimate Oscillator
✔️ WILLR - Larry Williams' %R