Add Savitzky-Golay Moving Average (SGMA) Indicator Implementation

- Implemented SgmaIndicator class in C# with properties for Period, Degree, and Source. - Added unit tests for SgmaIndicator covering constructor defaults, initialization, and various update scenarios. - Created a new Quantower adapter for the SGMA indicator, including input parameters and line series setup. - Removed legacy SGMA implementation and tests to streamline the codebase. - Updated project files to include new indicator and tests in the build process. - Generated a missing indicators report and outlined a plan for oscillator documentation rewrite.
2026-08-19 19:18:05 +00:00 · 2026-02-13 21:44:45 -08:00
parent 951842acca
commit dfeb23bf3d
81 changed files with 13629 additions and 2041 deletions
@@ -0,0 +1,77 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// Quantower adapter for Granger Causality indicator.
+/// Tests whether one price source Granger-causes another using F-statistic.
+/// </summary>
+/// <remarks>
+/// This adapter compares two different price sources from the same symbol (e.g., Close vs Volume).
+/// For cross-symbol Granger causality analysis, use the core Granger class directly.
+///
+/// Higher F-statistic values indicate stronger evidence that Source 2 Granger-causes Source 1.
+/// </remarks>
+[SkipLocalsInit]
+public sealed class GrangerIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 0, minimum: 4, maximum: 10000)]
+    public int Period { get; set; } = 20;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Source 2 Type", sortIndex: 2)]
+    public SourceType Source2 { get; set; } = SourceType.Open;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Granger _granger = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+    private Func<IHistoryItem, double> _priceSelector2 = null!;
+
+    public static int MinHistoryDepths => 2;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"GRANGER({Period}):{_sourceName}/{Source2}";
+
+    public GrangerIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "GRANGER - Granger Causality F-Statistic";
+        Description = "Tests whether one price source helps predict another. Higher F-statistic = stronger evidence of Granger causality.";
+        _series = new LineSeries(name: "F-Stat", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _priceSelector = Source.GetPriceSelector();
+        _priceSelector2 = Source2.GetPriceSelector();
+        _sourceName = Source.ToString();
+        _granger = new Granger(Period);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool isNew = args.IsNewBar();
+
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        double valueY = _priceSelector(item);
+        double valueX = _priceSelector2(item);
+
+        var tvalY = new TValue(item.TimeLeft.Ticks, valueY);
+        var tvalX = new TValue(item.TimeLeft.Ticks, valueX);
+
+        double value = _granger.Update(tvalY, tvalX, isNew).Value;
+        _series.SetValue(value, _granger.IsHot, ShowColdValues);
+    }
+}