feat: add ADF (Augmented Dickey-Fuller) indicator

- Core implementation with Cholesky OLS, MacKinnon p-value, AIC lag selection - Three regression models: NoConstant, Constant, ConstantAndTrend - NormCdf via Abramowitz & Stegun 7.1.26 erf approximation - Quantower adapter, Python bridge (NativeAOT export + ctypes + wrapper) - 69 tests (41 unit + 12 validation + 14 Quantower + 2 consistency) - Documentation with Schwert table, MacKinnon coefficients, PineScript ref - All 19,095 tests pass, zero warnings
2026-08-25 13:58:04 +00:00 · 2026-03-15 17:56:54 -07:00
parent 0468283d45
commit e3bd07aa87
17 changed files with 2790 additions and 2 deletions
@@ -0,0 +1,82 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// ADF Quantower indicator.
+/// Augmented Dickey-Fuller unit root test — outputs p-value for stationarity detection.
+/// </summary>
+[SkipLocalsInit]
+public sealed class AdfIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 20, 500, 1, 0)]
+    public int Period { get; set; } = 50;
+
+    [InputParameter("Max Lag (0=auto)", sortIndex: 2, 0, 10, 1, 0)]
+    public int MaxLag { get; set; } = 0;
+
+    [InputParameter("Regression Model", sortIndex: 3, variants: new object[] {
+        "No Constant", 0, "Constant", 1, "Constant + Trend", 2 })]
+    public int RegressionModel { get; set; } = 1;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Adf _indicator = null!;
+    private readonly LineSeries _pValueSeries;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public int MinHistoryDepths => Period;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName
+    {
+        get
+        {
+            string regStr = RegressionModel switch { 0 => "nc", 1 => "c", 2 => "ct", _ => "c" };
+            return $"ADF({Period},{MaxLag},{regStr}):{_sourceName}";
+        }
+    }
+
+    public override string SourceCodeLink =>
+        "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/adf/Adf.Quantower.cs";
+
+    public AdfIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        _sourceName = Source.ToString();
+        Name = "ADF - Augmented Dickey-Fuller Test";
+        Description = "Tests for unit root (non-stationarity). P-value near 0 indicates stationarity.";
+
+        _pValueSeries = new LineSeries(name: "P-Value", color: IndicatorExtensions.Statistics,
+            width: 2, style: LineStyle.Solid);
+        AddLineSeries(_pValueSeries);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _indicator = new Adf(Period, MaxLag, (Adf.AdfRegression)RegressionModel);
+        _sourceName = Source.ToString();
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        TValue result = _indicator.Update(
+            new TValue(item.TimeLeft.Ticks, _priceSelector(item)),
+            isNew: args.IsNewBar());
+
+        _pValueSeries.SetValue(result.Value, _indicator.IsHot, ShowColdValues);
+    }
+}