From f4364ca7c466a6105a97178b6350a123b4df2876 Mon Sep 17 00:00:00 2001
From: Miha Kralj <miha@kraljfamily.net>
Date: Sat, 23 Apr 2022 11:23:09 -0700
Subject: [PATCH] KAMA

---
 Quantower/Indicators/KAMA_chart.cs | 52 +++++++++++++++++++++++++++++
 Source/Indicators/KAMA_Series.cs   | 53 ++++++++++++++++++++++++++++++
 2 files changed, 105 insertions(+)
 create mode 100644 Quantower/Indicators/KAMA_chart.cs
 create mode 100644 Source/Indicators/KAMA_Series.cs

diff --git a/Quantower/Indicators/KAMA_chart.cs b/Quantower/Indicators/KAMA_chart.cs
new file mode 100644
index 00000000..3e497191
--- /dev/null
+++ b/Quantower/Indicators/KAMA_chart.cs
@@ -0,0 +1,52 @@
+using System.Diagnostics;
+using System.Drawing;
+using TradingPlatform.BusinessLayer;
+namespace QuanTAlib;
+
+public class KAMA_chart : Indicator
+{
+    #region Parameters
+
+    [InputParameter("Smoothing period", 0, 1, 999, 1, 1)]
+    private int Period = 10;
+
+    [InputParameter("Data source", 1, variants: new object[]
+      { "Open", 0, "High", 1,  "Low", 2,  "Close", 3,  "HL2", 4,  "OC2", 5,
+      "OHL3", 6,  "HLC3", 7,  "OHLC4", 8,  "Weighted (HLCC4)", 9 })]
+    private int DataSource = 3;
+
+    #endregion Parameters
+
+    private readonly TBars bars = new();
+
+    ///////
+    private KAMA_Series indicator;
+    ///////
+
+    public KAMA_chart()
+    {
+    this.SeparateWindow = false;
+        this.Name = "KAMA - Kaufman's Adaptive Moving Average";
+        this.Description = "Kaufman's Adaptive Moving Average description";
+        this.AddLineSeries("KAMA", Color.RoyalBlue, 3, LineStyle.Solid);
+    }
+
+    protected override void OnInit()
+    {
+        this.ShortName =
+            "KAMA (" + TBars.SelectStr(this.DataSource) + ", " + this.Period + ")";
+        this.indicator = new(source: bars.Select(this.DataSource), period: this.Period, useNaN: false);
+        Debug.WriteLine($"KAMA on-init. indicator.Count: {indicator.Count}");
+		}
+
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool update = !(args.Reason == UpdateReason.NewBar ||
+                        args.Reason == UpdateReason.HistoricalBar);
+        this.bars.Add(this.Time(), this.GetPrice(PriceType.Open),
+                      this.GetPrice(PriceType.High), this.GetPrice(PriceType.Low),
+                      this.GetPrice(PriceType.Close), this.GetPrice(PriceType.Volume), update);
+        double result = this.indicator[this.indicator.Count - 1].v;
+        this.SetValue(result);
+    }
+}
diff --git a/Source/Indicators/KAMA_Series.cs b/Source/Indicators/KAMA_Series.cs
new file mode 100644
index 00000000..ed7ebc7b
--- /dev/null
+++ b/Source/Indicators/KAMA_Series.cs
@@ -0,0 +1,53 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+KAMA: Kaufman's Adaptive Moving Average
+    Created in 1988 by American quantitative finance theorist Perry J. Kaufman and is known as
+    Kaufman's Adaptive Moving Average (KAMA). Even though the method was developed as early as 1972,
+    it was not until the popular book titled "Trading Systems and Methods" that it was made widely
+    available to the public. Unlike other conventional moving averages systems, the Kaufman's Adaptive
+    Moving Average, considers market volatility apart from price fluctuations.
+
+    KAMAi = KAMAi - 1 + SC * ( price - KAMAi-1 )
+
+Sources:
+    https://www.tutorialspoint.com/kaufman-s-adaptive-moving-average-kama-formula-and-how-does-it-work
+    https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/kaufmans-adaptive-moving-average-kama/
+    https://www.technicalindicators.net/indicators-technical-analysis/152-kama-kaufman-adaptive-moving-average
+
+Remark:
+    If useNaN:true argument is provided, KAMA starts calculating values from [period] bar onwards.
+    Without useNaN argument (default setting), KAMA starts calculating values from bar 1 - and yields
+    slightly different results for the first 50 bars - and then converges with the other one.
+
+</summary> */
+
+public class KAMA_Series : Single_TSeries_Indicator
+{
+  private static double _scFast, _scSlow;
+  public KAMA_Series(TSeries source, int period, int fast = 2, int slow= 30, bool useNaN = false) : base(source, period, useNaN) {
+    _scFast = 2.0 / (fast+1);
+    _scSlow = 2.0 / (slow+1);
+    if (base._data.Count > 0) { base.Add(base._data); }
+  }
+  public override void Add((System.DateTime t, double v) TValue, bool update) {
+      //if (update) { } else { }
+      double _change = Math.Abs( TValue.v - _data[(this.Count>_p)?this.Count-_p : 0].v);
+      double _sumpv = 0;
+      double _kama = TValue.v;
+      for (int i = (this.Count-_p+1>0)?this.Count-_p+1:0; i <= this.Count; i++) {
+        _sumpv += Math.Abs(_data[(i>0)?i:0].v- _data[(i>1)?i-1:0].v);
+      }
+      if (_sumpv != 0) {
+        double _er = _change/_sumpv;
+        double _sc = (_er * (_scFast - _scSlow)) + _scSlow;
+        double _prevKama = (this.Count > 0) ? this[this.Count-1].v : TValue.v;
+        if (double.IsNaN(_prevKama)) { _prevKama = TValue.v; }
+        _kama = (_prevKama + (_sc * _sc * (TValue.v - _prevKama)));
+      }
+
+      var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _kama);
+      base.Add(result, update);
+  }
+}
\ No newline at end of file