Adr, Ap, Atrp, Atrs, Vp, Vwap, Vwma

2026-08-19 11:08:05 +00:00 · 2024-11-01 18:36:01 -07:00
parent 7c6b698c9a
commit f519594371
14 changed files with 1035 additions and 120 deletions
@@ -0,0 +1,83 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// ADR: Average Daily Range
+/// A volatility indicator that measures the average range of price movement over
+/// a specified period. It helps identify normal trading ranges and potential
+/// breakout levels.
+/// </summary>
+/// <remarks>
+/// The ADR calculation process:
+/// 1. Calculate daily range (High - Low)
+/// 2. Apply SMA to daily ranges
+/// 3. Updates with each new price bar
+///
+/// Key characteristics:
+/// - Simple volatility measure
+/// - Period-based average
+/// - Trend independent
+/// - Absolute price measure
+/// - Support/resistance aid
+///
+/// Formula:
+/// Daily Range = High - Low
+/// ADR = SMA(Daily Range, period)
+///
+/// Market Applications:
+/// - Position sizing
+/// - Volatility analysis
+/// - Support/resistance levels
+/// - Breakout identification
+/// - Risk assessment
+///
+/// Note: Simpler alternative to ATR, doesn't consider gaps
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Adr : AbstractBase
+{
+    private readonly Sma _ma;
+    private const int DefaultPeriod = 14;
+
+    /// <param name="period">The number of periods for ADR calculation (default 14).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Adr(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _ma = new(period);
+        WarmupPeriod = period;
+        Name = $"ADR({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for ADR calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Adr(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate daily range
+        double range = BarInput.High - BarInput.Low;
+
+        // Apply SMA smoothing
+        return _ma.Calc(range, BarInput.IsNew);
+    }
+}
@@ -0,0 +1,120 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// AP: Andrew's Pitchfork
+/// A trend channel tool that uses three points to create a channel with a median
+/// line and two parallel lines. It helps identify potential support and resistance
+/// levels based on market pivots.
+/// </summary>
+/// <remarks>
+/// The AP calculation process:
+/// 1. Use three pivot points (P0, P1, P2)
+/// 2. Calculate median line from P0 to midpoint of P1-P2
+/// 3. Draw parallel lines at P1 and P2
+/// 4. Project all lines forward
+///
+/// Key characteristics:
+/// - Trend channel tool
+/// - Support/resistance levels
+/// - Price projection
+/// - Market geometry
+/// - Pivot-based analysis
+///
+/// Formula:
+/// Median Line = Line from P0 to (P1 + P2)/2
+/// Upper Line = Parallel to median at P1
+/// Lower Line = Parallel to median at P2
+///
+/// Market Applications:
+/// - Trend analysis
+/// - Support/resistance
+/// - Price targets
+/// - Channel trading
+/// - Market structure
+///
+/// Sources:
+///     Dr. Alan Andrews
+///     https://www.investopedia.com/terms/a/andrewspitchfork.asp
+///
+/// Note: Returns median line value for current price level
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ap : AbstractBase
+{
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private readonly CircularBuffer _closes;
+    private const int DefaultPeriod = 20;
+
+    /// <param name="period">The lookback period for pivot points (default 20).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 3.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ap(int period = DefaultPeriod)
+    {
+        if (period < 3)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _highs = new(period);
+        _lows = new(period);
+        _closes = new(period);
+        WarmupPeriod = period;
+        Name = $"AP({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The lookback period for pivot points.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ap(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private static (double x, double y) FindPivot(CircularBuffer highs, CircularBuffer lows, CircularBuffer closes, int offset)
+    {
+        double high = highs[offset];
+        double low = lows[offset];
+        double close = closes[offset];
+        return (offset, (high + low + close) / 3.0); // Simple pivot point calculation
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Store price data
+        _highs.Add(BarInput.High, BarInput.IsNew);
+        _lows.Add(BarInput.Low, BarInput.IsNew);
+        _closes.Add(BarInput.Close, BarInput.IsNew);
+
+        if (_index < WarmupPeriod)
+            return BarInput.Close;
+
+        // Find three pivot points
+        var p0 = FindPivot(_highs, _lows, _closes, 2);
+        var p1 = FindPivot(_highs, _lows, _closes, 1);
+        var p2 = FindPivot(_highs, _lows, _closes, 0);
+
+        // Calculate midpoint of P1-P2
+        double midX = (p1.x + p2.x) / 2.0;
+        double midY = (p1.y + p2.y) / 2.0;
+
+        // Calculate slope of median line
+        double slope = (midY - p0.y) / (midX - p0.x);
+
+        // Project median line to current bar
+        double currentX = _index - p0.x;
+        return p0.y + slope * currentX;
+    }
+}
@@ -0,0 +1,85 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// ATRP: Average True Range Percent
+/// A volatility indicator that expresses ATR as a percentage of current price.
+/// This normalization allows for comparison across different price levels and
+/// instruments.
+/// </summary>
+/// <remarks>
+/// The ATRP calculation process:
+/// 1. Calculate ATR normally
+/// 2. Divide by current price
+/// 3. Multiply by 100 for percentage
+///
+/// Key characteristics:
+/// - Normalized volatility measure
+/// - Price-independent comparison
+/// - Percentage output
+/// - Cross-market analysis
+/// - Relative volatility measure
+///
+/// Formula:
+/// ATRP = (ATR / Close) * 100
+///
+/// Market Applications:
+/// - Cross-market comparison
+/// - Position sizing
+/// - Volatility analysis
+/// - Risk assessment
+/// - Market comparison
+///
+/// Note: More suitable for comparing different instruments than raw ATR
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Atrp : AbstractBase
+{
+    private readonly Atr _atr;
+    private const int DefaultPeriod = 14;
+    private const double ScalingFactor = 100.0;
+
+    /// <param name="period">The number of periods for ATR calculation (default 14).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Atrp(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _atr = new(period);
+        WarmupPeriod = period;
+        Name = $"ATRP({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for ATR calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Atrp(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate ATR
+        double atr = _atr.Calc(BarInput);
+
+        // Convert to percentage of price
+        return Math.Abs(BarInput.Close) > double.Epsilon
+            ? (atr / BarInput.Close) * ScalingFactor
+            : 0.0;
+    }
+}
@@ -0,0 +1,159 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// ATRS: ATR Trailing Stop
+/// A volatility-based trailing stop indicator that uses ATR to dynamically adjust
+/// stop levels. It helps maintain position while allowing for normal market
+/// fluctuations.
+/// </summary>
+/// <remarks>
+/// The ATRS calculation process:
+/// 1. Calculate ATR
+/// 2. Multiply ATR by factor
+/// 3. Apply trailing logic based on trend
+/// 4. Update stop levels
+///
+/// Key characteristics:
+/// - Dynamic stop levels
+/// - Trend-following
+/// - Volatility-based
+/// - Position protection
+/// - Risk management
+///
+/// Formula:
+/// Long Stop = High - (ATR * Factor)
+/// Short Stop = Low + (ATR * Factor)
+/// where Factor is multiplier for ATR (default 2.0)
+///
+/// Market Applications:
+/// - Stop loss placement
+/// - Position management
+/// - Trend following
+/// - Risk control
+/// - Exit strategy
+///
+/// Note: Returns stop level based on current trend
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Atrs : AbstractBase
+{
+    private readonly Atr _atr;
+    private double _prevStop;
+    private double _p_prevStop;
+    private bool _isLong;
+    private bool _p_isLong;
+    private const int DefaultPeriod = 14;
+    private const double DefaultFactor = 2.0;
+
+    /// <summary>
+    /// Gets the current trend direction (true for long, false for short)
+    /// </summary>
+    public bool IsLong => _isLong;
+
+    /// <param name="period">The number of periods for ATR calculation (default 14).</param>
+    /// <param name="factor">The multiplier for ATR (default 2.0).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1 or factor is less than or equal to 0.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Atrs(int period = DefaultPeriod, double factor = DefaultFactor)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+        if (factor <= 0)
+            throw new ArgumentOutOfRangeException(nameof(factor));
+
+        _atr = new(period);
+        Factor = factor;
+        WarmupPeriod = period;
+        Name = $"ATRS({period},{factor:F1})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for ATR calculation.</param>
+    /// <param name="factor">The multiplier for ATR.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Atrs(object source, int period = DefaultPeriod, double factor = DefaultFactor) : this(period, factor)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    /// <summary>
+    /// Gets or sets the ATR multiplier factor
+    /// </summary>
+    public double Factor { get; set; }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _atr.Init();
+        _prevStop = double.NaN;
+        _isLong = true;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+            _p_prevStop = _prevStop;
+            _p_isLong = _isLong;
+        }
+        else
+        {
+            _prevStop = _p_prevStop;
+            _isLong = _p_isLong;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate ATR
+        double atr = _atr.Calc(BarInput);
+        double atrBand = atr * Factor;
+
+        if (_index == 1 || double.IsNaN(_prevStop))
+        {
+            // Initialize stop level
+            _isLong = BarInput.Close > BarInput.Open;
+            _prevStop = _isLong ? BarInput.Low - atrBand : BarInput.High + atrBand;
+            return _prevStop;
+        }
+
+        // Update stop level based on trend
+        if (_isLong)
+        {
+            double newStop = BarInput.High - atrBand;
+            if (BarInput.Close < _prevStop)
+            {
+                _isLong = false;
+                _prevStop = BarInput.High + atrBand;
+            }
+            else if (newStop > _prevStop)
+            {
+                _prevStop = newStop;
+            }
+        }
+        else
+        {
+            double newStop = BarInput.Low + atrBand;
+            if (BarInput.Close > _prevStop)
+            {
+                _isLong = true;
+                _prevStop = BarInput.Low - atrBand;
+            }
+            else if (newStop < _prevStop)
+            {
+                _prevStop = newStop;
+            }
+        }
+
+        return _prevStop;
+    }
+}
@@ -1,11 +1,11 @@
 # Volatility indicators
-Done: 11, Todo: 24
+Done: 15, Todo: 20

-ADR - Average Daily Range
-AP - Andrew's Pitchfork
+✔️ ADR - Average Daily Range
+✔️ AP - Andrew's Pitchfork
 ✔️ ATR - Average True Range
-ATRP - Average True Range Percent
-ATRS - ATR Trailing Stop
+✔️ ATRP - Average True Range Percent
+✔️ ATRS - ATR Trailing Stop
 *BB - Bollinger Bands® (Upper, Middle, Lower)
 CCV - Close-to-Close Volatility
 CE - Chandelier Exit