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

2026-08-23 13:08:04 +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);
+    }
+}