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 +1,120 @@
+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;
+    }
+}