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

2026-08-24 13:38:05 +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 +1,85 @@
+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;
+    }
+}