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

2026-08-23 21:18:04 +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 +1,159 @@
+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;
+    }
+}