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

2026-08-22 12:38:06 +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 +1,110 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VF: Volume Force
+/// A volume-based indicator that measures the strength of volume relative to price
+/// movement. It helps identify whether volume is supporting or contradicting the
+/// current price trend.
+/// </summary>
+/// <remarks>
+/// The VF calculation process:
+/// 1. Calculate price change
+/// 2. Calculate volume force as volume * price change
+/// 3. Optionally smooth the result with EMA
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Trend strength indicator
+/// - No upper/lower bounds
+/// - Raw and smoothed versions
+/// - Divergence indicator
+///
+/// Formula:
+/// VF = Volume * (Close - Close[1])
+/// Smoothed VF = EMA(VF, period)
+///
+/// Market Applications:
+/// - Volume analysis
+/// - Trend confirmation
+/// - Price/volume divergence
+/// - Market participation
+/// - Momentum confirmation
+///
+/// Note: Higher values indicate stronger volume force
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vf : AbstractBase
+{
+    private readonly Ema _ema;
+    private double _prevClose;
+    private double _p_prevClose;
+    private const int DefaultPeriod = 13;
+
+    /// <param name="period">The smoothing period for EMA calculation (default 13).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vf(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _ema = new(period);
+        WarmupPeriod = period + 1;
+        Name = $"VF({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The smoothing period for EMA calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vf(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _ema.Init();
+        _prevClose = double.NaN;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+            _p_prevClose = _prevClose;
+        }
+        else
+        {
+            _prevClose = _p_prevClose;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate raw volume force
+        double priceChange = BarInput.Close - _prevClose;
+        double volumeForce = BarInput.Volume * priceChange;
+
+        // Update previous close
+        _prevClose = BarInput.Close;
+
+        // Apply EMA smoothing
+        return _ema.Calc(volumeForce, BarInput.IsNew);
+    }
+}