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

2026-08-25 13:58:04 +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 +1,92 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VWMA: Volume Weighted Moving Average
+/// A technical indicator that combines price and volume to show the average price
+/// weighted by volume over a period. It gives more weight to prices with higher
+/// volume, making it more responsive to high-volume price movements.
+/// </summary>
+/// <remarks>
+/// The VWMA calculation process:
+/// 1. Multiply price by volume for each period
+/// 2. Sum (price * volume) over the period
+/// 3. Sum volume over the period
+/// 4. Divide sums to get weighted average
+///
+/// Key characteristics:
+/// - Volume-sensitive average
+/// - Trend indicator
+/// - Support/resistance levels
+/// - Price momentum
+/// - Volume emphasis
+///
+/// Formula:
+/// VWMA = Σ(Price * Volume) / ΣVolume
+/// where sums are taken over the specified period
+///
+/// Market Applications:
+/// - Trend identification
+/// - Support/resistance levels
+/// - Volume analysis
+/// - Price momentum
+/// - Trading signals
+///
+/// Note: More responsive to high-volume price movements
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vwma : AbstractBase
+{
+    private readonly CircularBuffer _priceVolume;
+    private readonly CircularBuffer _volume;
+    private const int DefaultPeriod = 20;
+
+    /// <param name="period">The number of periods for VWMA calculation (default 20).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vwma(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _priceVolume = new(period);
+        _volume = new(period);
+        WarmupPeriod = period;
+        Name = $"VWMA({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for VWMA calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vwma(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 and store price * volume
+        double priceVolume = BarInput.Close * BarInput.Volume;
+        _priceVolume.Add(priceVolume, BarInput.IsNew);
+        _volume.Add(BarInput.Volume, BarInput.IsNew);
+
+        // Calculate sums
+        double sumPriceVolume = _priceVolume.Sum();
+        double sumVolume = _volume.Sum();
+
+        // Calculate VWMA
+        return sumVolume > 0 ? sumPriceVolume / sumVolume : BarInput.Close;
+    }
+}