gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-25 22:08:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

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

Browse Source
This commit is contained in:
Miha Kralj
2024-11-01 18:36:01 -07:00
parent 7c6b698c9a
commit f519594371
14 changed files with 1035 additions and 120 deletions
Download Patch File Download Diff File Expand all files Collapse all files
docs/_sidebar.md
+6 -6
View File
@@ -1,24 +1,24 @@
* [Home](/) * [Home](/)
* [Available Indicators](indicators/indicators.md) * [List of Indicators](indicators/indicators.md)
* Introduction * 🚧 Introduction
* [Overview]() * [Overview]()
* [Features]() * [Features]()
* [Historical vs Real-time analysis](essays/realtime.md) * [Historical vs Real-time analysis](essays/realtime.md)
* Core Concepts * 🚧 Core Concepts
* [Time Series Data Handling]() * [Time Series Data Handling]()
* [Calculation classes]() * [Calculation classes]()
* [Presentation Classes]() * [Presentation Classes]()
* QuanTAlib C# Library * 🚧 QuanTAlib C# Library
* [Installation]() * [Installation]()
* [Quick Start Guide]() * [Quick Start Guide]()
* [Usage Examples]() * [Usage Examples]()
* [Tests and Validation]() * [Tests and Validation]()
* Quantower Charts * 🚧 Quantower Charts
* [Installation]() * [Installation]()
* [Quick Start Guide]() * [Quick Start Guide]()
* [Using VS Code for QuanTower coding](setup/vscode.md) * [Using VS Code for QuanTower coding](setup/vscode.md)
@@ -26,7 +26,7 @@
* [Creating Custom Indicators]() * [Creating Custom Indicators]()
* [Inspecting Quantower Internals]() * [Inspecting Quantower Internals]()
* [Available Indicators](indicators/indicators.md) * [🚧 Available Indicators](indicators/indicators.md)
* Momentum * Momentum
* [ADX - Average Directional Index](indicators/momentum/adx/description.md) * [ADX - Average Directional Index](indicators/momentum/adx/description.md)
* [ADXR - Average Directional Index Rating](indicators/momentum/adxr/description.md) * [ADXR - Average Directional Index Rating](indicators/momentum/adxr/description.md)
docs/index.html
+96 -13
View File
@@ -3,57 +3,140 @@
<head> <head>
<meta charset="UTF-8"> <meta charset="UTF-8">
<title>QuanTAlib Documentation</title> <title>QuanTAlib Documentation</title>
<!-- Basic meta tags -->
<meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1"> <meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1">
<meta name="description" content="Documentation for QuanTAlib, a quantitative technical analysis library"> <meta name="description" content="Documentation for QuanTAlib, a quantitative technical analysis library">
<meta name="viewport" content="width=device-width, initial-scale=1.0, minimum-scale=1.0"> <meta name="viewport" content="width=device-width, initial-scale=1.0, minimum-scale=1.0">
<link rel="stylesheet" href="https://cdn.jsdelivr.net/npm/katex@0.16.7/dist/katex.min.css" integrity="sha384-3UiQGuEI4TTMaFmGIZumfRPtfKQ3trwQE2JgosJxCnGmQpL/lJdjpcHkaaFwHlcI" crossorigin="anonymous">
<link rel="stylesheet" href="//cdn.jsdelivr.net/npm/docsify/themes/vue.css" /> <!-- Stylesheets -->
<link rel="stylesheet" href="https://cdn.jsdelivr.net/npm/katex@0.16.7/dist/katex.min.css"
integrity="sha384-3UiQGuEI4TTMaFmGIZumfRPtfKQ3trwQE2JgosJxCnGmQpL/lJdjpcHkaaFwHlcI"
crossorigin="anonymous">
<link rel="stylesheet" href="//cdn.jsdelivr.net/npm/docsify/themes/vue.css">
<style>
/* Target strong elements within tables */
table strong {
font-size: 120%;
display: inline-block; /* This helps with vertical alignment */
padding: 4px 0; /* Add some vertical padding for better spacing */
}
/* Optional: If you want to target just the section headers more specifically */
table tr:first-child strong,
table tr strong:first-child {
font-size: 120%;
color: #42b983; /* Optional: matches Docsify's default theme color */
}
/* Hide github corner */
.github-corner {
display: none !important;
}
.github-corner svg {
display: none !important;
}
</style>
</head> </head>
<body> <body>
<div id="app"></div> <div id="app"></div>
<!-- Docsify Configuration -->
<script> <script>
window.$docsify = { window.$docsify = {
// Basic settings
name: 'QuanTAlib', name: 'QuanTAlib',
repo: 'https://github.com/mihakralj/quantalib',
homepage: 'readme.md', homepage: 'readme.md',
noCorner: true,
// Navigation settings
loadSidebar: true, loadSidebar: true,
auto2top: true, auto2top: true,
mergeNavbar: true, mergeNavbar: true,
sidebarDisplayLevel: 0, sidebarDisplayLevel: 0,
// Performance settings
maxAge: 86400000, maxAge: 86400000,
paths: 'auto', paths: 'auto',
// Search settings
placeholder: 'Type to search', placeholder: 'Type to search',
noData: 'No Results!', noData: 'No Results!',
depth: 6, depth: 6,
hideOtherSidebarContent: false, hideOtherSidebarContent: false,
// Theme settings
themeable: { themeable: {
readyTransition: true, readyTransition: true,
responsiveTables: true responsiveTables: true
}, },
// Math settings
latex: { latex: {
inlineMath: [['$', '$'], ['\\(', '\\)']], inlineMath: [['$', '$'], ['\\(', '\\)']],
displayMath: [['$$', '$$']] displayMath: [['$$', '$$']]
}, },
// Markdown settings
markdown: {
smartypants: true,
renderer: {
table: function(header, body) {
if (header) return '<table class="docTable"><thead>' + header + '</thead><tbody>' + body + '</tbody></table>'
return '<table class="docTable"><tbody>' + body + '</tbody></table>'
}
}
},
// Content settings
executeScript: true, executeScript: true,
externalLinkTarget: '_blank', externalLinkTarget: '_blank',
cornerExternalLinkTarget: '_blank', cornerExternalLinkTarget: '_blank',
relativePath: false, relativePath: false,
// Table of Contents settings
toc: { toc: {
scope: '.markdown-section', scope: '.markdown-section',
headings: 'h1, h2, h3, h4, h5, h6', headings: 'h1, h2, h3, h4, h5, h6',
title: 'Table of Contents' title: 'Table of Contents'
}, },
plugins: [] plugins: []
}; };
</script> </script>
<script src="https://cdn.jsdelivr.net/npm/docsify@4/lib/docsify.min.js" integrity="sha384-KaHhgnx/OTLoJ4J33SSJsF4x1pk4I7q3s5ZOfIDHJYl6IG7Oyn2vNDsHiWJe46fD" crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-themeable@0/dist/js/docsify-themeable.min.js" integrity="sha384-ibjVZCUwWPrRrNc9BNkbbJvtYmTh8GYDNQgj+2jQVNDudOFgSQWs+Es6JhdoTIvf" crossorigin="anonymous"></script> <!-- Core Docsify -->
<script src="https://cdn.jsdelivr.net/npm/docsify-sidebar-collapse/dist/docsify-sidebar-collapse.min.js" integrity="sha384-lMHOyuqf3B/T/BgfYxUKprN0bdRf8KhVTE11w76Tvtze86XHVSDYzxqNGDGgIi9I" crossorigin="anonymous"></script> <script src="https://cdn.jsdelivr.net/npm/docsify@4/lib/docsify.min.js"
<script src="https://cdn.jsdelivr.net/npm/docsify/lib/plugins/search.min.js" integrity="sha384-LthJPBJ4RGco78kBY+EmKz5rmISZ5vrtAu3+l2ALQ2mrZHOe6Wyf6knyKjeC4cL6" crossorigin="anonymous"></script> integrity="sha384-KaHhgnx/OTLoJ4J33SSJsF4x1pk4I7q3s5ZOfIDHJYl6IG7Oyn2vNDsHiWJe46fD"
<script src="https://cdn.jsdelivr.net/npm/docsify-copy-code/dist/docsify-copy-code.min.js" integrity="sha384-Vu4LjJ210wltbg1I3zl1f5n8qLSDr9GE7ij2JfiMbV64UCFP2RgFtG8W2Gh6Khwe" crossorigin="anonymous"></script> crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-pagination/dist/docsify-pagination.min.js" integrity="sha384-uFEp18/1vv2dYlO64J2lOcnbhirAQZPtruqAZZ7PZYoXenm5c+tIs3AqSMjVMRe8" crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify/lib/plugins/zoom-image.min.js" integrity="sha384-fYBaBAsdPMjWt1AuA+txMoztHnl+zLgObSvwddIabbfUp+36gf/vNOKx88f37zix" crossorigin="anonymous"></script> <!-- Added marked.js for better markdown parsing -->
<script src="https://cdn.jsdelivr.net/npm/docsify-tabs/dist/docsify-tabs.min.js" integrity="sha384-QA3IVKzXq6xcKR8yQJHgDbI1FcJiQ137Cuetl1VWzUxJ6BQ7ew0MMq5fg2HbFK1o" crossorigin="anonymous"></script> <script src="//cdn.jsdelivr.net/npm/marked/marked.min.js"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-katex@1.4.3/dist/docsify-katex.js" integrity="sha384-M76M/x5vGyeoej1covQQifl7T945mY+qgzNVrM/urHMCYjP8tnMsx5WCdeLZ74UE" crossorigin="anonymous"></script>
<!-- Plugins -->
<script src="https://cdn.jsdelivr.net/npm/docsify-themeable@0/dist/js/docsify-themeable.min.js"
integrity="sha384-ibjVZCUwWPrRrNc9BNkbbJvtYmTh8GYDNQgj+2jQVNDudOFgSQWs+Es6JhdoTIvf"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-sidebar-collapse/dist/docsify-sidebar-collapse.min.js"
integrity="sha384-lMHOyuqf3B/T/BgfYxUKprN0bdRf8KhVTE11w76Tvtze86XHVSDYzxqNGDGgIi9I"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify/lib/plugins/search.min.js"
integrity="sha384-LthJPBJ4RGco78kBY+EmKz5rmISZ5vrtAu3+l2ALQ2mrZHOe6Wyf6knyKjeC4cL6"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-copy-code/dist/docsify-copy-code.min.js"
integrity="sha384-Vu4LjJ210wltbg1I3zl1f5n8qLSDr9GE7ij2JfiMbV64UCFP2RgFtG8W2Gh6Khwe"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-pagination/dist/docsify-pagination.min.js"
integrity="sha384-uFEp18/1vv2dYlO64J2lOcnbhirAQZPtruqAZZ7PZYoXenm5c+tIs3AqSMjVMRe8"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify/lib/plugins/zoom-image.min.js"
integrity="sha384-fYBaBAsdPMjWt1AuA+txMoztHnl+zLgObSvwddIabbfUp+36gf/vNOKx88f37zix"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-tabs/dist/docsify-tabs.min.js"
integrity="sha384-QA3IVKzXq6xcKR8yQJHgDbI1FcJiQ137Cuetl1VWzUxJ6BQ7ew0MMq5fg2HbFK1o"
crossorigin="anonymous"></script>
<script src="https://cdn.jsdelivr.net/npm/docsify-katex@1.4.3/dist/docsify-katex.js"
integrity="sha384-M76M/x5vGyeoej1covQQifl7T945mY+qgzNVrM/urHMCYjP8tnMsx5WCdeLZ74UE"
crossorigin="anonymous"></script>
</body> </body>
</html> </html>
docs/indicators/indicators.md
+75 -90
View File
@@ -1,30 +1,27 @@
# Indicators in QuanTAlib # Indicators in QuanTAlib
\* = Returns multiple values | **Category** | **Status** | **Completion** |
|--------------|:----------:|:--------------:|
| Basic Transforms | 6 of 6 | 100% |
| Averages & Trends | 33 of 33 | 100% |
| Momentum | 17 of 17 | 100% |
| Oscillators | 12 of 29 | 41% |
| Volatility | 15 of 35 | 43% |
| Volume | 19 of 19 | 100% |
| Numerical Analysis | 13 of 20 | 65% |
| Errors | 16 of 16 | 100% |
| **Total** | **131 of 175** | **75%** |
**Implementation Status:** |Technical Indicator Name| Class Name|
- Basic Transforms: 6 of 6 complete |-----------|:----------:|
- Averages & Trends: 33 of 33 complete |**BASIC TRANSFORMS**||
- Momentum: 17 of 17 complete
- Oscillators: 11 of 29 complete
- Volatility: 11 of 35 complete
- Volume: 15 of 19 complete
- Numerical Analysis: 13 of 20 complete
- Errors: 16 of 16 complete
- Total: 122 of 175 indicators implemented (70%)
|**BASIC TRANSFORMS**|**Class Name**|
|---|:--:|
|OC2 - Midpoint price|`.OC2`| |OC2 - Midpoint price|`.OC2`|
|HL2 - Median Price|`.HL2`| |HL2 - Median Price|`.HL2`|
|HLC3 - Typical Price|`.HLC3`| |HLC3 - Typical Price|`.HLC3`|
|OHL3 - Mean Price|`.OHL3`| |OHL3 - Mean Price|`.OHL3`|
|OHLC4 - Average Price|`.OHLC4`| |OHLC4 - Average Price|`.OHLC4`|
|HLCC4 - Weighted Price|`.HLCC4`| |HLCC4 - Weighted Price|`.HLCC4`|
|**AVERAGES & TRENDS**||
|**AVERAGES & TRENDS**|**Class Name**|
|--|:--:|
|AFIRMA - Adaptive FIR Moving Average|`Afirma`| |AFIRMA - Adaptive FIR Moving Average|`Afirma`|
|ALMA - Arnaud Legoux Moving Average|`Alma`| |ALMA - Arnaud Legoux Moving Average|`Alma`|
|DEMA - Double Exponential Moving Average|`Dema`| |DEMA - Double Exponential Moving Average|`Dema`|
@@ -58,9 +55,7 @@
|VIDYA - Variable Index Dynamic Average|`Vidya`| |VIDYA - Variable Index Dynamic Average|`Vidya`|
|WMA - Weighted Moving Average|`Wma`| |WMA - Weighted Moving Average|`Wma`|
|ZLEMA - Zero-Lag Exponential Moving Average|`Zlema`| |ZLEMA - Zero-Lag Exponential Moving Average|`Zlema`|
|**MOMENTUM INDICATORS**||
|**MOMENTUM INDICATORS**|**Class Name**|
|--|:--:|
|ADX - Average Directional Movement Index|`Adx`| |ADX - Average Directional Movement Index|`Adx`|
|ADXR - Average Directional Movement Index Rating|`Adxr`| |ADXR - Average Directional Movement Index Rating|`Adxr`|
|APO - Absolute Price Oscillator|`Apo`| |APO - Absolute Price Oscillator|`Apo`|
@@ -78,79 +73,73 @@
|TRIX - 1-day ROC of TEMA|`Trix`| |TRIX - 1-day ROC of TEMA|`Trix`|
|VEL - Jurik Signal Velocity|`Vel`| |VEL - Jurik Signal Velocity|`Vel`|
|VORTEX* - Vortex Indicator (VI+, VI-)|`Vortex`| |VORTEX* - Vortex Indicator (VI+, VI-)|`Vortex`|
|**OSCILLATORS**||
|**OSCILLATORS**|**Class Name**|
|--|:--:|
|AC - Acceleration Oscillator|`Ac`| |AC - Acceleration Oscillator|`Ac`|
|AO - Awesome Oscillator|`Ao`| |AO - Awesome Oscillator|`Ao`|
|AROON* - Aroon oscillator (Up, Down)|`Aroon`| |AROON* - Aroon oscillator (Up, Down)|`Aroon`|
|🚧 BOP - Balance of Power|`Bop`| |BOP - Balance of Power|`Bop`|
|CCI - Commodity Channel Index|`Cci`| |CCI - Commodity Channel Index|`Cci`|
|CFO - Chande Forcast Oscillator|`Cfo`| |CFO - Chande Forcast Oscillator|`Cfo`|
|CMO - Chande Momentum Oscillator|`Cmo`| |CMO - Chande Momentum Oscillator|`Cmo`|
|CHOP - Choppiness Index|`Chop`| |CHOP - Choppiness Index|`Chop`|
|COG - Ehler's Center of Gravity|`Cog`| |COG - Ehler's Center of Gravity|`Cog`|
|🚧 COPPOCK - Coppock Curve|`Coppock`| |🚧 COPPOCK - Coppock Curve|`Coppock`|
|🚧 CRSI - Connor RSI|`Crsi`| |🚧 CRSI - Connor RSI|`Crsi`|
|🚧 CTI - Ehler's Correlation Trend Indicator|`Cti`| |🚧 CTI - Ehler's Correlation Trend Indicator|`Cti`|
|🚧 DOSC - Derivative Oscillator|`Dosc`| |🚧 DOSC - Derivative Oscillator|`Dosc`|
|🚧 EFI - Elder Ray's Force Index|`Efi`| |🚧 EFI - Elder Ray's Force Index|`Efi`|
|🚧 FISHER - Fisher Transform|`Fisher`| |🚧 FISHER - Fisher Transform|`Fisher`|
|🚧 FOSC - Forecast Oscillator|`Fosc`| |🚧 FOSC - Forecast Oscillator|`Fosc`|
|🚧 GATOR* - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)|`Gator`| |🚧 GATOR* - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)|`Gator`|
|🚧 KDJ* - KDJ Indicator (K, D, J lines)|`Kdj`| |🚧 KDJ* - KDJ Indicator (K, D, J lines)|`Kdj`|
|🚧 KRI - Kairi Relative Index|`Kri`| |🚧 KRI - Kairi Relative Index|`Kri`|
|RSI - Relative Strength Index|`Rsi`| |RSI - Relative Strength Index|`Rsi`|
|RSX - Jurik Trend Strength Index|`Rsx`| |RSX - Jurik Trend Strength Index|`Rsx`|
|🚧 RVGI* - Relative Vigor Index (RVGI, Signal)|`Rvgi`| |🚧 RVGI* - Relative Vigor Index (RVGI, Signal)|`Rvgi`|
|🚧 SMI - Stochastic Momentum Index|`Smi`| |🚧 SMI - Stochastic Momentum Index|`Smi`|
|🚧 SRSI* - Stochastic RSI (SRSI, Signal)|`Srsi`| |🚧 SRSI* - Stochastic RSI (SRSI, Signal)|`Srsi`|
|🚧 STC - Schaff Trend Cycle|`Stc`| |🚧 STC - Schaff Trend Cycle|`Stc`|
|🚧 STOCH* - Stochastic Oscillator (%K, %D)|`Stoch`| |🚧 STOCH* - Stochastic Oscillator (%K, %D)|`Stoch`|
|🚧 TSI - True Strength Index|`Tsi`| |🚧 TSI - True Strength Index|`Tsi`|
|🚧 UO - Ultimate Oscillator|`Uo`| |🚧 UO - Ultimate Oscillator|`Uo`|
|🚧 WILLR - Larry Williams' %R|`Willr`| |🚧 WILLR - Larry Williams' %R|`Willr`|
|**VOLATILITY INDICATORS**||
|**VOLATILITY INDICATORS**|**Class Name**| |ADR - Average Daily Range|`Adr`|
|--|:--:| |AP - Andrew's Pitchfork|`Ap`|
|🚧 ADR - Average Daily Range|`Adr`|
|🚧 AP - Andrew's Pitchfork|`Ap`|
|ATR - Average True Range|`Atr`| |ATR - Average True Range|`Atr`|
|🚧 ATRP - Average True Range Percent|`Atrp`| |ATRP - Average True Range Percent|`Atrp`|
|🚧 ATRS - ATR Trailing Stop|`Atrs`| |ATRS - ATR Trailing Stop|`Atrs`|
|🚧 BB* - Bollinger Bands® (Upper, Middle, Lower)|`Bb`| |🚧 BB* - Bollinger Bands® (Upper, Middle, Lower)|`Bb`|
|🚧 CCV - Close-to-Close Volatility|`Ccv`| |🚧 CCV - Close-to-Close Volatility|`Ccv`|
|🚧 CE - Chandelier Exit|`Ce`| |🚧 CE - Chandelier Exit|`Ce`|
|🚧 CV - Conditional Volatility (ARCH/GARCH)|`Cv`| |🚧 CV - Conditional Volatility (ARCH/GARCH)|`Cv`|
|🚧 CVI - Chaikin's Volatility|`Cvi`| |🚧 CVI - Chaikin's Volatility|`Cvi`|
|🚧 DC* - Donchian Channels (Upper, Middle, Lower)|`Dc`| |🚧 DC* - Donchian Channels (Upper, Middle, Lower)|`Dc`|
|🚧 EWMA - Exponential Weighted Moving Average Volatility|`Ewma`| |🚧 EWMA - Exponential Weighted Moving Average Volatility|`Ewma`|
|🚧 FCB - Fractal Chaos Bands|`Fcb`| |🚧 FCB - Fractal Chaos Bands|`Fcb`|
|🚧 GKV - Garman-Klass Volatility|`Gkv`| |🚧 GKV - Garman-Klass Volatility|`Gkv`|
|🚧 HLV - High-Low Volatility|`Hlv`| |🚧 HLV - High-Low Volatility|`Hlv`|
|HV - Historical Volatility|`Hv`| |HV - Historical Volatility|`Hv`|
|🚧 ICH* - Ichimoku Cloud (Conversion, Base, Leading Span A, Leading Span B, Lagging Span)|`Ich`| |🚧 ICH* - Ichimoku Cloud (Conversion, Base, Leading Span A, Leading Span B, Lagging Span)|`Ich`|
|JVOLTY - Jurik Volatility|`Jvolty`| |JVOLTY - Jurik Volatility|`Jvolty`|
|🚧 KC* - Keltner Channels (Upper, Middle, Lower)|`Kc`| |🚧 KC* - Keltner Channels (Upper, Middle, Lower)|`Kc`|
|🚧 NATR - Normalized Average True Range|`Natr`| |🚧 NATR - Normalized Average True Range|`Natr`|
|🚧 PCH - Price Channel Indicator|`Pch`| |🚧 PCH - Price Channel Indicator|`Pch`|
|🚧 PSAR* - Parabolic Stop and Reverse (Value, Trend)|`Psar`| |🚧 PSAR* - Parabolic Stop and Reverse (Value, Trend)|`Psar`|
|🚧 PV - Parkinson Volatility|`Pv`| |🚧 PV - Parkinson Volatility|`Pv`|
|🚧 RSV - Rogers-Satchell Volatility|`Rsv`| |🚧 RSV - Rogers-Satchell Volatility|`Rsv`|
|RV - Realized Volatility|`Rv`| |RV - Realized Volatility|`Rv`|
|RVI - Relative Volatility Index|`Rvi`| |RVI - Relative Volatility Index|`Rvi`|
|🚧 STARC* - Starc Bands (Upper, Middle, Lower)|`Starc`| |🚧 STARC* - Starc Bands (Upper, Middle, Lower)|`Starc`|
|🚧 SV - Stochastic Volatility|`Sv`| |🚧 SV - Stochastic Volatility|`Sv`|
|TR - True Range|`Tr`| |TR - True Range|`Tr`|
|UI - Ulcer Index|`Ui`| |UI - Ulcer Index|`Ui`|
|VC* - Volatility Cone (Mean, Upper Bound, Lower Bound)|`Vc`| |VC* - Volatility Cone (Mean, Upper Bound, Lower Bound)|`Vc`|
|VOV - Volatility of Volatility|`Vov`| |VOV - Volatility of Volatility|`Vov`|
|VR - Volatility Ratio|`Vr`| |VR - Volatility Ratio|`Vr`|
|VS* - Volatility Stop (Long Stop, Short Stop)|`Vs`| |VS* - Volatility Stop (Long Stop, Short Stop)|`Vs`|
|🚧 YZV - Yang-Zhang Volatility|`Yzv`| |🚧 YZV - Yang-Zhang Volatility|`Yzv`|
|**VOLUME INDICATORS**||
|**VOLUME INDICATORS**|**Class Name**|
|--|:--:|
|ADL - Chaikin Accumulation Distribution Line|`Adl`| |ADL - Chaikin Accumulation Distribution Line|`Adl`|
|ADOSC - Chaikin Accumulation Distribution Oscillator|`Adosc`| |ADOSC - Chaikin Accumulation Distribution Oscillator|`Adosc`|
|AOBV - Archer On-Balance Volume|`Aobv`| |AOBV - Archer On-Balance Volume|`Aobv`|
@@ -166,36 +155,32 @@
|PVR - Price Volume Rank|`Pvr`| |PVR - Price Volume Rank|`Pvr`|
|PVT - Price Volume Trend|`Pvt`| |PVT - Price Volume Trend|`Pvt`|
|TVI - Trade Volume Index|`Tvi`| |TVI - Trade Volume Index|`Tvi`|
|🚧 VF - Volume Force|`Vf`| |VF - Volume Force|`Vf`|
|🚧 VP - Volume Profile|`Vp`| |VP - Volume Profile|`Vp`|
|🚧 VWAP - Volume Weighted Average Price|`Vwap`| |VWAP - Volume Weighted Average Price|`Vwap`|
|🚧 VWMA - Volume Weighted Moving Average|`Vwma`| |VWMA - Volume Weighted Moving Average|`Vwma`|
|**NUMERICAL ANALYSIS**||
|**NUMERICAL ANALYSIS**|**Class Name**| |🚧 BETA* - Beta coefficient (Beta, R-squared)|`Beta`|
|--|:--:| |🚧 CORR* - Correlation Coefficient (Correlation, P-value)|`Corr`|
|🚧 BETA* - Beta coefficient (Beta, R-squared)|`Beta`|
|🚧 CORR* - Correlation Coefficient (Correlation, P-value)|`Corr`|
|CURVATURE - Rate of Change in Direction or Slope|`Curvature`| |CURVATURE - Rate of Change in Direction or Slope|`Curvature`|
|ENTROPY - Measure of Uncertainty or Disorder|`Entropy`| |ENTROPY - Measure of Uncertainty or Disorder|`Entropy`|
|🚧 HUBER - Huber Loss|`Huber`| |🚧 HUBER - Huber Loss|`Huber`|
|🚧 HURST - Hurst Exponent|`Hurst`| |🚧 HURST - Hurst Exponent|`Hurst`|
|KURTOSIS - Measure of Tails/Peakedness|`Kurtosis`| |KURTOSIS - Measure of Tails/Peakedness|`Kurtosis`|
|MAX - Maximum with exponential decay|`Max`| |MAX - Maximum with exponential decay|`Max`|
|MEDIAN - Middle value|`Median`| |MEDIAN - Middle value|`Median`|
|MIN - Minimum with exponential decay|`Min`| |MIN - Minimum with exponential decay|`Min`|
|MODE - Most Frequent Value|`Mode`| |MODE - Most Frequent Value|`Mode`|
|PERCENTILE - Rank Order|`Percentile`| |PERCENTILE - Rank Order|`Percentile`|
|🚧 RSQUARED* - Coefficient of Determination (R-squared, Adjusted R-squared)|`Rsquared`| |🚧 RSQUARED* - Coefficient of Determination (R-squared, Adjusted R-squared)|`Rsquared`|
|SKEW - Skewness, asymmetry of distribution|`Skew`| |SKEW - Skewness, asymmetry of distribution|`Skew`|
|SLOPE - Rate of Change, Linear Regression|`Slope`| |SLOPE - Rate of Change, Linear Regression|`Slope`|
|STDDEV - Standard Deviation, Measure of Spread|`Stddev`| |STDDEV - Standard Deviation, Measure of Spread|`Stddev`|
|🚧 THEIL* - Theil's U Statistics (U1, U2)|`Theil`| |🚧 THEIL* - Theil's U Statistics (U1, U2)|`Theil`|
|🚧 TSF* - Time Series Forecast (Forecast, Confidence Interval)|`Tsf`| |🚧 TSF* - Time Series Forecast (Forecast, Confidence Interval)|`Tsf`|
|VARIANCE - Average of Squared Deviations|`Variance`| |VARIANCE - Average of Squared Deviations|`Variance`|
|ZSCORE - Standardized Score|`Zscore`| |ZSCORE - Standardized Score|`Zscore`|
|**ERRORS**||
|**ERRORS**|**Class Name**|
|--|:--:|
|HUBER - Huber Loss|`Huber`| |HUBER - Huber Loss|`Huber`|
|MAE - Mean Absolute Error|`Mae`| |MAE - Mean Absolute Error|`Mae`|
|MAPD - Mean Absolute Percentage Deviation|`Mapd`| |MAPD - Mean Absolute Percentage Deviation|`Mapd`|
lib/oscillators/_list.md
+1 -1
View File
@@ -4,7 +4,7 @@ Done: 11, Todo: 18
✔️ AC - Acceleration Oscillator ✔️ AC - Acceleration Oscillator
✔️ AO - Awesome Oscillator ✔️ AO - Awesome Oscillator
✔️ *AROON - Aroon oscillator (Up, Down) ✔️ *AROON - Aroon oscillator (Up, Down)
BOP - Balance of Power ✔️ BOP - Balance of Power
✔️ CCI - Commodity Channel Index ✔️ CCI - Commodity Channel Index
✔️ CFO - Chande Forcast Oscillator ✔️ CFO - Chande Forcast Oscillator
✔️ CMO - Chande Momentum Oscillator ✔️ CMO - Chande Momentum Oscillator
lib/volatility/Adr.cs
+83
View File
@@ -0,0 +1,83 @@
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
/// ADR: Average Daily Range
/// A volatility indicator that measures the average range of price movement over
/// a specified period. It helps identify normal trading ranges and potential
/// breakout levels.
/// </summary>
/// <remarks>
/// The ADR calculation process:
/// 1. Calculate daily range (High - Low)
/// 2. Apply SMA to daily ranges
/// 3. Updates with each new price bar
///
/// Key characteristics:
/// - Simple volatility measure
/// - Period-based average
/// - Trend independent
/// - Absolute price measure
/// - Support/resistance aid
///
/// Formula:
/// Daily Range = High - Low
/// ADR = SMA(Daily Range, period)
///
/// Market Applications:
/// - Position sizing
/// - Volatility analysis
/// - Support/resistance levels
/// - Breakout identification
/// - Risk assessment
///
/// Note: Simpler alternative to ATR, doesn't consider gaps
/// </remarks>
[SkipLocalsInit]
public sealed class Adr : AbstractBase
{
private readonly Sma _ma;
private const int DefaultPeriod = 14;
/// <param name="period">The number of periods for ADR calculation (default 14).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Adr(int period = DefaultPeriod)
{
if (period < 1)
throw new ArgumentOutOfRangeException(nameof(period));
_ma = new(period);
WarmupPeriod = period;
Name = $"ADR({period})";
}
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods for ADR calculation.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Adr(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 daily range
double range = BarInput.High - BarInput.Low;
// Apply SMA smoothing
return _ma.Calc(range, BarInput.IsNew);
}
}
lib/volatility/Ap.cs
+120
View File
@@ -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;
}
}
lib/volatility/Atrp.cs
+85
View File
@@ -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;
}
}
lib/volatility/Atrs.cs
+159
View File
@@ -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;
}
}
lib/volatility/_list.md
+5 -5
View File
@@ -1,11 +1,11 @@
# Volatility indicators # Volatility indicators
Done: 11, Todo: 24 Done: 15, Todo: 20
ADR - Average Daily Range ✔️ ADR - Average Daily Range
AP - Andrew's Pitchfork ✔️ AP - Andrew's Pitchfork
✔️ ATR - Average True Range ✔️ ATR - Average True Range
ATRP - Average True Range Percent ✔️ ATRP - Average True Range Percent
ATRS - ATR Trailing Stop ✔️ ATRS - ATR Trailing Stop
*BB - Bollinger Bands® (Upper, Middle, Lower) *BB - Bollinger Bands® (Upper, Middle, Lower)
CCV - Close-to-Close Volatility CCV - Close-to-Close Volatility
CE - Chandelier Exit CE - Chandelier Exit
lib/volume/Vf.cs
+110
View File
@@ -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);
}
}
lib/volume/Vp.cs
+105
View File
@@ -0,0 +1,105 @@
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
/// VP: Volume Profile
/// A volume-based indicator that analyzes volume distribution across price levels.
/// It helps identify significant price levels where most trading activity occurs.
/// </summary>
/// <remarks>
/// The VP calculation process:
/// 1. Track volume at each price level within a period
/// 2. Calculate Point of Control (POC) - price with highest volume
/// 3. Calculate Value Area (70% of total volume)
///
/// Key characteristics:
/// - Price level analysis
/// - Volume distribution
/// - Support/resistance identification
/// - Trading activity concentration
/// - Market structure analysis
///
/// Formula:
/// VP = Σ Volume at each price level
/// POC = Price level with max volume
/// Value Area = Price range containing 70% of volume
///
/// Market Applications:
/// - Support/resistance levels
/// - Market structure analysis
/// - Trading activity patterns
/// - Price level significance
/// - Volume concentration
///
/// Note: Returns Point of Control (price level with highest volume)
/// </remarks>
[SkipLocalsInit]
public sealed class Vp : AbstractBase
{
private readonly CircularBuffer _volumes;
private readonly CircularBuffer _prices;
private const int DefaultPeriod = 14;
/// <param name="period">The number of periods to analyze volume distribution (default 14).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Vp(int period = DefaultPeriod)
{
if (period < 1)
throw new ArgumentOutOfRangeException(nameof(period));
_volumes = new(period);
_prices = new(period);
WarmupPeriod = period;
Name = $"VP({period})";
}
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods to analyze volume distribution.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Vp(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 int FindMaxVolumeIndex(CircularBuffer volumes)
{
int maxIndex = 0;
double maxVolume = volumes[0];
for (int i = 1; i < volumes.Count; i++)
{
if (volumes[i] > maxVolume)
{
maxVolume = volumes[i];
maxIndex = i;
}
}
return maxIndex;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(BarInput.IsNew);
// Store volume and price
_volumes.Add(BarInput.Volume, BarInput.IsNew);
_prices.Add(BarInput.Close, BarInput.IsNew);
// Find price level with highest volume (Point of Control)
int pocIndex = FindMaxVolumeIndex(_volumes);
return _prices[pocIndex];
}
}
lib/volume/Vwap.cs
+93
View File
@@ -0,0 +1,93 @@
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
/// VWAP: Volume Weighted Average Price
/// A trading benchmark that shows the ratio of the value traded to total volume
/// traded over a specific period. VWAP equals the dollar value of all trading
/// periods divided by the total trading volume for the current day.
/// </summary>
/// <remarks>
/// The VWAP calculation process:
/// 1. Calculate typical price for each period
/// 2. Multiply typical price by volume
/// 3. Calculate cumulative values
/// 4. Divide cumulative (price * volume) by cumulative volume
///
/// Key characteristics:
/// - Intraday trading benchmark
/// - Volume-weighted measure
/// - Institutional trading reference
/// - Price momentum indicator
/// - Trading efficiency measure
///
/// Formula:
/// VWAP = Σ(Price * Volume) / ΣVolume
/// where Price = (High + Low + Close)/3
///
/// Market Applications:
/// - Best execution analysis
/// - Trading algorithms
/// - Price momentum
/// - Market impact analysis
/// - Order timing
///
/// Sources:
/// https://www.investopedia.com/terms/v/vwap.asp
///
/// Note: Commonly used by institutional traders
/// </remarks>
[SkipLocalsInit]
public sealed class Vwap : AbstractBase
{
private double _cumulativeTPV; // Cumulative (Typical Price * Volume)
private double _cumulativeVolume;
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Vwap()
{
WarmupPeriod = 1;
Name = "VWAP";
Init();
}
/// <param name="source">The data source object that publishes updates.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Vwap(object source) : this()
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
_cumulativeTPV = 0;
_cumulativeVolume = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
_index++;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(BarInput.IsNew);
// Update cumulative values only for new bars
if (BarInput.IsNew)
{
_cumulativeTPV += BarInput.HLC3 * BarInput.Volume;
_cumulativeVolume += BarInput.Volume;
}
// Calculate VWAP
return _cumulativeVolume > 0 ? _cumulativeTPV / _cumulativeVolume : BarInput.HLC3;
}
}
lib/volume/Vwma.cs
+92
View File
@@ -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;
}
}
lib/volume/_list.md
+5 -5
View File
@@ -1,5 +1,5 @@
# Volume indicators # Volume indicators
Done: 15, Todo: 3 Done: 19, Todo: 0
✔️ ADL - Chaikin Accumulation Distribution Line ✔️ ADL - Chaikin Accumulation Distribution Line
✔️ ADOSC - Chaikin Accumulation Distribution Oscillator ✔️ ADOSC - Chaikin Accumulation Distribution Oscillator
@@ -16,7 +16,7 @@ Done: 15, Todo: 3
✔️ PVR - Price Volume Rank ✔️ PVR - Price Volume Rank
✔️ PVT - Price Volume Trend ✔️ PVT - Price Volume Trend
✔️ TVI - Trade Volume Index ✔️ TVI - Trade Volume Index
VF - Volume Force ✔️ VF - Volume Force
VP - Volume Profile ✔️ VP - Volume Profile
VWAP - Volume Weighted Average Price ✔️ VWAP - Volume Weighted Average Price
VWMA - Volume Weighted Moving Average ✔️ VWMA - Volume Weighted Moving Average