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Miha Kralj
2024-10-16 18:28:06 -07:00
parent e5a1948fc0
commit fbe4046b5d
17 changed files with 2619 additions and 286 deletions
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lib/volatility/Jvolty.cs
+70 -38
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@@ -7,17 +7,25 @@ namespace QuanTAlib;
public class Jvolty : AbstractBase
{
private readonly int _period;
private readonly CircularBuffer _values;
private readonly CircularBuffer _voltyShort;
private readonly double _phase;
private readonly CircularBuffer _vsumBuff;
private readonly CircularBuffer _avoltyBuff;
private double _len1;
private double _pow1;
private double _upperBand;
private double _lowerBand;
private double _p_upperBand;
private double _p_lowerBand;
private readonly double _beta;
private double _upperBand, _lowerBand, _p_upperBand, _p_lowerBand;
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _vSum, _p_vSum;
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
public double VSum { get; set; }
public double Jma { get; set; }
public double AvgVolty { get; set; }
/// <summary>
/// Initializes a new instance of the Jvolty class with the specified parameters.
@@ -28,22 +36,21 @@ public class Jvolty : AbstractBase
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
public Jvolty(int period, int vshort = 10)
public Jvolty(int period, int phase = 0)
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
_period = period;
int _vlong = 65;
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_values = new CircularBuffer(period);
_voltyShort = new CircularBuffer(vshort);
_vsumBuff = new CircularBuffer(_vlong);
_avoltyBuff = new CircularBuffer(2);
_vsumBuff = new CircularBuffer(10);
_avoltyBuff = new CircularBuffer(65);
_beta = 0.45 * (period - 1) / (0.45 * (period - 1) + 2);
WarmupPeriod = period * 2;
Name = $"JVOLTY({period},{vshort})";
Name = $"JVOLTY({period})";
}
/// <summary>
@@ -53,7 +60,7 @@ public class Jvolty : AbstractBase
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <param name="vshort">The short-term volatility period.</param>
public Jvolty(object source, int period, int vshort = 10) : this(period, vshort)
public Jvolty(object source, int period, int phase = 0) : this(period, phase)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
@@ -70,8 +77,7 @@ public class Jvolty : AbstractBase
_len1 = Math.Max((Math.Log(Math.Sqrt(_period - 1)) / Math.Log(2.0)) + 2.0, 0);
_pow1 = Math.Max(_len1 - 2.0, 0.5);
_avoltyBuff.Clear();
_avoltyBuff.Add(0, true);
_avoltyBuff.Add(0, true);
_vsumBuff.Clear();
}
/// <summary>
@@ -85,11 +91,21 @@ public class Jvolty : AbstractBase
_index++;
_p_upperBand = _upperBand;
_p_lowerBand = _lowerBand;
_p_vSum = _vSum;
_p_prevMa1 = _prevMa1;
_p_prevDet0 = _prevDet0;
_p_prevDet1 = _prevDet1;
_p_prevJma = _prevJma;
}
else
{
_upperBand = _p_upperBand;
_lowerBand = _p_lowerBand;
_vSum = _p_vSum;
_prevMa1 = _p_prevMa1;
_prevDet0 = _p_prevDet0;
_prevDet1 = _p_prevDet1;
_prevJma = _p_prevJma;
}
}
@@ -101,41 +117,57 @@ public class Jvolty : AbstractBase
/// </returns>
protected override double Calculation()
{
ManageState(BarInput.IsNew);
_values.Add(BarInput.Close, BarInput.IsNew);
ManageState(Input.IsNew);
double price = Input.Value;
if (_index == 1)
{
return 0;
_upperBand = _lowerBand = price;
}
double hprice = _values.Max();
double lprice = _values.Min();
double del1 = hprice - _upperBand;
double del2 = lprice - _lowerBand;
double del1 = price - _upperBand;
double del2 = price - _lowerBand;
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
_voltyShort.Add(volty, BarInput.IsNew);
double vsum = _vsumBuff.Newest() + 0.1 * (volty - _voltyShort.Oldest());
_vsumBuff.Add(vsum, BarInput.IsNew);
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
_avoltyBuff.Add(_vSum, Input.IsNew);
double avgvolty = _avoltyBuff.Average();
double prevAvolty = _avoltyBuff.Newest();
double avolty = prevAvolty + 2.0 / (Math.Max(4.0 * _period, 30) + 1.0) * (vsum - prevAvolty);
_avoltyBuff.Add(avolty, BarInput.IsNew);
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double dVolty = (avolty > 0) ? volty / avolty : 0;
dVolty = Math.Min(Math.Max(dVolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
double pow2 = Math.Pow(dVolty, _pow1);
double len2 = Math.Sqrt(0.5 * (_period - 1)) * _len1;
double Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2));
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
_upperBand = (del1 > 0) ? hprice : hprice - (Kv * del1);
_lowerBand = (del2 < 0) ? lprice : lprice - (Kv * del2);
double alpha = Math.Pow(_beta, pow2);
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
_prevMa1 = ma1;
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha) ) + (alpha * alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;
UpperBand = _upperBand;
LowerBand = _lowerBand;
Volty = volty;
VSum = _vSum;
AvgVolty = avgvolty;
Jma = jma;
IsHot = _index >= WarmupPeriod;
return volty;
}
}