using System.Drawing; using System.Runtime.CompilerServices; using TradingPlatform.BusinessLayer; namespace QuanTAlib; [SkipLocalsInit] public sealed class HurstIndicator : Indicator, IWatchlistIndicator { [InputParameter("Period", sortIndex: 1, 20, 2000, 1, 0)] public int Period { get; set; } = 100; [IndicatorExtensions.DataSourceInput] public SourceType Source { get; set; } = SourceType.Close; [InputParameter("Show cold values", sortIndex: 21)] public bool ShowColdValues { get; set; } = true; private Hurst _hurst = null!; private readonly LineSeries _series; private readonly LineSeries _halfLine; private Func _priceSelector = null!; public static int MinHistoryDepths => 0; int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths; public override string ShortName => $"Hurst {Period}"; public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/hurst/Hurst.Quantower.cs"; public HurstIndicator() { OnBackGround = true; SeparateWindow = true; Name = "Hurst - Hurst Exponent"; Description = "Measures long-range dependence using Rescaled Range (R/S) analysis. H > 0.5 = trending, H < 0.5 = mean-reverting, H ≈ 0.5 = random walk"; _series = new LineSeries(name: "Hurst", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid); _halfLine = new LineSeries(name: "0.5", color: Color.Gray, width: 1, style: LineStyle.Dash); AddLineSeries(_series); AddLineSeries(_halfLine); } [MethodImpl(MethodImplOptions.AggressiveInlining)] protected override void OnInit() { _hurst = new Hurst(Period); _priceSelector = Source.GetPriceSelector(); base.OnInit(); } [MethodImpl(MethodImplOptions.AggressiveInlining)] protected override void OnUpdate(UpdateArgs args) { var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin]; double value = _priceSelector(item); var time = this.HistoricalData.Time(); var input = new TValue(time, value); TValue result = _hurst.Update(input, args.IsNewBar()); _series.SetValue(result.Value, _hurst.IsHot, ShowColdValues); _halfLine.SetValue(0.5); } }