using System.Drawing; using System.Runtime.CompilerServices; using TradingPlatform.BusinessLayer; namespace QuanTAlib; /// /// Quantower adapter for YZVAMA (Yang-Zhang Volatility Adjusted Moving Average). /// YZVAMA requires OHLC data to compute Yang-Zhang volatility. /// [SkipLocalsInit] public class YzvamaIndicator : Indicator, IWatchlistIndicator { [IndicatorExtensions.DataSourceInput] public SourceType Source { get; set; } = SourceType.Close; [InputParameter("Short YZV Period", sortIndex: 2, 1, 100, 1, 0)] public int ShortYzvPeriod { get; set; } = 3; [InputParameter("Long YZV Period", sortIndex: 3, 1, 500, 1, 0)] public int LongYzvPeriod { get; set; } = 50; [InputParameter("Percentile Lookback", sortIndex: 4, 1, 2000, 1, 0)] public int PercentileLookback { get; set; } = 100; [InputParameter("Min Length", sortIndex: 5, 1, 500, 1, 0)] public int MinLength { get; set; } = 5; [InputParameter("Max Length", sortIndex: 6, 1, 2000, 1, 0)] public int MaxLength { get; set; } = 100; [InputParameter("Show cold values", sortIndex: 21)] public bool ShowColdValues { get; set; } = true; private Yzvama ma = null!; protected LineSeries Series; private Func _priceSelector = null!; public static int MinHistoryDepths => 0; int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths; public override string ShortName => $"YZVAMA {ShortYzvPeriod},{LongYzvPeriod},{PercentileLookback}:{Source}"; public YzvamaIndicator() { OnBackGround = true; SeparateWindow = false; Name = "YZVAMA - Yang-Zhang Volatility Adjusted Moving Average"; Description = "Adjusts MA length based on percentile rank of short-term Yang-Zhang volatility"; Series = new LineSeries(name: "YZVAMA", color: IndicatorExtensions.Averages, width: 2, style: LineStyle.Solid); AddLineSeries(Series); } protected override void OnInit() { ma = new Yzvama(ShortYzvPeriod, LongYzvPeriod, PercentileLookback, MinLength, MaxLength); _priceSelector = Source.GetPriceSelector(); base.OnInit(); } [MethodImpl(MethodImplOptions.AggressiveInlining)] protected override void OnUpdate(UpdateArgs args) { var item = HistoricalData[Count - 1, SeekOriginHistory.Begin]; var bar = new TBar( item.TimeLeft.Ticks, item[PriceType.Open], item[PriceType.High], item[PriceType.Low], item[PriceType.Close], item[PriceType.Volume]); double source = _priceSelector(item); TValue result = ma.Update(bar, source, isNew: args.IsNewBar()); Series.SetValue(result.Value, ma.IsHot, ShowColdValues); } }