mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 04:27:43 +00:00
Miha Kralj
90 lines
2.8 KiB
C#
90 lines
2.8 KiB
C#
namespace QuanTAlib;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
|
|
/* <summary>
|
|
ADOSC: Chaikin Accumulation/Distribution Oscillator
|
|
ADO measures the momentum of ADL using the difference between slow (10-day) EMA(ADL)
|
|
and fast (3-day) EMA(ADL):
|
|
|
|
Chaikin A/D Oscillator is defined as 3-day EMA of ADL minus 10-day EMA of ADL
|
|
|
|
Sources:
|
|
https://school.stockcharts.com/doku.php?id=technical_indicators:chaikin_oscillator
|
|
|
|
</summary> */
|
|
|
|
public class ADOSC_Series : TSeries {
|
|
protected readonly TBars _data;
|
|
private readonly double _k1, _k2;
|
|
private double _lastema1, _lastlastema1, _lastema2, _lastlastema2;
|
|
private double _lastadl, _lastlastadl;
|
|
|
|
//core constructors
|
|
public ADOSC_Series(int shortPeriod, int longPeriod, bool useNaN = false) {
|
|
Name = $"ADOSC()";
|
|
_k1 = 2.0 / (shortPeriod + 1);
|
|
_k2 = 2.0 / (longPeriod + 1);
|
|
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
|
|
}
|
|
public ADOSC_Series(TBars source, int shortPeriod, int longPeriod, bool useNaN = false) :this(shortPeriod, longPeriod, useNaN) {
|
|
_data = source;
|
|
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
|
|
_lastadl = _lastlastadl = 0;
|
|
_data.Pub += Sub;
|
|
Add(data: _data);
|
|
}
|
|
|
|
public ADOSC_Series() : this(shortPeriod: 3, longPeriod: 10, useNaN: false) {}
|
|
|
|
public ADOSC_Series(TBars source) : this(source, shortPeriod: 3, longPeriod:10, useNaN:false) { }
|
|
|
|
//////////////////
|
|
// core Add() algo
|
|
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update= false) {
|
|
|
|
if (update) {
|
|
_lastadl = _lastlastadl;
|
|
_lastema1 = _lastlastema1;
|
|
_lastema2 = _lastlastema2;
|
|
}
|
|
|
|
double _adl = 0;
|
|
double tmp = TBar.h - TBar.l;
|
|
if (tmp > 0.0) { _adl = _lastadl + ((2 * TBar.c - TBar.l - TBar.h) / tmp * TBar.v); }
|
|
if (this.Count == 0) { _lastema1 = _lastema2 = _adl; }
|
|
|
|
double _ema1 = (_adl - _lastema1) * _k1 + _lastema1;
|
|
double _ema2 = (_adl - _lastema2) * _k2 + _lastema2;
|
|
|
|
_lastlastadl = _lastadl;
|
|
_lastadl = _adl;
|
|
_lastlastema1 = _lastema1;
|
|
_lastema1 = _ema1;
|
|
_lastlastema2 = _lastema2;
|
|
_lastema2 = _ema2;
|
|
|
|
double _adosc = _ema1 - _ema2;
|
|
|
|
var ret = (TBar.t, _adosc);
|
|
return base.Add(ret, update);
|
|
}
|
|
|
|
public new void Add(TBars data) {
|
|
foreach (var item in data) { Add(item, false); }
|
|
}
|
|
public (DateTime t, double v) Add(bool update) {
|
|
return this.Add(TBar: _data.Last, update: update);
|
|
}
|
|
public (DateTime t, double v) Add() {
|
|
return Add(TBar: _data.Last, update: false);
|
|
}
|
|
private new void Sub(object source, TSeriesEventArgs e) {
|
|
Add(TBar: _data.Last, update: e.update);
|
|
}
|
|
|
|
//reset calculation
|
|
public override void Reset() {
|
|
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
|
|
}
|
|
} |