mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 12:37:43 +00:00
Miha Kralj
88 lines
2.8 KiB
C#
88 lines
2.8 KiB
C#
namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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/* <summary>
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ATR: wildeR Moving Average
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The average true range (ATR) is a price volatility indicator
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showing the average price variation of assets within a given time period.
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Sources:
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https://en.wikipedia.org/wiki/Average_true_range
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https://www.tradingview.com/wiki/Average_True_Range_(ATR)
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https://www.investopedia.com/terms/a/atr.asp
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</summary> */
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public class ATR_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TBars _data;
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private double _k;
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private int _len;
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private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
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//core constructors
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public ATR_Series(int period, bool useNaN) {
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_period = period;
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_k = 1.0 / (double)(_period);
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_NaN = useNaN;
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_len = 0;
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Name = $"ATR({period})";
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}
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public ATR_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(data: _data);
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}
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public ATR_Series() : this(period: 1, useNaN: false) { }
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public ATR_Series(int period) : this(period: period, useNaN: false) { }
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public ATR_Series(TBars source) : this(source, period: 1, useNaN: false) { }
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public ATR_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
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if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
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else {
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_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
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_k = (_period == 0) ? 1 / (double)_len : _k;
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_len++;
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}
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if (_len == 1) { _cm1 = TBar.c; }
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double d1 = Math.Abs(TBar.h - TBar.l);
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double d2 = Math.Abs(_cm1 - TBar.h);
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double d3 = Math.Abs(_cm1 - TBar.l);
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(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
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_cm1 = TBar.c;
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double _atr = 0;
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if (this.Count == 0) { _atr = d.v; }
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else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
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else { _atr = _k * (d.v - _lastatr) + _lastatr; }
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_lastatr = _atr;
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var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atr);
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return base.Add(res, update);
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}
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public new void Add(TBars data) {
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foreach (var item in data) { Add(item, false); }
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TBar: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TBar: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TBar: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset() {
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_len = 0;
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}
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} |