mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
e3bd07aa87
- Core implementation with Cholesky OLS, MacKinnon p-value, AIC lag selection - Three regression models: NoConstant, Constant, ConstantAndTrend - NormCdf via Abramowitz & Stegun 7.1.26 erf approximation - Quantower adapter, Python bridge (NativeAOT export + ctypes + wrapper) - 69 tests (41 unit + 12 validation + 14 Quantower + 2 consistency) - Documentation with Schwert table, MacKinnon coefficients, PineScript ref - All 19,095 tests pass, zero warnings
83 lines
2.8 KiB
C#
83 lines
2.8 KiB
C#
using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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/// <summary>
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/// ADF Quantower indicator.
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/// Augmented Dickey-Fuller unit root test — outputs p-value for stationarity detection.
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/// </summary>
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[SkipLocalsInit]
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public sealed class AdfIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 20, 500, 1, 0)]
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public int Period { get; set; } = 50;
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[InputParameter("Max Lag (0=auto)", sortIndex: 2, 0, 10, 1, 0)]
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public int MaxLag { get; set; } = 0;
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[InputParameter("Regression Model", sortIndex: 3, variants: new object[] {
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"No Constant", 0, "Constant", 1, "Constant + Trend", 2 })]
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public int RegressionModel { get; set; } = 1;
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[IndicatorExtensions.DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Adf _indicator = null!;
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private readonly LineSeries _pValueSeries;
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private string _sourceName = null!;
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private Func<IHistoryItem, double> _priceSelector = null!;
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public int MinHistoryDepths => Period;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName
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{
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get
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{
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string regStr = RegressionModel switch { 0 => "nc", 1 => "c", 2 => "ct", _ => "c" };
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return $"ADF({Period},{MaxLag},{regStr}):{_sourceName}";
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}
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}
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public override string SourceCodeLink =>
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"https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/adf/Adf.Quantower.cs";
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public AdfIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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_sourceName = Source.ToString();
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Name = "ADF - Augmented Dickey-Fuller Test";
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Description = "Tests for unit root (non-stationarity). P-value near 0 indicates stationarity.";
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_pValueSeries = new LineSeries(name: "P-Value", color: IndicatorExtensions.Statistics,
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width: 2, style: LineStyle.Solid);
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AddLineSeries(_pValueSeries);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnInit()
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{
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_indicator = new Adf(Period, MaxLag, (Adf.AdfRegression)RegressionModel);
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_sourceName = Source.ToString();
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_priceSelector = Source.GetPriceSelector();
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
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TValue result = _indicator.Update(
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new TValue(item.TimeLeft.Ticks, _priceSelector(item)),
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isNew: args.IsNewBar());
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_pValueSeries.SetValue(result.Value, _indicator.IsHot, ShowColdValues);
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}
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}
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