mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 12:37:43 +00:00
Miha Kralj
dfeb23bf3d
- Implemented SgmaIndicator class in C# with properties for Period, Degree, and Source. - Added unit tests for SgmaIndicator covering constructor defaults, initialization, and various update scenarios. - Created a new Quantower adapter for the SGMA indicator, including input parameters and line series setup. - Removed legacy SGMA implementation and tests to streamline the codebase. - Updated project files to include new indicator and tests in the build process. - Generated a missing indicators report and outlined a plan for oscillator documentation rewrite.
78 lines
2.8 KiB
C#
78 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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/// Quantower adapter for Granger Causality indicator.
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/// Tests whether one price source Granger-causes another using F-statistic.
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/// </summary>
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/// <remarks>
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/// This adapter compares two different price sources from the same symbol (e.g., Close vs Volume).
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/// For cross-symbol Granger causality analysis, use the core Granger class directly.
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///
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/// Higher F-statistic values indicate stronger evidence that Source 2 Granger-causes Source 1.
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/// </remarks>
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[SkipLocalsInit]
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public sealed class GrangerIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 0, minimum: 4, maximum: 10000)]
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public int Period { get; set; } = 20;
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[IndicatorExtensions.DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Source 2 Type", sortIndex: 2)]
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public SourceType Source2 { get; set; } = SourceType.Open;
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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 Granger _granger = null!;
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private readonly LineSeries _series;
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private string _sourceName = null!;
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private Func<IHistoryItem, double> _priceSelector = null!;
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private Func<IHistoryItem, double> _priceSelector2 = null!;
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public static int MinHistoryDepths => 2;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"GRANGER({Period}):{_sourceName}/{Source2}";
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public GrangerIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "GRANGER - Granger Causality F-Statistic";
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Description = "Tests whether one price source helps predict another. Higher F-statistic = stronger evidence of Granger causality.";
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_series = new LineSeries(name: "F-Stat", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
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AddLineSeries(_series);
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}
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protected override void OnInit()
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{
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_priceSelector = Source.GetPriceSelector();
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_priceSelector2 = Source2.GetPriceSelector();
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_sourceName = Source.ToString();
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_granger = new Granger(Period);
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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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bool isNew = args.IsNewBar();
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var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
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double valueY = _priceSelector(item);
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double valueX = _priceSelector2(item);
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var tvalY = new TValue(item.TimeLeft.Ticks, valueY);
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var tvalX = new TValue(item.TimeLeft.Ticks, valueX);
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double value = _granger.Update(tvalY, tvalX, isNew).Value;
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_series.SetValue(value, _granger.IsHot, ShowColdValues);
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}
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}
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