chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data.Market;
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using System;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Klinger Volume Oscillator (KVO) is a technical indicator that analyzes the relationship between
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/// price movement and trading volume to assess the strength of market trends and identify potential
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/// trend reversals. As a volume-based oscillator, it measures the force behind price movements by
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/// incorporating volume data adjusted for price trends and specific conditions. Traders use the KVO
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/// to analyze its behavior relative to price action, looking for patterns such as divergences or
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/// crossovers that can provide insights into market trends and potential turning points.
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/// </summary>
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public class KlingerVolumeOscillator : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly ExponentialMovingAverage _fastEma;
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private readonly ExponentialMovingAverage _slowEma;
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private readonly RollingWindow<decimal> _priceIndex;
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private readonly RollingWindow<decimal> _rangeWindow;
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private readonly RollingWindow<int> _trendWindow;
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private decimal _cumulativeMovement;
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// Minimum cumulative movement value to avoid division by zero and near zero in volume force calculation
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private const decimal MinCumulativeForDivision = 1e-8m;
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/// <summary>
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/// Gets the public signal line (EMA of KVO)
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/// </summary>
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public ExponentialMovingAverage Signal { get; }
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/// <summary>
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/// Gets the warm-up period required for the indicator to be ready.
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/// </summary>
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public int WarmUpPeriod { get; }
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/// <summary>
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/// Gets a value indicating whether the indicator is ready and has enough data.
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/// </summary>
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public override bool IsReady => _fastEma.IsReady && _slowEma.IsReady && Signal.IsReady;
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/// <summary>
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/// Initializes a new instance of the <see cref="KlingerVolumeOscillator"/> class with specified fast, slow periods.
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/// </summary>
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/// <param name="name">The name of the indicator.</param>
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/// <param name="fastPeriod">The fast EMA period.</param>
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/// <param name="slowPeriod">The slow EMA period.</param>
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/// <param name="signalPeriod">The signal line period.</param>
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public KlingerVolumeOscillator(string name, int fastPeriod, int slowPeriod, int signalPeriod)
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: base(name)
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{
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_fastEma = new ExponentialMovingAverage(name + "_FastEma", fastPeriod);
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_slowEma = new ExponentialMovingAverage(name + "_SlowEma", slowPeriod);
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Signal = new ExponentialMovingAverage(name + "_Signal", signalPeriod);
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_priceIndex = new RollingWindow<decimal>(2);
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_rangeWindow = new RollingWindow<decimal>(2);
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_trendWindow = new RollingWindow<int>(2);
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WarmUpPeriod = Math.Max(fastPeriod, Math.Max(slowPeriod, signalPeriod)) + 2;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="KlingerVolumeOscillator"/> class with specified fast, slow periods.
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/// </summary>
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/// <param name="fastPeriod">The fast EMA period.</param>
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/// <param name="slowPeriod">The slow EMA period.</param>
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/// <param name="signalPeriod">The signal line period (default is 13).</param>
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public KlingerVolumeOscillator(int fastPeriod, int slowPeriod, int signalPeriod = 13)
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: this($"KVO({fastPeriod},{slowPeriod},{signalPeriod})", fastPeriod, slowPeriod, signalPeriod)
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{
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}
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/// <summary>
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/// Computes the next value of the Klinger Volume Oscillator based on the input data point.
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/// </summary>
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protected override decimal ComputeNextValue(TradeBar bar)
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{
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// daily movement range
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var todaysMovement = bar.High - bar.Low;
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_rangeWindow.Add(todaysMovement);
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// price index value, used to compare current and previous price trends
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var hlc = bar.High + bar.Low + bar.Close;
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_priceIndex.Add(hlc);
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if (!_priceIndex.IsReady)
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{
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// Not enough data
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return 0m;
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}
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// determine if the price trend is going up or down, 1 for up, -1 for down
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var currentTrend = _priceIndex[0] > _priceIndex[1] ? 1 : -1;
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_trendWindow.Add(currentTrend);
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if (!_trendWindow.IsReady)
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{
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// Not enough data
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return 0m;
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}
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// Data is ready to calculate KVO
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var hasMovement = _cumulativeMovement != 0;
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var trendChanged = _trendWindow[0] != _trendWindow[1];
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var yesterdaysRange = _rangeWindow[1];
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if (!hasMovement || trendChanged)
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{
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// Start new flow accumulation with the previous daily movement
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_cumulativeMovement = todaysMovement + yesterdaysRange;
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}
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else
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{
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// Continue flow accumulation in the same trend direction
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_cumulativeMovement += todaysMovement;
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}
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// Volume force: strength of volume flow in the direction of the trend.
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// There are various definitions of volume force, this is what we used in our implementation:
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// https://github.com/nardew/talipp/blob/70dc9a26889c9c9329e44321e1362c4db43dbcc3/talipp/indicators/KVO.py#L85
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// https://www.tradingview.com/support/solutions/43000589157-klinger-oscillator/
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// Protect from division by zero and near zero from blowing up the volume force calculation
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var denom = Math.Abs(_cumulativeMovement) < MinCumulativeForDivision ? MinCumulativeForDivision : _cumulativeMovement;
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var volumeForce = bar.Volume * Math.Abs(2m * (todaysMovement / denom - 1m)) * currentTrend * 100m;
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// update moving averages
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var dataPoint = new IndicatorDataPoint(bar.EndTime, volumeForce);
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_fastEma.Update(dataPoint);
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_slowEma.Update(dataPoint);
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if (!_fastEma.IsReady || !_slowEma.IsReady)
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{
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Signal.Update(new IndicatorDataPoint(bar.EndTime, 0m));
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return 0m;
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}
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// Calculate KVO value as the difference between fast and slow EMAs
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var kvo = _fastEma.Current.Value - _slowEma.Current.Value;
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Signal.Update(new IndicatorDataPoint(bar.EndTime, kvo));
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return kvo;
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}
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/// <summary>
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/// Resets the indicator to its initial state.
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/// </summary>
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public override void Reset()
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{
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base.Reset();
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Signal.Reset();
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_fastEma.Reset();
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_slowEma.Reset();
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_priceIndex.Reset();
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_rangeWindow.Reset();
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_trendWindow.Reset();
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_cumulativeMovement = 0m;
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}
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}
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}
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