Implemented EaseOfMovementVisitor visitor

hosseinmoein · May 2, 2023 · 0c43657 · 0c43657
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diff --git a/docs/HTML/DataFrame.html b/docs/HTML/DataFrame.html
@@ -947,6 +947,10 @@ <H2><font color="blue">Table of Functionalities &#8212; with Code Samples</font>
       <td title="Calculates Drawdown">struct <a href="https://htmlpreview.github.io/?https://github.com/hosseinmoein/DataFrame/blob/master/docs/HTML/DrawdownVisitor.html">DrawdownVisitor</a>{  }</td>
     </tr>
 
+    <tr class="item" onmouseover="this.style.backgroundColor='#ffff66';" onmouseout="this.style.backgroundColor='#d4e3e5';">
+      <td title="Calculates Ease Of Movement indicator">struct <a href="https://htmlpreview.github.io/?https://github.com/hosseinmoein/DataFrame/blob/master/docs/HTML/EaseOfMovementVisitor.html">EaseOfMovementVisitor</a>{  }</td>
+    </tr>
+
     <tr class="item" onmouseover="this.style.backgroundColor='#ffff66';" onmouseout="this.style.backgroundColor='#d4e3e5';">
       <td title="Calculates Even Better Sine Wave (EBSW) indicator">struct <a href="https://htmlpreview.github.io/?https://github.com/hosseinmoein/DataFrame/blob/master/docs/HTML/EBSineWaveVisitor.html">EBSineWaveVisitor</a>{  }</td>
     </tr>

diff --git a/docs/HTML/EaseOfMovementVisitor.html b/docs/HTML/EaseOfMovementVisitor.html
@@ -0,0 +1,119 @@
+<!--
+Copyright (c) 2019-2026, Hossein Moein
+All rights reserved.
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+* Neither the name of Hossein Moein and/or the DataFrame nor the
+  names of its contributors may be used to endorse or promote products
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+-->
+<!DOCTYPE html>
+<html>
+<body>
+  <table align="center" border="1">
+
+    <tr bgcolor="lightblue">
+      <th>Signature</th> <th>Description</th> <th>Parameters</th>
+    </tr>
+    <tr bgcolor="lightgrey">
+      <td bgcolor="maroon"> <font color="white">
+        <PRE><B>#include &lt;DataFrame/DataFrameFinancialVisitors.h&gt;
+
+template&lt;typename T, typename I = unsigned long,
+         std::size_t A = 0&gt;
+struct EaseOfMovementVisitor;
+
+// -------------------------------------
+
+template&lt;typename T, typename I = unsigned long,
+         std::size_t A = 0&gt;
+using eom_v = EaseOfMovementVisitor&lt;T, I, A&gt;;
+        </B></PRE></font>
+      </td>
+      <td>
+        This is a “single action visitor”, meaning it is passed the whole data vector in one call and you must use the single_act_visit() interface.<BR><BR>
+        This visitor calculates the Ease Of Movement (EOM) indicator. It requires 4 input columns in order of <I>low price</I>, <I>high price</I>, <I>close price</I>, <I>volume</I>.<BR>
+        Richard Arms' Ease of Movement indicator is a technical study that attempts to quantify a mix of momentum and volume information into one value. The intent is to use this value to discern whether prices are able to rise, or fall, with little resistance in the directional movement.<BR>
+        When the indicator creates output values above zero and rising, this suggests that the price is increasing on low volume, while falling negative values suggest that the price is dropping on low volume.<BR>
+        <I>
+        <PRE>
+    explicit
+    EaseOfMovementVisitor(size_t roll_period = 14,
+                          value_type vol_divisor = 100,000,000);
+
+    <B>roll_period:</B> The averaging period
+    <B>vol_divisor:</B> Scale equals 1,000 to 1,000,000,000 depending on
+                 the average daily volume of the stock.
+                 The more heavily traded the stock, the higher the scale
+                 should be to keep the indicator value in single or double digits
+        </PRE>
+        </I>
+      </td>
+      <td width="12%">
+        <B>T</B>: Column data type<BR>
+        <B>I</B>: Index type<BR>
+        <B>A</B>: Memory alignment boundary for vectors. Default is system default alignment<BR>
+      </td>
+    </tr>
+
+  </table>
+
+<pre class="code_syntax" style="color:#000000;background:#ffffff;"><span class="line_wrapper"><span style="color:#800000; font-weight:bold; ">static</span> <span style="color:#800000; font-weight:bold; ">void</span> test_EaseOfMovementVisitor<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span>  <span style="color:#800080; ">{</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">    <span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">cout</span> <span style="color:#808030; ">&lt;</span><span style="color:#808030; ">&lt;</span> <span style="color:#800000; ">"</span><span style="color:#0f69ff; ">\n</span><span style="color:#0000e6; ">Testing EaseOfMovementVisitor{  } ...</span><span style="color:#800000; ">"</span> <span style="color:#808030; ">&lt;</span><span style="color:#808030; ">&lt;</span> <span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">endl</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">    <span style="color:#800000; font-weight:bold; ">typedef</span> StdDataFrame64<span style="color:#800080; ">&lt;</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">string</span><span style="color:#800080; ">&gt;</span> StrDataFrame<span style="color:#800080; ">;</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">    StrDataFrame    df<span style="color:#800080; ">;</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">    <span style="color:#800000; font-weight:bold; ">try</span>  <span style="color:#800080; ">{</span></span>
+<span class="line_wrapper">        df<span style="color:#808030; ">.</span>read<span style="color:#808030; ">(</span><span style="color:#800000; ">"</span><span style="color:#0000e6; ">data/SHORT_IBM.csv</span><span style="color:#800000; ">"</span><span style="color:#808030; ">,</span> io_format<span style="color:#800080; ">::</span>csv2<span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">        eom_v<span style="color:#800080; ">&lt;</span><span style="color:#800000; font-weight:bold; ">double</span><span style="color:#808030; ">,</span> <span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">string</span><span style="color:#800080; ">&gt;</span>  eom<span style="color:#800080; ">;</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">        df<span style="color:#808030; ">.</span>single_act_visit<span style="color:#800080; ">&lt;</span><span style="color:#800000; font-weight:bold; ">double</span><span style="color:#808030; ">,</span> <span style="color:#800000; font-weight:bold; ">double</span><span style="color:#808030; ">,</span> <span style="color:#800000; font-weight:bold; ">double</span><span style="color:#808030; ">,</span> <span style="color:#800000; font-weight:bold; ">long</span><span style="color:#800080; ">&gt;</span><span style="color:#808030; ">(</span><span style="color:#800000; ">"</span><span style="color:#0000e6; ">IBM_Low</span><span style="color:#800000; ">"</span><span style="color:#808030; ">,</span> <span style="color:#800000; ">"</span><span style="color:#0000e6; ">IBM_High</span><span style="color:#800000; ">"</span><span style="color:#808030; ">,</span> <span style="color:#800000; ">"</span><span style="color:#0000e6; ">IBM_Close</span><span style="color:#800000; ">"</span><span style="color:#808030; ">,</span> <span style="color:#800000; ">"</span><span style="color:#0000e6; ">IBM_Volume</span><span style="color:#800000; ">"</span><span style="color:#808030; ">,</span> eom<span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper"></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">.</span>size<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">=</span><span style="color:#808030; ">=</span> <span style="color:#008c00; ">1721</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span>isnan<span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">0</span><span style="color:#808030; ">]</span><span style="color:#808030; ">)</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span>isnan<span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">12</span><span style="color:#808030; ">]</span><span style="color:#808030; ">)</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">abs</span><span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">14</span><span style="color:#808030; ">]</span> <span style="color:#808030; ">-</span> <span style="color:#808030; ">-</span><span style="color:#008000; ">0.9462</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span> <span style="color:#008000; ">0.0001</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">abs</span><span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">16</span><span style="color:#808030; ">]</span> <span style="color:#808030; ">-</span> <span style="color:#808030; ">-</span><span style="color:#008000; ">11.3211</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span> <span style="color:#008000; ">0.0001</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">abs</span><span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">25</span><span style="color:#808030; ">]</span> <span style="color:#808030; ">-</span> <span style="color:#808030; ">-</span><span style="color:#008000; ">29.6584</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span> <span style="color:#008000; ">0.0001</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">abs</span><span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">1720</span><span style="color:#808030; ">]</span> <span style="color:#808030; ">-</span> <span style="color:#808030; ">-</span><span style="color:#008000; ">36.4666</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span> <span style="color:#008000; ">0.0001</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">abs</span><span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">1712</span><span style="color:#808030; ">]</span> <span style="color:#808030; ">-</span> <span style="color:#808030; ">-</span><span style="color:#008000; ">12.0302</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span> <span style="color:#008000; ">0.0001</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">        assert<span style="color:#808030; ">(</span><span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">abs</span><span style="color:#808030; ">(</span>eom<span style="color:#808030; ">.</span>get_result<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span><span style="color:#808030; ">[</span><span style="color:#008c00; ">1707</span><span style="color:#808030; ">]</span> <span style="color:#808030; ">-</span> <span style="color:#808030; ">-</span><span style="color:#008000; ">1.0561</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span> <span style="color:#008000; ">0.0001</span><span style="color:#808030; ">)</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">    <span style="color:#800080; ">}</span></span>
+<span class="line_wrapper">    <span style="color:#800000; font-weight:bold; ">catch</span> <span style="color:#808030; ">(</span><span style="color:#800000; font-weight:bold; ">const</span> DataFrameError <span style="color:#808030; ">&amp;</span>ex<span style="color:#808030; ">)</span>  <span style="color:#800080; ">{</span></span>
+<span class="line_wrapper">        <span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">cout</span> <span style="color:#808030; ">&lt;</span><span style="color:#808030; ">&lt;</span> ex<span style="color:#808030; ">.</span>what<span style="color:#808030; ">(</span><span style="color:#808030; ">)</span> <span style="color:#808030; ">&lt;</span><span style="color:#808030; ">&lt;</span> <span style="color:#666616; ">std</span><span style="color:#800080; ">::</span><span style="color:#603000; ">endl</span><span style="color:#800080; ">;</span></span>
+<span class="line_wrapper">    <span style="color:#800080; ">}</span></span>
+<span class="line_wrapper"><span style="color:#800080; ">}</span></span>
+<span class="line_wrapper"></span></pre>
+
+  <img src="https://github.com/hosseinmoein/DataFrame/blob/master/docs/LionLookingUp.jpg?raw=true" alt="C++ DataFrame"
+       width="200" height="150" style="float:right"/>
+
+</body>
+</html>
+
+<!--
+Local Variables:
+mode:HTML
+tab-width:4
+c-basic-offset:4
+End:
+-->
diff --git a/include/DataFrame/DataFrameFinancialVisitors.h b/include/DataFrame/DataFrameFinancialVisitors.h
@@ -5647,6 +5647,76 @@ struct  EldersForceIndexVisitor  {
 template<typename T, typename I = unsigned long, std::size_t A = 0>
 using efi_v = EldersForceIndexVisitor<T, I, A>;
 
+// ----------------------------------------------------------------------------
+
+template<typename T, typename I = unsigned long, std::size_t A = 0,
+         typename =
+             typename std::enable_if<supports_arithmetic<T>::value, T>::type>
+struct  EaseOfMovementVisitor  {
+
+    DEFINE_VISIT_BASIC_TYPES_3
+
+    template <typename K, typename H, typename V>
+    inline void
+    operator() (const K &idx_begin, const K &idx_end,
+                const H &low_begin, const H &low_end,
+                const H &high_begin, const H &high_end,
+                const H &close_begin, const H &close_end,
+                const V &volume_begin, const V &volume_end)  {
+
+        const size_type col_s = std::distance(close_begin, close_end);
+
+        assert((col_s == size_type(std::distance(low_begin, low_end))));
+        assert((col_s == size_type(std::distance(high_begin, high_end))));
+        assert((col_s == size_type(std::distance(volume_begin, volume_end))));
+        assert(roll_period_ < col_s);
+
+        result_type             result;
+        constexpr value_type    two = 2;
+
+        result.reserve(col_s);
+        result.push_back(std::numeric_limits<T>::quiet_NaN());
+        for (size_type i { 1 }; i < col_s; ++i)  {
+            const value_type    low = *(low_begin + i);
+            const value_type    high = *(high_begin + i);
+            const value_type    hl_range = high - low;
+            const value_type    distance =
+                ((high + low) / two) -
+                ((*(high_begin + (i - 1)) + *(low_begin + (i - 1))) / two);
+            const value_type    box_ratio =
+                (*(volume_begin + i) / vol_div_) / hl_range;
+
+            result.push_back(distance / box_ratio);
+        }
+
+        SimpleRollAdopter<MeanVisitor<T, I>, T, I, A>   savg
+            { MeanVisitor<T, I>(), roll_period_ } ;
+
+        savg.pre();
+        savg (idx_begin, idx_end, result.begin(), result.end());
+        savg.post();
+
+        result_ = std::move(savg.get_result());
+    }
+
+    DEFINE_PRE_POST
+    DEFINE_RESULT
+
+    explicit
+    EaseOfMovementVisitor(size_type roll_period = 14,
+                          value_type vol_divisor = 100000000)
+        : roll_period_(roll_period), vol_div_(vol_divisor)  {   }
+
+private:
+
+    result_type         result_ {  };
+    const size_type     roll_period_;
+    const value_type    vol_div_;
+};
+
+template<typename T, typename I = unsigned long, std::size_t A = 0>
+using eom_v = EaseOfMovementVisitor<T, I, A>;
+
 } // namespace hmdf
 
 // ----------------------------------------------------------------------------