chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// A momentum indicator developed by Edwin “Sedge” Coppock in October 1965.
+    /// The goal of this indicator is to identify long-term buying opportunities in the S&amp;P500 and Dow Industrials.
+    /// Source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:coppock_curve
+    /// </summary>
+    public class CoppockCurve : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly RateOfChangePercent _longRoc;
+        private readonly LinearWeightedMovingAverage _lwma;
+        private readonly RateOfChangePercent _shortRoc;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _lwma.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CoppockCurve" /> indicator with its default values.
+        /// </summary>
+        public CoppockCurve()
+            : this(11, 14, 10)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CoppockCurve"/> indicator
+        /// </summary>
+        /// <param name="shortRocPeriod">The period for the short ROC</param>
+        /// <param name="longRocPeriod">The period for the long ROC</param>
+        /// <param name="lwmaPeriod">The period for the LWMA</param>
+        public CoppockCurve(int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
+            : this($"CC({shortRocPeriod},{longRocPeriod},{lwmaPeriod})", shortRocPeriod, longRocPeriod, lwmaPeriod)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CoppockCurve" /> indicator
+        /// </summary>
+        /// <param name="name">A name for the indicator</param>
+        /// <param name="shortRocPeriod">The period for the short ROC</param>
+        /// <param name="longRocPeriod">The period for the long ROC</param>
+        /// <param name="lwmaPeriod">The period for the LWMA</param>
+        public CoppockCurve(string name, int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
+            : base(name)
+        {
+            _shortRoc = new RateOfChangePercent(shortRocPeriod);
+            _longRoc = new RateOfChangePercent(longRocPeriod);
+            _lwma = new LinearWeightedMovingAverage(lwmaPeriod);
+
+            // Define our warmup
+            // LWMA does not get updated until ROC are warmed up and ready, so add our periods.
+            // Then minus 1 because on the same point ROC is ready LWMA will receive its first point.
+            WarmUpPeriod = Math.Max(_shortRoc.WarmUpPeriod, _longRoc.WarmUpPeriod) + lwmaPeriod - 1;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            base.Reset();
+            _shortRoc.Reset();
+            _longRoc.Reset();
+            _lwma.Reset();
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IndicatorDataPoint input)
+        {
+            _shortRoc.Update(input);
+            _longRoc.Update(input);
+            if (!_longRoc.IsReady || !_shortRoc.IsReady)
+            {
+                return decimal.Zero;
+            }
+            _lwma.Update(input.EndTime, _shortRoc.Current.Value + _longRoc.Current.Value);
+            return _lwma.Current.Value;
+        }
+    }
+}