chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// In the DeMarker strategy, for some period of size N, set:
+    /// <para>
+    /// DeMax = High - Previous High, and 
+    /// DeMin = Previous Low - Low
+    /// </para>
+    /// where, in the prior, if either term is less than zero (DeMax or DeMin), set it to zero.
+    /// We can now define the indicator itself, DEM, as:
+    ///<para>
+    /// DEM = MA(DeMax)/(MA(DeMax)+MA(DeMin))
+    ///</para>
+    /// where MA denotes a Moving Average of period N.
+    /// 
+    /// https://www.investopedia.com/terms/d/demarkerindicator.asp
+    /// </summary>
+    public class DeMarkerIndicator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly IndicatorBase<IndicatorDataPoint> _maxMA;
+        private readonly IndicatorBase<IndicatorDataPoint> _minMA;
+        private decimal _lastHigh;
+        private decimal _lastLow;
+
+        /// <summary>
+        /// Initializes a new instance of the DeMarkerIndicator class with the specified period
+        /// </summary>
+        /// <param name="period">The period of the  DeMarker Indicator</param>
+        /// <param name="type">The type of moving average to use in calculations</param>
+        public DeMarkerIndicator(int period, MovingAverageType type = MovingAverageType.Simple)
+            : this($"DEM({period},{type})", period, type)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the DeMarkerIndicator class with the specified name and period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the  DeMarker Indicator</param>
+        /// <param name="type">The type of moving average to use in calculations</param>
+        public DeMarkerIndicator(string name, int period, MovingAverageType type = MovingAverageType.Simple)
+            : base(name)
+        {
+            _lastHigh = 0m;
+            _lastLow = 0m;
+            WarmUpPeriod = period;
+            _maxMA = type.AsIndicator(period);
+            _minMA = type.AsIndicator(period);
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _maxMA.IsReady && _minMA.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _lastHigh = 0m;
+            _lastLow = 0m;
+            _maxMA.Reset();
+            _minMA.Reset();
+            base.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(IBaseDataBar input)
+        {
+            var deMax = 0m;
+            var deMin = 0m;
+            if (Samples > 1)
+            {
+                // By default, DeMin and DeMax must be 0m initially
+                deMax = Math.Max(input.High - _lastHigh, 0);
+                deMin = Math.Max(_lastLow - input.Low, 0);
+            }
+
+            _maxMA.Update(input.EndTime, deMax);
+            _minMA.Update(input.EndTime, deMin);
+            _lastHigh = input.High;
+            _lastLow = input.Low;
+
+            if (!IsReady)
+            {
+                return 0m;
+            }
+
+            var currentValue = _maxMA + _minMA;
+            return currentValue > 0m ? _maxMA / currentValue : 0m;
+        }
+    }
+}