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.
+*/
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents the traditional exponential moving average indicator (EMA).
+    /// When the indicator is ready, the first value of the EMA is equivalent to the simple moving average.
+    /// After the first EMA value, the EMA value is a function of the previous EMA value.
+    /// Therefore, depending on the number of samples
+    /// you feed into the indicator, it can provide different EMA values for a single
+    /// security and lookback period. To make the indicator values consistent
+    /// across time, warm up the indicator with all the trailing security price history.
+    /// </summary>
+    public class ExponentialMovingAverage : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly decimal _k;
+        private readonly int _period;
+
+        private readonly SimpleMovingAverage _initialValueSMA;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => _period;
+
+        /// <summary>
+        /// Initializes a new instance of the ExponentialMovingAverage class with the specified name and period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the EMA</param>
+        public ExponentialMovingAverage(string name, int period)
+            : this(name, period, SmoothingFactorDefault(period))
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ExponentialMovingAverage class with the specified name and period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the EMA</param>
+        /// <param name="smoothingFactor">The percentage of data from the previous value to be carried into the next value</param>
+        public ExponentialMovingAverage(string name, int period, decimal smoothingFactor)
+            : base(name)
+        {
+            _period = period;
+            _k = smoothingFactor;
+            _initialValueSMA = new SimpleMovingAverage(period);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ExponentialMovingAverage class with the default name and period
+        /// </summary>
+        /// <param name="period">The period of the EMA</param>
+        public ExponentialMovingAverage(int period)
+            : this($"EMA({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ExponentialMovingAverage class with the default name and period
+        /// </summary>
+        /// <param name="period">The period of the EMA</param>
+        /// <param name="smoothingFactor">The percentage of data from the previous value to be carried into the next value</param>
+        public ExponentialMovingAverage(int period, decimal smoothingFactor)
+            : this($"EMA({period},{smoothingFactor})", period, smoothingFactor)
+        {
+        }
+
+        /// <summary>
+        /// Calculates the default smoothing factor for an ExponentialMovingAverage indicator
+        /// </summary>
+        /// <param name="period">The period of the EMA</param>
+        /// <returns>The default smoothing factor</returns>
+        public static decimal SmoothingFactorDefault(int period) => 2.0m / (1 + period);
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= _period;
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            base.Reset();
+            _initialValueSMA.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)
+        {
+            // we need to compute the initial value for the EMA, which is the SMA of the first N samples
+            if (Samples <= _period)
+            {
+                _initialValueSMA.Update(input);
+            }
+
+            if (!IsReady)
+            {
+                return 0;
+            }
+
+            if (Samples == _period)
+            {
+                // first value is the SMA of the first period
+                return _initialValueSMA.Current.Value;
+            }
+
+            return input.Value * _k + Current.Value * (1 - _k);
+        }
+    }
+}