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>
+    /// Produces a Hull Moving Average as explained at http://www.alanhull.com/hull-moving-average/
+    /// and derived from the instructions for the Excel VBA code at http://finance4traders.blogspot.com/2009/06/how-to-calculate-hull-moving-average.html
+    /// </summary>
+    public class HullMovingAverage : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly LinearWeightedMovingAverage _fastWma;
+        private readonly LinearWeightedMovingAverage _slowWma;
+        private readonly LinearWeightedMovingAverage _hullMa;
+
+        /// <summary>
+        /// A Hull Moving Average 
+        /// </summary>
+        /// <param name="name">string - a name for the indicator</param>
+        /// <param name="period">int - the number of periods to calculate the HMA - the period of the slower LWMA</param>
+        public HullMovingAverage(string name, int period)
+            : base(name)
+        {
+            if (period < 2) throw new ArgumentException("The Hull Moving Average period should be greater or equal to 2", nameof(period));
+            _slowWma = new LinearWeightedMovingAverage(period);
+            _fastWma = new LinearWeightedMovingAverage((int)Math.Round(period * 1d / 2));
+            var k = (int)Math.Round(Math.Sqrt(period));
+            _hullMa = new LinearWeightedMovingAverage(k);
+            WarmUpPeriod = period + k - 1;
+        }
+        /// <summary>
+        /// A Hull Moving Average.
+        /// </summary>
+        /// <param name="period">int - the number of periods over which to calculate the HMA - the length of the slower LWMA</param>
+        public HullMovingAverage(int period)
+            : this($"HMA({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            base.Reset();
+            _slowWma.Reset();
+            _fastWma.Reset();
+            _hullMa.Reset();
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _hullMa.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <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)
+        {
+            _fastWma.Update(input);
+            _slowWma.Update(input);
+            if (_fastWma.IsReady && _slowWma.IsReady)
+            {
+                _hullMa.Update(new IndicatorDataPoint(input.EndTime, 2 * _fastWma.Current.Value - _slowWma.Current.Value));
+            }
+            return _hullMa.Current.Value;
+        }
+    }
+}