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>
+    /// This indicator computes the Kaufman Adaptive Moving Average (KAMA).
+    /// The Kaufman Adaptive Moving Average is calculated as explained here:
+    /// http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:kaufman_s_adaptive_moving_average
+    /// </summary>
+    public class KaufmanAdaptiveMovingAverage : KaufmanEfficiencyRatio
+    {
+        private readonly decimal _slowSmoothingFactor;
+        private readonly decimal _diffSmoothingFactor;
+        private decimal _prevKama;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="KaufmanAdaptiveMovingAverage"/> class using the specified name and period.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the Efficiency Ratio (ER)</param>
+        /// <param name="fastEmaPeriod">The period of the fast EMA used to calculate the Smoothing Constant (SC)</param>
+        /// <param name="slowEmaPeriod">The period of the slow EMA used to calculate the Smoothing Constant (SC)</param>
+        public KaufmanAdaptiveMovingAverage(string name, int period, int fastEmaPeriod = 2, int slowEmaPeriod = 30)
+            : base(name, period)
+        {
+            // Smoothing factor of the slow EMA
+            _slowSmoothingFactor = 2m / (slowEmaPeriod + 1m);
+            // Difference between the smoothing factor of the fast and slow EMA
+            _diffSmoothingFactor = 2m / (fastEmaPeriod + 1m) - _slowSmoothingFactor;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="KaufmanAdaptiveMovingAverage"/> class using the specified period.
+        /// </summary>
+        /// <param name="period">The period of the Efficiency Ratio (ER)</param>
+        /// <param name="fastEmaPeriod">The period of the fast EMA used to calculate the Smoothing Constant (SC)</param>
+        /// <param name="slowEmaPeriod">The period of the slow EMA used to calculate the Smoothing Constant (SC)</param>
+        public KaufmanAdaptiveMovingAverage(int period, int fastEmaPeriod = 2, int slowEmaPeriod = 30)
+            : this($"KAMA({period},{fastEmaPeriod},{slowEmaPeriod})", period, fastEmaPeriod, slowEmaPeriod)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <param name="window">The window for the input history</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
+        {
+            // Calculate the efficiency ratio
+            var efficiencyRatio = base.ComputeNextValue(window, input);
+
+            if (Samples < Period)
+            {
+                return input.Value;
+            }
+
+            if (Samples == Period)
+            {
+                // Calculate the first KAMA
+                // The yesterday price is used here as the previous KAMA.
+                _prevKama = window[1].Value;
+            }
+
+            // Calculate the smoothing constant
+            var smoothingConstant = efficiencyRatio * _diffSmoothingFactor + _slowSmoothingFactor;
+            smoothingConstant *= smoothingConstant;
+
+            // Calculate the KAMA like an EMA, using the
+            // smoothing constant as the adaptive factor.
+            _prevKama = (input.Value - _prevKama) * smoothingConstant + _prevKama;
+
+            return _prevKama;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _prevKama = 0;
+            base.Reset();
+        }
+    }
+}