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;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents the LogReturn indicator (LOGR)
+    /// - log returns are useful for identifying price convergence/divergence in a given period
+    /// - logr = log (current price / last price in period)
+    /// </summary>
+    public class LogReturn : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        /// <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 LogReturn class with the specified name and period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the LOGR</param>
+        public LogReturn(string name, int period)
+            : base(name, period)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the LogReturn class with the default name and period
+        /// </summary>
+        /// <param name="period">The period of the SMA</param>
+        public LogReturn(int period)
+            : base($"LOGR({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// - logr = log (current price / last price in period)
+        /// </summary>
+        /// <param name="window">The window of data held in this indicator</param>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
+        {
+            var valuef = input;
+
+            var value0 = window.Samples <= window.Size
+                ? window[window.Count - 1]
+                : window.MostRecentlyRemoved;
+            var result = Math.Log((double)(valuef.Value.SafeDivision(value0.Value)));
+            if (result == Double.NegativeInfinity || result == Double.PositiveInfinity)
+            {
+                return 0;
+            }
+
+            return result.SafeDecimalCast();
+        }
+    }
+}