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 QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Mass Index uses the high-low range to identify trend reversals based on range expansions.
+    /// In this sense, the Mass Index is a volatility indicator that does not have a directional
+    /// bias. Instead, the Mass Index identifies range bulges that can foreshadow a reversal of the
+    /// current trend. Developed by Donald Dorsey.
+    /// </summary>
+    /// <seealso cref="TradeBarIndicator"/>
+    public class MassIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly ExponentialMovingAverage _ema1;
+        private readonly ExponentialMovingAverage _ema2;
+        private readonly Sum _sum;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="MassIndex"/> class.
+        /// </summary>
+        /// <param name="name">The name for this instance.</param>
+        /// <param name="emaPeriod">The period used by both EMA.</param>
+        /// <param name="sumPeriod">The sum period.</param>
+        public MassIndex(string name, int emaPeriod, int sumPeriod)
+            : base(name)
+        {
+            _ema1 = new ExponentialMovingAverage(emaPeriod);
+            _ema2 = _ema1.EMA(emaPeriod);
+            _sum = new Sum(sumPeriod);
+            WarmUpPeriod = 2 * (emaPeriod - 1) + sumPeriod;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="MassIndex"/> class.
+        /// </summary>
+        /// <param name="emaPeriod">The period used by both EMA.</param>
+        /// <param name="sumPeriod">The sum period.</param>
+        public MassIndex(int emaPeriod = 9, int sumPeriod = 25)
+            : this($"MASS({emaPeriod},{sumPeriod})", emaPeriod, sumPeriod)
+        {
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _sum.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()
+        {
+            base.Reset();
+            _ema1.Reset();
+            _ema2.Reset();
+            _sum.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(TradeBar input)
+        {
+            _ema1.Update(input.EndTime, input.High - input.Low);
+            if (_ema2.IsReady)
+            {
+                _sum.Update(input.EndTime, _ema1.Current.Value.SafeDivision(_ema2.Current.Value));
+            }
+
+            if (!_sum.IsReady)
+            {
+                return _sum.Period;
+            }
+            return _sum.Current.Value;
+        }
+    }
+}