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;
+using System.Linq;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the n-period mean absolute deviation.
+    /// </summary>
+    public class MeanAbsoluteDeviation : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Gets the mean used to compute the deviation
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Mean { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the MeanAbsoluteDeviation class with the specified period.
+        ///
+        /// Evaluates the mean absolute deviation of samples in the lookback period.
+        /// </summary>
+        /// <param name="period">The sample size of the standard deviation</param>
+        public MeanAbsoluteDeviation(int period)
+            : this($"MAD({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the MeanAbsoluteDeviation class with the specified period.
+        ///
+        /// Evaluates the mean absolute deviation of samples in the look-back period.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The sample size of the mean absolute deviation</param>
+        public MeanAbsoluteDeviation(string name, int period)
+            : base(name, period)
+        {
+            Mean = new SimpleMovingAverage($"{name}_Mean", period);
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= Period;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => Period;
+
+        /// <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)
+        {
+            Mean.Update(input);
+            return Samples < 2 ? 0m : window.Average(v => Math.Abs(v.Value - Mean.Current.Value));
+        }
+
+        /// <summary>
+        /// Resets this indicator and its sub-indicator Mean to their initial state
+        /// </summary>
+        public override void Reset()
+        {
+            Mean.Reset();
+            base.Reset();
+        }
+    }
+}