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>
+    /// This indicator creates two moving averages defined on a base indicator and produces the difference
+    /// between the fast and slow averages.
+    /// </summary>
+    public class MovingAverageConvergenceDivergence : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Gets the fast average indicator
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Fast { get; }
+
+        /// <summary>
+        /// Gets the slow average indicator
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Slow { get; }
+
+        /// <summary>
+        /// Gets the signal of the MACD
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Signal { get; }
+
+        /// <summary>
+        /// Developed by Thomas Aspray in 1986, the MACD-Histogram measures the distance between MACD and its signal line, 
+        /// is an oscillator that fluctuates above and below the zero line.
+        /// Bullish or bearish divergences in the MACD-Histogram can alert chartists to an imminent signal line crossover in MACD.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Histogram { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Signal.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates a new MACD with the specified parameters
+        /// </summary>
+        /// <param name="fastPeriod">The fast moving average period</param>
+        /// <param name="slowPeriod">The slow moving average period</param>
+        /// <param name="signalPeriod">The signal period</param>
+        /// <param name="type">The type of moving averages to use</param>
+        public MovingAverageConvergenceDivergence(int fastPeriod, int slowPeriod, int signalPeriod, MovingAverageType type = MovingAverageType.Exponential)
+            : this($"MACD({fastPeriod},{slowPeriod},{signalPeriod})", fastPeriod, slowPeriod, signalPeriod, type)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new MACD with the specified parameters
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="fastPeriod">The fast moving average period</param>
+        /// <param name="slowPeriod">The slow moving average period</param>
+        /// <param name="signalPeriod">The signal period</param>
+        /// <param name="type">The type of moving averages to use</param>
+        public MovingAverageConvergenceDivergence(string name, int fastPeriod, int slowPeriod, int signalPeriod, MovingAverageType type = MovingAverageType.Exponential)
+            : base(name)
+        {
+            if (fastPeriod >= slowPeriod)
+            {
+                throw new ArgumentException("MovingAverageConvergenceDivergence: fastPeriod must be less than slowPeriod", $"{nameof(fastPeriod)}, {nameof(slowPeriod)}");
+            }
+
+            Fast = type.AsIndicator(name + "_Fast", fastPeriod);
+            Slow = type.AsIndicator(name + "_Slow", slowPeriod);
+            Signal = type.AsIndicator(name + "_Signal", signalPeriod);
+            Histogram = new Identity(name + "_Histogram");
+            WarmUpPeriod = slowPeriod + signalPeriod - 1;
+        }
+
+        /// <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)
+        {
+            var fastReady = Fast.Update(input);
+            var slowReady = Slow.Update(input);
+
+            var macd = Fast.Current.Value - Slow.Current.Value;
+
+            if (fastReady && slowReady)
+            {
+                if (Signal.Update(input.EndTime, macd))
+                {
+                    Histogram.Update(input.EndTime, macd - Signal.Current.Value);
+                }
+            }
+
+            return macd;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            Fast.Reset();
+            Slow.Reset();
+            Signal.Reset();
+            Histogram.Reset();
+            base.Reset();
+        }
+    }
+}