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 QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the Normalized Average True Range (NATR).
+    /// The Normalized Average True Range is calculated with the following formula:
+    /// NATR = (ATR(period) / Close) * 100
+    /// </summary>
+    public class NormalizedAverageTrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly int _period;
+        private readonly TrueRange _tr;
+        private readonly AverageTrueRange _atr;
+        private decimal _lastAtrValue;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified name and period.
+        /// </summary> 
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the NATR</param>
+        public NormalizedAverageTrueRange(string name, int period) : 
+            base(name)
+        {
+            _period = period;
+            _tr = new TrueRange(name + "_TR");
+            _atr = new AverageTrueRange(name + "_ATR", period, MovingAverageType.Simple);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified period.
+        /// </summary> 
+        /// <param name="period">The period of the NATR</param>
+        public NormalizedAverageTrueRange(int period)
+            : this($"NATR({period})", 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 + 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(IBaseDataBar input)
+        {
+            _tr.Update(input);
+
+            if (!IsReady)
+            {
+                _atr.Update(input);
+                return input.Close != 0 ? _atr.Current.Value / input.Close * 100 : 0m;
+            }
+
+            if (Samples == _period + 1)
+            {
+                // first output value is SMA of TrueRange
+                _atr.Update(input);
+                _lastAtrValue = _atr.Current.Value;
+            }
+            else
+            {
+                // next TrueRange values are smoothed using Wilder's approach
+                _lastAtrValue = (_lastAtrValue * (_period - 1) + _tr.Current.Value) / _period;
+            }
+
+            return input.Close != 0 ? _lastAtrValue / input.Close * 100 : 0m;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _tr.Reset();
+            _atr.Reset();
+            base.Reset();
+        }
+    }
+}