chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,301 @@
|
||||
/*
|
||||
* 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 QuantConnect.Data.Market;
|
||||
|
||||
namespace QuantConnect.Indicators
|
||||
{
|
||||
/// <summary>
|
||||
/// Parabolic SAR Extended Indicator
|
||||
/// Based on TA-Lib implementation
|
||||
/// </summary>
|
||||
public class ParabolicStopAndReverseExtended : BarIndicator, IIndicatorWarmUpPeriodProvider
|
||||
{
|
||||
private bool _isLong;
|
||||
private IBaseDataBar _previousBar;
|
||||
private decimal _sar;
|
||||
private decimal _extremepoint;
|
||||
private decimal _outputSar;
|
||||
private decimal _afShort;
|
||||
private decimal _afLong;
|
||||
private readonly decimal _sarInit;
|
||||
private readonly decimal _offsetOnReverse;
|
||||
private readonly decimal _afInitShort;
|
||||
private readonly decimal _afIncrementShort;
|
||||
private readonly decimal _afMaxShort;
|
||||
private readonly decimal _afInitLong;
|
||||
private readonly decimal _afIncrementLong;
|
||||
private readonly decimal _afMaxLong;
|
||||
|
||||
/// <summary>
|
||||
/// Create a new Parabolic SAR Extended
|
||||
/// </summary>
|
||||
/// <param name="name">The name of the Parabolic Stop and Reverse Extended indicator</param>
|
||||
/// <param name="sarStart">The starting value for the Parabolic Stop and Reverse indicator</param>
|
||||
/// <param name="offsetOnReverse">The offset value to be applied on reverse </param>
|
||||
/// <param name="afStartShort">The starting acceleration factor for short positions</param>
|
||||
/// <param name="afIncrementShort">The increment value for the acceleration factor for short positions</param>
|
||||
/// <param name="afMaxShort">The maximum value for the acceleration factor for short positions</param>
|
||||
/// <param name="afStartLong">The starting acceleration factor for long positions</param>
|
||||
/// <param name="afIncrementLong">The increment value for the acceleration factor for long positions</param>
|
||||
/// <param name="afMaxLong">The maximum value for the acceleration factor for long positions</param>
|
||||
public ParabolicStopAndReverseExtended(string name, decimal sarStart = 0.0m, decimal offsetOnReverse = 0.0m,
|
||||
decimal afStartShort = 0.02m, decimal afIncrementShort = 0.02m, decimal afMaxShort = 0.2m,
|
||||
decimal afStartLong = 0.02m, decimal afIncrementLong = 0.02m, decimal afMaxLong = 0.2m) : base(name)
|
||||
{
|
||||
_sarInit = sarStart;
|
||||
_offsetOnReverse = offsetOnReverse;
|
||||
_afShort = _afInitShort = afStartShort;
|
||||
_afIncrementShort = afIncrementShort;
|
||||
_afMaxShort = afMaxShort;
|
||||
_afLong = _afInitLong = afStartLong;
|
||||
_afIncrementLong = afIncrementLong;
|
||||
_afMaxLong = afMaxLong;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create a new Parabolic SAR Extended
|
||||
/// </summary>
|
||||
/// <param name="sarStart">The starting value for the Parabolic Stop and Reverse indicator</param>
|
||||
/// <param name="offsetOnReverse">The offset value to be applied on reverse </param>
|
||||
/// <param name="afStartShort">The starting acceleration factor for short positions</param>
|
||||
/// <param name="afIncrementShort">The increment value for the acceleration factor for short positions</param>
|
||||
/// <param name="afMaxShort">The maximum value for the acceleration factor for short positions</param>
|
||||
/// <param name="afStartLong">The starting acceleration factor for long positions</param>
|
||||
/// <param name="afIncrementLong">The increment value for the acceleration factor for long positions</param>
|
||||
/// <param name="afMaxLong">The maximum value for the acceleration factor for long positions</param>
|
||||
public ParabolicStopAndReverseExtended(decimal sarStart = 0.0m, decimal offsetOnReverse = 0.0m,
|
||||
decimal afStartShort = 0.02m, decimal afIncrementShort = 0.02m, decimal afMaxShort = 0.2m,
|
||||
decimal afStartLong = 0.02m, decimal afIncrementLong = 0.02m, decimal afMaxLong = 0.2m)
|
||||
: this($"SAREXT({sarStart},{offsetOnReverse},{afStartShort},{afIncrementShort},{afMaxShort},{afStartLong},{afIncrementLong},{afMaxLong})",
|
||||
sarStart, offsetOnReverse, afStartShort, afIncrementShort, afMaxShort, afStartLong, afIncrementLong, afMaxLong)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets a flag indicating when this indicator is ready and fully initialized
|
||||
/// </summary>
|
||||
public override bool IsReady => Samples >= 2;
|
||||
|
||||
/// <summary>
|
||||
/// Required period, in data points, for the indicator to be ready and fully initialized.
|
||||
/// </summary>
|
||||
public int WarmUpPeriod => 2;
|
||||
|
||||
/// <summary>
|
||||
/// Resets this indicator to its initial state
|
||||
/// </summary>
|
||||
public override void Reset()
|
||||
{
|
||||
_afShort = _afInitShort;
|
||||
_afLong = _afInitLong;
|
||||
base.Reset();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Computes the next value of this indicator from the given state
|
||||
/// </summary>
|
||||
/// <param name="input">The trade bar input given to the indicator</param>
|
||||
/// <returns>A new value for this indicator</returns>
|
||||
protected override decimal ComputeNextValue(IBaseDataBar input)
|
||||
{
|
||||
// On the first iteration, we can't compute a valid SAR value yet,
|
||||
// so we save the current bar and return the initial SAR if provided,
|
||||
// or fall back to a realistic price (input.Close) to maintain continuity
|
||||
if (Samples == 1)
|
||||
{
|
||||
_previousBar = input;
|
||||
// Makes sense to return _sarInit when its non-zero
|
||||
if (_sarInit != 0)
|
||||
return _sarInit;
|
||||
// Otherwise, return default
|
||||
return input.Close;
|
||||
}
|
||||
|
||||
// On second iteration we initiate the position of extreme point SAR
|
||||
if (Samples == 2)
|
||||
{
|
||||
Init(input);
|
||||
_previousBar = input;
|
||||
}
|
||||
|
||||
if (_isLong)
|
||||
HandleLongPosition(input);
|
||||
else
|
||||
HandleShortPosition(input);
|
||||
|
||||
_previousBar = input;
|
||||
return _outputSar;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initialize the indicator values
|
||||
/// </summary>
|
||||
private void Init(IBaseDataBar currentBar)
|
||||
{
|
||||
// initialize starting sar value
|
||||
if (_sarInit > 0)
|
||||
{
|
||||
_isLong = true;
|
||||
_sar = _sarInit;
|
||||
}
|
||||
else if (_sarInit < 0)
|
||||
{
|
||||
_isLong = false;
|
||||
_sar = Math.Abs(_sarInit);
|
||||
}
|
||||
// same set up as standard PSAR when _sarInit = 0
|
||||
else
|
||||
{
|
||||
_isLong = !HasNegativeDM(currentBar);
|
||||
_sar = _isLong ? _previousBar.Low : _previousBar.High;
|
||||
}
|
||||
|
||||
// initialize extreme point
|
||||
_extremepoint = _isLong ? currentBar.High : currentBar.Low;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Returns true if Directional Movement (DM) > 0 between today and yesterday's tradebar (false otherwise)
|
||||
/// </summary>
|
||||
private bool HasNegativeDM(IBaseDataBar currentBar)
|
||||
{
|
||||
if (currentBar.Low >= _previousBar.Low)
|
||||
return false;
|
||||
var highDiff = currentBar.High - _previousBar.High;
|
||||
var lowDiff = _previousBar.Low - currentBar.Low;
|
||||
return highDiff < lowDiff;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculate indicator value when the position is long
|
||||
/// </summary>
|
||||
private void HandleLongPosition(IBaseDataBar currentBar)
|
||||
{
|
||||
// Switch to short if the low penetrates the SAR value.
|
||||
if (currentBar.Low <= _sar)
|
||||
{
|
||||
// Switch and Overide the SAR with the ep
|
||||
_isLong = false;
|
||||
_sar = _extremepoint;
|
||||
|
||||
// Make sure the overide SAR is within yesterday's and today's range.
|
||||
_sar = AdjustSARForHighs(_sar, _previousBar.High, currentBar.High);
|
||||
|
||||
// Output the overide SAR
|
||||
if (_offsetOnReverse != 0.0m)
|
||||
_sar += _sar * _offsetOnReverse;
|
||||
_outputSar = -_sar;
|
||||
|
||||
// Adjust af and ep
|
||||
_afShort = _afInitShort;
|
||||
_extremepoint = currentBar.Low;
|
||||
|
||||
// Calculate the new SAR
|
||||
_sar = _sar + _afShort * (_extremepoint - _sar);
|
||||
|
||||
// Make sure the new SAR is within yesterday's and today's range.
|
||||
_sar = AdjustSARForHighs(_sar, _previousBar.High, currentBar.High);
|
||||
}
|
||||
// No switch
|
||||
else
|
||||
{
|
||||
// Output the SAR (was calculated in the previous iteration)
|
||||
_outputSar = _sar;
|
||||
|
||||
// Adjust af and ep.
|
||||
if (currentBar.High > _extremepoint)
|
||||
{
|
||||
_extremepoint = currentBar.High;
|
||||
_afLong += _afIncrementLong;
|
||||
if (_afLong > _afMaxLong)
|
||||
_afLong = _afMaxLong;
|
||||
}
|
||||
|
||||
// Calculate the new SAR
|
||||
_sar = _sar + _afLong * (_extremepoint - _sar);
|
||||
|
||||
// Make sure the new SAR is within yesterday's and today's range.
|
||||
_sar = AdjustSARForLows(_sar, _previousBar.Low, currentBar.Low);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculate indicator value when the position is short
|
||||
/// </summary>
|
||||
private void HandleShortPosition(IBaseDataBar currentBar)
|
||||
{
|
||||
// Switch to long if the high penetrates the SAR value.
|
||||
if (currentBar.High >= _sar)
|
||||
{
|
||||
// Switch and overide the SAR with the ep
|
||||
_isLong = true;
|
||||
_sar = _extremepoint;
|
||||
|
||||
// Make sure the overide SAR is within yesterday's and today's range.
|
||||
_sar = AdjustSARForLows(_sar, _previousBar.Low, currentBar.Low);
|
||||
|
||||
// Output the overide SAR
|
||||
if (_offsetOnReverse != 0.0m)
|
||||
_sar -= _sar * _offsetOnReverse;
|
||||
_outputSar = _sar;
|
||||
|
||||
// Adjust af and ep
|
||||
_afLong = _afInitLong;
|
||||
_extremepoint = currentBar.High;
|
||||
|
||||
// Calculate the new SAR
|
||||
_sar = _sar + _afLong * (_extremepoint - _sar);
|
||||
|
||||
// Make sure the new SAR is within yesterday's and today's range.
|
||||
_sar = AdjustSARForLows(_sar, _previousBar.Low, currentBar.Low);
|
||||
}
|
||||
//No switch
|
||||
else
|
||||
{
|
||||
// Output the SAR (was calculated in the previous iteration)
|
||||
_outputSar = -_sar;
|
||||
|
||||
// Adjust af and ep.
|
||||
if (currentBar.Low < _extremepoint)
|
||||
{
|
||||
_extremepoint = currentBar.Low;
|
||||
_afShort += _afIncrementShort;
|
||||
if (_afShort > _afMaxShort)
|
||||
_afShort = _afMaxShort;
|
||||
}
|
||||
|
||||
// Calculate the new SAR
|
||||
_sar = _sar + _afShort * (_extremepoint - _sar);
|
||||
|
||||
// Make sure the new SAR is within yesterday's and today's range.
|
||||
_sar = AdjustSARForHighs(_sar, _previousBar.High, currentBar.High);
|
||||
}
|
||||
}
|
||||
private static decimal AdjustSARForHighs(decimal sar, decimal previousBar, decimal currentBar)
|
||||
{
|
||||
sar = Math.Max(sar, previousBar);
|
||||
sar = Math.Max(sar, currentBar);
|
||||
return sar;
|
||||
}
|
||||
private static decimal AdjustSARForLows(decimal sar, decimal previousBar, decimal currentBar)
|
||||
{
|
||||
sar = Math.Min(sar, previousBar);
|
||||
sar = Math.Min(sar, currentBar);
|
||||
return sar;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user