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.
+*/
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Regression Channel indicator extends the <see cref="LeastSquaresMovingAverage"/>
+    /// with the inclusion of two (upper and lower) channel lines that are distanced from
+    /// the linear regression line by a user defined number of standard deviations.
+    /// Reference: http://www.onlinetradingconcepts.com/TechnicalAnalysis/LinRegChannel.html
+    /// </summary>
+    public class RegressionChannel : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Gets the standard deviation
+        /// </summary>
+        private readonly IndicatorBase<IndicatorDataPoint> _standardDeviation;
+
+        /// <summary>
+        /// Gets the linear regression
+        /// </summary>
+        public LeastSquaresMovingAverage LinearRegression { get; }
+
+        /// <summary>
+        /// Gets the upper channel (linear regression + k * stdDev)
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> UpperChannel { get; }
+
+        /// <summary>
+        /// Gets the lower channel (linear regression - k * stdDev)
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> LowerChannel { get; }
+
+        /// <summary>
+        /// The point where the regression line crosses the y-axis (price-axis)
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Intercept => LinearRegression.Intercept;
+
+        /// <summary>
+        /// The regression line slope
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Slope => LinearRegression.Slope;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _standardDeviation.IsReady && LinearRegression.IsReady && UpperChannel.IsReady && LowerChannel.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RegressionChannel"/> class.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The number of data points to hold in the window</param>
+        /// <param name="k">The number of standard deviations specifying the distance between the linear regression and upper or lower channel lines</param>
+        public RegressionChannel(string name, int period, decimal k)
+            : base(name)
+        {
+            _standardDeviation = new StandardDeviation(period);
+            LinearRegression = new LeastSquaresMovingAverage(name + "_LinearRegression", period);
+            LowerChannel = LinearRegression.Minus(_standardDeviation.Times(k), name + "_LowerChannel");
+            UpperChannel = LinearRegression.Plus(_standardDeviation.Times(k), name + "_UpperChannel");
+            WarmUpPeriod = period;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="LeastSquaresMovingAverage"/> class.
+        /// </summary>
+        /// <param name="period">The number of data points to hold in the window.</param>
+        /// <param name="k">The number of standard deviations specifying the distance between the linear regression and upper or lower channel lines</param>
+        public RegressionChannel(int period, decimal k)
+            : this($"RC({period},{k})", period, k)
+        {
+        }
+
+        /// <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)
+        {
+            _standardDeviation.Update(input);
+            LinearRegression.Update(input);
+
+            return LinearRegression.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand)
+        /// </summary>
+        public override void Reset()
+        {
+            _standardDeviation.Reset();
+            LinearRegression.Reset();
+            LowerChannel.Reset();
+            UpperChannel.Reset();
+            base.Reset();
+        }
+    }
+}