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 the Schaff Trend Cycle
+    /// </summary>
+    public class SchaffTrendCycle : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        // MACD Variables
+        private readonly MovingAverageConvergenceDivergence _MACD;
+        private readonly IndicatorBase<IndicatorDataPoint> _maximum;
+        private readonly IndicatorBase<IndicatorDataPoint> _minimum;
+
+        // _K = %K FROM MACD; _D = %D FROM _K
+        private readonly IndicatorBase<IndicatorDataPoint> _K;
+        private readonly IndicatorBase<IndicatorDataPoint> _D;
+        private readonly IndicatorBase<IndicatorDataPoint> _maximumD;
+        private readonly IndicatorBase<IndicatorDataPoint> _minimumD;
+
+        // PF = %K FROM %MACD_D; PFF = %D FROM PF
+        private readonly IndicatorBase<IndicatorDataPoint> _PF;
+        private readonly IndicatorBase<IndicatorDataPoint> _PFF;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _MACD.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates the name string and calls on the indicator constructor with given parameters 
+        /// https://www.tradingpedia.com/forex-trading-indicators/schaff-trend-cycle
+        /// </summary>
+        /// <param name="fastPeriod">The fast moving average period</param>
+        /// <param name="slowPeriod">The slow moving average period</param>
+        /// <param name="cyclePeriod">The signal period</param>
+        /// <param name="type">The type of moving averages to use</param>
+        public SchaffTrendCycle(int cyclePeriod = 10, int fastPeriod = 23, int slowPeriod = 50, MovingAverageType type = MovingAverageType.Exponential)
+            : this($"SchaffTrendCycle({cyclePeriod},{fastPeriod},{slowPeriod})", cyclePeriod, fastPeriod, slowPeriod, type)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new schaff trend cycle 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="cyclePeriod">The signal period</param>
+        /// <param name="type">The type of moving averages to use</param>
+        public SchaffTrendCycle(string name, int cyclePeriod, int fastPeriod, int slowPeriod, MovingAverageType type)
+            : base(name)
+        {
+            //Create MACD indicator and track max and min.
+            _MACD = new MovingAverageConvergenceDivergence(fastPeriod, slowPeriod, cyclePeriod, type);
+            _maximum = _MACD.MAX(cyclePeriod, false);
+            _minimum = _MACD.MIN(cyclePeriod, false);
+
+            //Stochastics of MACD variables
+            _K = new Identity(name + "_K");
+            _D = type.AsIndicator(3).Of(_K, false);
+            _maximumD = _D.MAX(cyclePeriod, false);
+            _minimumD = _D.MIN(cyclePeriod, false);
+
+            //Stochastics of MACD Stochastics variables; _PFF is STC
+            _PF = new Identity(name + "_PF");
+            _PFF = type.AsIndicator(3).Of(_PF, false);
+
+            WarmUpPeriod = _MACD.WarmUpPeriod;
+        }
+
+        /// <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)
+        {
+            // Update internal indicator, automatically updates _maximum and _minimum
+            _MACD.Update(input);
+
+            // Update our Stochastics K, automatically updates our Stochastics D variable which is a smoothed version of K
+            var MACD_K = new IndicatorDataPoint(input.EndTime, ComputeStoch(_MACD.Current.Value, _maximum.Current.Value, _minimum.Current.Value));
+            _K.Update(MACD_K);
+
+            // With our Stochastic D values calculate PF 
+            var PF = new IndicatorDataPoint(input.EndTime, ComputeStoch(_D.Current.Value, _maximumD.Current.Value, _minimumD.Current.Value));
+            _PF.Update(PF);
+
+            return _PFF.Current.Value;
+        }
+
+        /// <summary>
+        /// Computes the stochastics value for a series.
+        /// </summary>
+        /// <param name="value">The current value of the set</param>
+        /// <param name="highest">The max value of the set within a given period</param>
+        /// <param name="lowest">The min value of the set within a given period</param>
+        /// <returns>Stochastics value </returns>
+        private decimal ComputeStoch(decimal value, decimal highest, decimal lowest)
+        {
+            var numerator = value - lowest;
+            var denominator = highest - lowest;
+
+            return denominator > 0 ? (numerator / denominator) * 100 : decimal.Zero;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _MACD.Reset();
+            _maximum.Reset();
+            _minimum.Reset();
+            _K.Reset();
+            _D.Reset();
+            _maximumD.Reset();
+            _minimumD.Reset();
+            _PF.Reset();
+            _PFF.Reset();
+            base.Reset();
+        }
+    }
+}