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 QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Super trend indicator. 
+    /// Formula can be found here via the excel file:
+    /// https://tradingtuitions.com/supertrend-indicator-excel-sheet-with-realtime-buy-sell-signals/
+    /// </summary>
+    public class SuperTrend : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly decimal _multiplier;
+        private decimal _superTrend;
+        private decimal _currentClose;
+        private decimal _previousTrailingUpperBand;
+        private decimal _previousTrailingLowerBand;
+        private decimal _previousClose;
+        private decimal _prevSuper;
+        private readonly int _period;
+
+        /// <summary>
+        /// Average true range indicator used to calculate super trend's basic upper and lower bands
+        /// </summary>
+        private readonly AverageTrueRange _averageTrueRange;
+
+        /// <summary>
+        /// Basic Upper Band
+        /// </summary>
+        public decimal BasicUpperBand { get; private set; }
+
+        /// <summary>
+        /// Basic Lower band
+        /// </summary>
+        public decimal BasicLowerBand { get; private set; }
+
+        /// <summary>
+        /// Current Trailing Upper Band
+        /// </summary>
+        public decimal CurrentTrailingUpperBand { get; private set; }
+
+        /// <summary>
+        /// Current Trailing Lower Band
+        /// </summary>
+        public decimal CurrentTrailingLowerBand { get; private set; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _averageTrueRange.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => _period;
+
+        /// <summary>
+        /// Creates a new SuperTrend indicator using the specified name, period, multiplier and moving average type
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The smoothing period used by average true range</param>
+        /// <param name="multiplier">The coefficient used in calculations of basic upper and lower bands</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public SuperTrend(string name, int period, decimal multiplier, MovingAverageType movingAverageType = MovingAverageType.Wilders)
+            : base(name)
+        {
+            _averageTrueRange = new AverageTrueRange(period, movingAverageType);
+            _multiplier = multiplier;
+            _period = period;
+            _prevSuper = -1;
+        }
+
+        /// <summary>
+        /// Creates a new SuperTrend indicator using the specified period, multiplier and moving average type
+        /// </summary>
+        /// <param name="period">The smoothing period used in average true range</param>
+        /// <param name="multiplier">The coefficient used in calculations of basic upper and lower bands</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public SuperTrend(int period, decimal multiplier, MovingAverageType movingAverageType = MovingAverageType.Wilders)
+            : this($"SuperTrend({period},{multiplier})", period, multiplier, movingAverageType)
+        {
+        }
+
+        /// <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)
+        {
+            if (!_averageTrueRange.Update(input))
+            {
+                _previousClose = input.Close;
+                return 0m;
+            }
+
+            _currentClose = input.Close;
+            BasicLowerBand = ((input.High + input.Low) / 2) - (_multiplier * _averageTrueRange.Current.Value);
+            BasicUpperBand = ((input.High + input.Low) / 2) + (_multiplier * _averageTrueRange.Current.Value);
+
+            CurrentTrailingLowerBand = ((BasicLowerBand > _previousTrailingLowerBand) || (_previousClose < _previousTrailingLowerBand)) ? BasicLowerBand : _previousTrailingLowerBand;
+            CurrentTrailingUpperBand = ((BasicUpperBand < _previousTrailingUpperBand) || (_previousClose > _previousTrailingUpperBand)) ? BasicUpperBand : _previousTrailingUpperBand;
+
+            if ((_prevSuper == -1) || (_prevSuper == _previousTrailingUpperBand))
+            {
+                _superTrend = (_currentClose <= CurrentTrailingUpperBand) ? CurrentTrailingUpperBand : CurrentTrailingLowerBand;
+            }
+            else if (_prevSuper == _previousTrailingLowerBand)
+            {
+                _superTrend = (_currentClose >= CurrentTrailingLowerBand) ? CurrentTrailingLowerBand : CurrentTrailingUpperBand;
+            }
+
+            // Save the values to be used in next iteration.
+            _previousClose = _currentClose;
+            _prevSuper = _superTrend;
+            _previousTrailingLowerBand = CurrentTrailingLowerBand;
+            _previousTrailingUpperBand = CurrentTrailingUpperBand;
+
+            return _superTrend;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _averageTrueRange.Reset();
+            _previousTrailingLowerBand = 0;
+            _previousTrailingUpperBand = 0;
+            _prevSuper = -1;
+            base.Reset();
+        }
+    }
+}