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.
+*/
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the T3 Moving Average (T3).
+    /// The T3 Moving Average is calculated with the following formula:
+    /// EMA1(x, Period) = EMA(x, Period)
+    /// EMA2(x, Period) = EMA(EMA1(x, Period),Period)
+    /// GD(x, Period, volumeFactor) = (EMA1(x, Period)*(1+volumeFactor)) - (EMA2(x, Period)* volumeFactor)
+    /// T3 = GD(GD(GD(t, Period, volumeFactor), Period, volumeFactor), Period, volumeFactor);
+    /// </summary>
+    public class T3MovingAverage : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly int _period;
+        private readonly DoubleExponentialMovingAverage _gd1;
+        private readonly DoubleExponentialMovingAverage _gd2;
+        private readonly DoubleExponentialMovingAverage _gd3;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="T3MovingAverage"/> class using the specified name and period.
+        /// </summary> 
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the T3MovingAverage</param>
+        /// <param name="volumeFactor">The volume factor of the T3MovingAverage (value must be in the [0,1] range, defaults to 0.7)</param>
+        public T3MovingAverage(string name, int period, decimal volumeFactor = 0.7m) 
+            : base(name)
+        {
+            _period = period;
+            _gd1 = new DoubleExponentialMovingAverage(name + "_1", period, volumeFactor);
+            _gd2 = new DoubleExponentialMovingAverage(name + "_2", period, volumeFactor);
+            _gd3 = new DoubleExponentialMovingAverage(name + "_3", period, volumeFactor);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="T3MovingAverage"/> class using the specified period.
+        /// </summary> 
+        /// <param name="period">The period of the T3MovingAverage</param>
+        /// <param name="volumeFactor">The volume factor of the T3MovingAverage (value must be in the [0,1] range, defaults to 0.7)</param>
+        public T3MovingAverage(int period, decimal volumeFactor = 0.7m)
+            : this($"T3({period},{volumeFactor})", period, volumeFactor)
+        {
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples > 6 * (_period - 1);
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => 1 + 6 * (_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(IndicatorDataPoint input)
+        {
+            _gd1.Update(input);
+
+            if (!_gd1.IsReady)
+                return _gd1.Current.Value;
+
+            _gd2.Update(_gd1.Current);
+
+            if (!_gd2.IsReady)
+                return _gd2.Current.Value;
+
+            _gd3.Update(_gd2.Current);
+
+            return _gd3.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _gd1.Reset();
+            _gd2.Reset();
+            _gd3.Reset();
+            base.Reset();
+        }
+    }
+}