chore: import upstream snapshot with attribution

Indicators/TargetDownsideDeviation.cs

@@ -0,0 +1,106 @@
+/*
+ * 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 System.Linq;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the n-period target downside deviation. The target downside deviation is defined as the 
+    /// root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return 
+    /// where all returns above the target return are treated as underperformance of 0.
+    /// 
+    /// Reference: https://www.cmegroup.com/education/files/rr-sortino-a-sharper-ratio.pdf
+    /// </summary>
+    public class TargetDownsideDeviation : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Minimum acceptable return (MAR) for target downside deviation calculation
+        /// </summary>
+        private readonly double _minimumAcceptableReturn;
+
+        /// <summary>
+        /// Calculates the daily returns
+        /// </summary>
+        private RateOfChange _rateOfChange;
+
+        /// <summary>
+        /// The warm-up period necessary before the TDD indicator is considered ready.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= WarmUpPeriod;
+
+        /// <summary>
+        /// Initializes a new instance of the TargetDownsideDeviation class with the specified period and 
+        /// minimum acceptable return.
+        ///
+        /// The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of 
+        /// the realized return’s underperformance from the target return where all returns above the target 
+        /// return are treated as underperformance of 0.
+        /// </summary>
+        /// <param name="period">The sample size of the target downside deviation</param>
+        /// <param name="minimumAcceptableReturn">Minimum acceptable return (MAR) for target downside deviation calculation</param>
+        public TargetDownsideDeviation(int period, double minimumAcceptableReturn = 0)
+            : this($"TDD({period},{minimumAcceptableReturn})", period, minimumAcceptableReturn)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the TargetDownsideDeviation class with the specified period and 
+        /// minimum acceptable return.
+        /// 
+        /// The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of 
+        /// the realized return’s underperformance from the target return where all returns above the target 
+        /// return are treated as underperformance of 0.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The sample size of the target downside deviation</param>
+        /// <param name="minimumAcceptableReturn">Minimum acceptable return (MAR) for target downside deviation calculation</param>
+        public TargetDownsideDeviation(string name, int period, double minimumAcceptableReturn = 0) : base(name)
+        {
+            _minimumAcceptableReturn = minimumAcceptableReturn;
+            _rateOfChange = new RateOfChange(1);
+            // Resize the ROC's rolling window to hold recent 1-period returns to compute downside deviation
+            _rateOfChange.Window.Size = period;
+            WarmUpPeriod = 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)
+        {
+            _rateOfChange.Update(input);
+            var avg = _rateOfChange.Window.Select(x => Math.Pow(Math.Min(0, (double)x.Value - _minimumAcceptableReturn), 2)).Average();
+            return Math.Sqrt(avg).SafeDecimalCast();
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _rateOfChange.Reset();
+            base.Reset();
+        }
+    }
+}