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 TRIX (1-period ROC of a Triple EMA)
+    /// The TRIX is calculated as explained here:
+    /// http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:trix
+    /// </summary>
+    public class Trix : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly int _period;
+        private readonly ExponentialMovingAverage _ema1;
+        private readonly ExponentialMovingAverage _ema2;
+        private readonly ExponentialMovingAverage _ema3;
+        private readonly RateOfChangePercent _roc;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="Trix"/> class using the specified name and period.
+        /// </summary> 
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the indicator</param>
+        public Trix(string name, int period)
+            : base(name)
+        {
+            _period = period;
+            _ema1 = new ExponentialMovingAverage(name + "_1", period);
+            _ema2 = new ExponentialMovingAverage(name + "_2", period);
+            _ema3 = new ExponentialMovingAverage(name + "_3", period);
+            _roc = new RateOfChangePercent(name + "_ROCP1", 1);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="Trix"/> class using the specified period.
+        /// </summary> 
+        /// <param name="period">The period of the indicator</param>
+        public Trix(int period)
+            : this($"TRIX({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _roc.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// We have 3 EMAs chained on base period so every _period points starts the next EMA,
+        /// hence -1 on the multiplication, and finally the last ema updates our _roc which needs
+        /// to be warmed up before this indicator is warmed up.
+        /// </summary>
+        public int WarmUpPeriod => 3 * (_period - 1) + _roc.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)
+        {
+            _ema1.Update(input);
+
+            if (_ema1.IsReady)
+                _ema2.Update(_ema1.Current);
+
+            if (_ema2.IsReady)
+                _ema3.Update(_ema2.Current);
+
+            if (_ema3.IsReady)
+                _roc.Update(_ema3.Current);
+
+            return _roc.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _ema1.Reset();
+            _ema2.Reset();
+            _ema3.Reset();
+            _roc.Reset();
+            base.Reset();
+        }
+    }
+}