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 computes the True Strength Index (TSI).
+    /// The True Strength Index is calculated as explained here:
+    /// https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index
+    ///
+    /// Briefly, the calculation has three steps:
+    ///   1. Smooth the momentum and the absolute momentum by getting an EMA of them (typically of period 25)
+    ///   2. Double smooth the momentum and the absolute momentum by getting an EMA of their EMA (typically of period 13)
+    ///   3. The TSI formula itself: divide the double-smoothed momentum over the double-smoothed absolute momentum and multiply by 100
+    ///
+    /// The signal is typically a 7-to-12-EMA of the TSI.
+    /// </summary>
+    public class TrueStrengthIndex : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        private decimal _prevClose;
+
+        private readonly ExponentialMovingAverage _priceChangeEma;
+
+        private readonly ExponentialMovingAverage _priceChangeEmaEma;
+
+        private readonly ExponentialMovingAverage _absPriceChangeEma;
+
+        private readonly ExponentialMovingAverage _absPriceChangeEmaEma;
+
+        private readonly IndicatorBase<IndicatorDataPoint> _tsi;
+
+        /// <summary>
+        /// Gets the signal line for the TSI indicator
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Signal { get; }
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </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 <see cref="TrueStrengthIndex"/> class using the specified short and long term smoothing periods, and the signal period and type.
+        /// </summary>
+        /// <param name="shortTermPeriod">Period used for the first price change smoothing</param>
+        /// <param name="longTermPeriod">Period used for the second (double) price change smoothing</param>
+        /// <param name="signalPeriod">The signal period</param>
+        /// <param name="signalType">The type of moving average to use for the signal</param>
+        public TrueStrengthIndex(int longTermPeriod = 25, int shortTermPeriod = 13, int signalPeriod = 7, MovingAverageType signalType = MovingAverageType.Exponential)
+            : this($"TSI({longTermPeriod},{shortTermPeriod},{signalPeriod})", longTermPeriod, shortTermPeriod, signalPeriod, signalType)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="TrueStrengthIndex"/> class using the specified name, the short and long term smoothing periods, and the signal period and type.
+        /// </summary>
+        /// <param name="name">The name of the indicator</param>
+        /// <param name="shortTermPeriod">Period used for the first price change smoothing</param>
+        /// <param name="longTermPeriod">Period used for the second (double) price change smoothing</param>
+        /// <param name="signalPeriod">The signal period</param>
+        /// <param name="signalType">The type of moving average to use for the signal</param>
+        public TrueStrengthIndex(string name, int longTermPeriod = 25, int shortTermPeriod = 13, int signalPeriod = 7, MovingAverageType signalType = MovingAverageType.Exponential)
+            : base(name)
+        {
+            _priceChangeEma = new ExponentialMovingAverage(name + "_PC_EMA", longTermPeriod);
+            _absPriceChangeEma = new ExponentialMovingAverage(name + "_APC_EMA", longTermPeriod);
+            _priceChangeEmaEma = new ExponentialMovingAverage(name + "_PC_EMA_EMA", shortTermPeriod).Of(_priceChangeEma, true);
+            _absPriceChangeEmaEma = new ExponentialMovingAverage(name + "_APC_EMA_EMA", shortTermPeriod).Of(_absPriceChangeEma, true);
+            _tsi = _priceChangeEmaEma.Over(_absPriceChangeEmaEma).Times(100m);
+            Signal = signalType.AsIndicator(name + "_Signal", signalPeriod).Of(_tsi, true);
+            WarmUpPeriod = longTermPeriod + shortTermPeriod;
+        }
+
+        /// <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)
+        {
+            if (Samples == 1)
+            {
+                _prevClose = input.Price;
+                return 0m;
+            }
+
+            var priceChange = input.Price - _prevClose;
+            _prevClose = input.Price;
+            _priceChangeEma.Update(input.EndTime, priceChange);
+            _absPriceChangeEma.Update(input.EndTime, Math.Abs(priceChange));
+
+            return _tsi.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _prevClose = 0;
+            _priceChangeEma.Reset();
+            _priceChangeEmaEma.Reset();
+            _absPriceChangeEma.Reset();
+            _absPriceChangeEmaEma.Reset();
+            _tsi.Reset();
+            Signal.Reset();
+            base.Reset();
+        }
+    }
+}