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 MathNet.Numerics.Statistics;
+using MathNet.Numerics.Distributions;
+using System;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes 1-day VaR for a specified confidence level and lookback period
+    /// </summary>
+    public class ValueAtRisk : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Confidence level for VaR calculation
+        /// </summary>
+        private readonly double _confidenceLevel;
+
+        /// <summary>
+        /// RateOfChange indicator to calculate the returns
+        /// </summary>
+        private readonly RateOfChange _rateOfChange;
+
+        /// <summary>
+        /// Rolling window to store the returns of the input data
+        /// </summary>
+        private readonly RollingWindow<double> _returns;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public override int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when the indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= WarmUpPeriod;
+
+        /// <summary>
+        /// Creates a new ValueAtRisk indicator with a specified period and confidence level
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">Historical lookback period in days</param>
+        /// <param name="confidenceLevel">Confidence level for VaR calculation</param>
+        public ValueAtRisk(string name, int period, double confidenceLevel) 
+            : base(name, period)
+        {
+            if (period < 3)
+            {
+                throw new ArgumentException($"Period parameter for ValueAtRisk indicator must be greater than 2 but was {period}");
+            }
+
+            WarmUpPeriod = period;
+            _confidenceLevel = confidenceLevel;
+
+            _returns = new RollingWindow<double>(period);
+            _rateOfChange = new RateOfChange(1);
+        }
+
+        /// <summary>
+        /// Creates a new ValueAtRisk indicator with a specified period and confidence level
+        /// </summary>
+        /// <param name="period">Historical lookback period in days</param>
+        /// <param name="confidenceLevel">Confidence level for VaR calculation</param>
+        public ValueAtRisk(int period, double confidenceLevel)
+            : this($"VaR({period}, {confidenceLevel})", period, confidenceLevel)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="window">The window of data held in this indicator</param>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
+        {
+            _rateOfChange.Update(input);
+            _returns.Add((double)_rateOfChange.Current.Value);
+
+            if (_returns.Count < 2)
+            {
+                return 0m;
+            }
+
+            var mean = _returns.Mean();
+            var standardDeviation = _returns.StandardDeviation();
+            return (decimal)Normal.InvCDF(mean, standardDeviation, 1 - _confidenceLevel);
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _rateOfChange.Reset();
+            _returns.Reset();
+            base.Reset();
+        }
+    }
+}
+