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 QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Williams %R, or just %R, is the current closing price in relation to the high and low of
+    /// the past N days (for a given N). The value of this indicator fluctuates between -100 and 0.
+    /// The symbol is said to be oversold when the oscillator is below -80%,
+    /// and overbought when the oscillator is above -20%. 
+    /// </summary>
+    public class WilliamsPercentR : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Gets the Maximum indicator
+        /// </summary>
+        public Maximum Maximum { get; }
+
+        /// <summary>
+        /// Gets the Minimum indicator
+        /// </summary>
+        public Minimum Minimum { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Maximum.IsReady && Minimum.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates a new Williams %R.
+        /// </summary>
+        /// <param name="period">The look-back period to determine the Williams %R</param>
+        public WilliamsPercentR(int period)
+            : this($"WILR({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new Williams %R.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The look-back period to determine the Williams %R</param>
+        public WilliamsPercentR(string name, int period)
+            : base(name)
+        {
+            Maximum = new Maximum(name + "_Max", period);
+            Minimum = new Minimum(name + "_Min", period);
+            WarmUpPeriod = period;
+        }
+
+        /// <summary>
+        /// Resets this indicator and both sub-indicators (Max and Min)
+        /// </summary>
+        public override void Reset()
+        {
+            Maximum.Reset();
+            Minimum.Reset();
+            base.Reset();
+        }
+
+        /// <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(IBaseDataBar input)
+        {
+            Minimum.Update(input.EndTime, input.Low);
+            Maximum.Update(input.EndTime, input.High);
+
+            if (!IsReady) return 0;
+
+            var range = Maximum.Current.Value - Minimum.Current.Value;
+
+            return range == 0 ? 0 : -100m * (Maximum.Current.Value - input.Close) / range;
+        }
+    }
+}