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>
+    /// Represents the zero lag moving average indicator (ZLEMA)
+    /// ie a technical indicator that aims is to eliminate the inherent lag associated to all trend 
+    /// following indicators which average a price over time.
+    /// </summary>
+    public class ZeroLagExponentialMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// An exponential moving average is used
+        /// </summary>
+        private readonly int _period;
+        private readonly ExponentialMovingAverage _ema;
+        private readonly Delay _delayedPrice;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _delayedPrice.IsReady && _ema.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public override int WarmUpPeriod => _period + (int)Math.Floor(((float)_period) / 2);
+
+        /// <summary>
+        /// Initializes a new instance of the ZeroLagMovingAverage class with the specified name and period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the ZLEMA</param>
+        public ZeroLagExponentialMovingAverage(string name, int period)
+            : base(name, period)
+        {
+            _period = period;
+            _ema = new ExponentialMovingAverage(name + "_EMA", period);
+            _delayedPrice = new Delay((int)Math.Round((period - 1) / 2.0));
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ZeroLagMovingAverage class with the default name and period
+        /// </summary>
+        /// <param name="period">The period of the ZLEMA</param>
+        public ZeroLagExponentialMovingAverage(int period)
+            : this($"ZLEMA({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _ema.Reset();
+            _delayedPrice.Reset();
+            base.Reset();
+        }
+
+        /// <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)
+        {
+            if (_delayedPrice.Update(input))
+            {
+                _ema.Update(input.EndTime, input.Value + (input.Value - _delayedPrice.Current));
+                return _ema.Current.Value;
+            }
+            return 0;
+        }
+    }
+}