wehub-resource-sync
121 lines
5.3 KiB
C#
121 lines
5.3 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Smooth and high sensitive moving Average. This moving average reduce lag of the information
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/// but still being smooth to reduce noises.
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/// Is a weighted moving average, which weights have a Normal shape;
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/// the parameters Sigma and Offset affect the kurtosis and skewness of the weights respectively.
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/// Source: https://www.cjournal.cz/files/308.pdf
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/// </summary>
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/// <seealso cref="IndicatorDataPoint" />
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public class ArnaudLegouxMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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private readonly decimal[] _weightVector;
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/// <summary>
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/// Required period, in data points, for the indicator to be ready and fully initialized.
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/// </summary>
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public int WarmUpPeriod => _weightVector.Length;
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/// <summary>
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/// Initializes a new instance of the <see cref="ArnaudLegouxMovingAverage" /> class.
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/// </summary>
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/// <param name="name">string - a name for the indicator</param>
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/// <param name="period">int - the number of periods to calculate the ALMA</param>
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/// <param name="sigma">
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/// int - this parameter is responsible for the shape of the curve coefficients. It affects the weight vector kurtosis.
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/// </param>
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/// <param name="offset">
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/// decimal - This parameter allows regulating the smoothness and high sensitivity of the
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/// Moving Average. The range for this parameter is [0, 1]. It affects the weight vector skewness.
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/// </param>
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public ArnaudLegouxMovingAverage(string name, int period, int sigma = 6, decimal offset = 0.85m)
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: base(name, period)
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{
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if (offset < 0 || offset > 1) throw new ArgumentException($"Offset parameter range is [0,1]. Value: {offset}", nameof(offset));
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var m = Math.Floor(offset * (period - 1));
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var s = period * 1m / sigma;
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var tmpVector = Enumerable.Range(0, period)
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.Select(i => Math.Exp((double) (-(i - m) * (i - m) / (2 * s * s))))
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.ToArray();
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_weightVector = tmpVector
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.Select(i => (decimal) (i / tmpVector.Sum())).Reverse()
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.ToArray();
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ArnaudLegouxMovingAverage" /> class.
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/// </summary>
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/// <param name="name">string - a name for the indicator</param>
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/// <param name="period">int - the number of periods to calculate the ALMA.</param>
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public ArnaudLegouxMovingAverage(string name, int period)
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: this(name, period, 6)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ArnaudLegouxMovingAverage" /> class.
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/// </summary>
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/// <param name="period">int - the number of periods to calculate the ALMA</param>
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/// <param name="sigma">
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/// int - this parameter is responsible for the shape of the curve coefficients. It affects the weight
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/// vector kurtosis.
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/// </param>
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/// <param name="offset">
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/// decimal - This parameter allows regulating the smoothness and high sensitivity of the Moving
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/// Average. The range for this parameter is [0, 1]. It affects the weight vector skewness.
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/// </param>
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public ArnaudLegouxMovingAverage(int period, int sigma, decimal offset = 0.85m)
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: this($"ALMA({period},{sigma},{offset})", period, sigma, offset)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ArnaudLegouxMovingAverage" /> class.
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/// </summary>
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/// <param name="period">int - the number of periods to calculate the ALMA.</param>
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public ArnaudLegouxMovingAverage(int period)
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: this(period, 6)
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{
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input value to this indicator on this time step</param>
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/// <returns>
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/// A new value for this indicator
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/// </returns>
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/// <exception cref="System.NotImplementedException"></exception>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window,
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IndicatorDataPoint input)
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{
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return IsReady
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? window.Select((t, i) => t.Price * _weightVector[i]).Sum()
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: input.Value;
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}
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}
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}
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