quantconnect--lean/Indicators/AverageDirectionalIndex.cs

/*
 * 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;
using QuantConnect.Data.Market;

namespace QuantConnect.Indicators
{
    /// <summary>
    /// This indicator computes Average Directional Index which measures trend strength without regard to trend direction.
    /// Firstly, it calculates the Directional Movement and the True Range value, and then the values are accumulated and smoothed
    /// using a custom smoothing method proposed by Wilder. For an n period smoothing, 1/n of each period's value is added to the total period.
    /// From these accumulated values we are therefore able to derived the 'Positive Directional Index' (+DI) and 'Negative Directional Index' (-DI)
    /// which is used to calculate the Average Directional Index.
    /// Computation source:
    /// https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx
    /// </summary>
    public class AverageDirectionalIndex : BarIndicator, IIndicatorWarmUpPeriodProvider
    {
        private readonly int _period;
        private readonly IndicatorBase<IBaseDataBar> _trueRange;
        private readonly IndicatorBase<IBaseDataBar> _directionalMovementPlus;
        private readonly IndicatorBase<IBaseDataBar> _directionalMovementMinus;
        private readonly IndicatorBase<IndicatorDataPoint> _smoothedTrueRange;
        private readonly IndicatorBase<IndicatorDataPoint> _smoothedDirectionalMovementPlus;
        private readonly IndicatorBase<IndicatorDataPoint> _smoothedDirectionalMovementMinus;
        private readonly IndicatorBase<IndicatorDataPoint> _averageDirectionalIndex;
        private IBaseDataBar _previousInput;

        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady => _averageDirectionalIndex.IsReady;

        /// <summary>
        /// Gets the index of the Plus Directional Indicator
        /// </summary>
        /// <value>
        /// The index of the Plus Directional Indicator.
        /// </value>
        public IndicatorBase<IndicatorDataPoint> PositiveDirectionalIndex { get; }

        /// <summary>
        /// Gets the index of the Minus Directional Indicator
        /// </summary>
        /// <value>
        /// The index of the Minus Directional Indicator.
        /// </value>
        public IndicatorBase<IndicatorDataPoint> NegativeDirectionalIndex { get; }

        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod => _period * 2;

        /// <summary>
        /// Initializes a new instance of the <see cref="AverageDirectionalIndex"/> class.
        /// </summary>
        /// <param name="period">The period.</param>
        public AverageDirectionalIndex(int period)
            : this($"ADX({period})", period)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="AverageDirectionalIndex"/> class.
        /// </summary>
        /// <param name="name">The name.</param>
        /// <param name="period">The period.</param>
        public AverageDirectionalIndex(string name, int period)
            : base(name)
        {
            _period = period;

            _trueRange = new FunctionalIndicator<IBaseDataBar>(name + "_TrueRange",
                ComputeTrueRange,
                isReady => _previousInput != null
                );

            _directionalMovementPlus = new FunctionalIndicator<IBaseDataBar>(name + "_PositiveDirectionalMovement",
                ComputePositiveDirectionalMovement,
                isReady => _previousInput != null
                );

            _directionalMovementMinus = new FunctionalIndicator<IBaseDataBar>(name + "_NegativeDirectionalMovement",
                ComputeNegativeDirectionalMovement,
                isReady => _previousInput != null
                );

            PositiveDirectionalIndex = new FunctionalIndicator<IndicatorDataPoint>(name + "_PositiveDirectionalIndex",
                input =>
                {
                    // Computes the Plus Directional Indicator(+DI period).
                    if (_smoothedTrueRange != 0 && _smoothedDirectionalMovementPlus.IsReady)
                    {
                        return 100m * _smoothedDirectionalMovementPlus.Current.Value / _smoothedTrueRange.Current.Value;
                    }
                    return 0m;
                },
                positiveDirectionalIndex => _smoothedDirectionalMovementPlus.IsReady,
                () =>
                {
                    _directionalMovementPlus.Reset();
                    _trueRange.Reset();
                }
                );

            NegativeDirectionalIndex = new FunctionalIndicator<IndicatorDataPoint>(name + "_NegativeDirectionalIndex",
                input =>
                {
                    // Computes the Minus Directional Indicator(-DI period).
                    if (_smoothedTrueRange != 0 && _smoothedDirectionalMovementMinus.IsReady)
                    {
                        return 100m * _smoothedDirectionalMovementMinus.Current.Value / _smoothedTrueRange.Current.Value;
                    }
                    return 0m;
                },
                negativeDirectionalIndex => _smoothedDirectionalMovementMinus.IsReady,
                () =>
                {
                    _directionalMovementMinus.Reset();
                    _trueRange.Reset();
                }
                );

            _smoothedTrueRange = new FunctionalIndicator<IndicatorDataPoint>(name + "_SmoothedTrueRange",
                input =>
                {
                    // Computes the Smoothed True Range value.
                    var value = Samples > _period + 1 ? _smoothedTrueRange.Current.Value / _period : 0m;
                    return _smoothedTrueRange.Current.Value + _trueRange.Current.Value - value;
                },
                isReady => Samples > period
                );

            _smoothedDirectionalMovementPlus = new FunctionalIndicator<IndicatorDataPoint>(name + "_SmoothedDirectionalMovementPlus",
                input =>
                {
                    // Computes the Smoothed Directional Movement Plus value.
                    var value = Samples > _period + 1 ? _smoothedDirectionalMovementPlus.Current.Value / _period : 0m;
                    return _smoothedDirectionalMovementPlus.Current.Value + _directionalMovementPlus.Current.Value - value;
                },
                isReady => Samples > period
                );

            _smoothedDirectionalMovementMinus = new FunctionalIndicator<IndicatorDataPoint>(name + "_SmoothedDirectionalMovementMinus",
                input =>
                {
                    // Computes the Smoothed Directional Movement Minus value.
                    var value = Samples > _period + 1 ? _smoothedDirectionalMovementMinus.Current.Value / _period : 0m;
                    return _smoothedDirectionalMovementMinus.Current.Value + _directionalMovementMinus.Current.Value - value;
                },
                isReady => Samples > period
                );

            _averageDirectionalIndex = new WilderMovingAverage(period);
        }

        /// <summary>
        /// Computes the True Range value.
        /// </summary>
        /// <param name="input">The input.</param>
        /// <returns></returns>
        private decimal ComputeTrueRange(IBaseDataBar input)
        {
            if (_previousInput == null) return 0m;

            var range1 = input.High - input.Low;
            var range2 = Math.Abs(input.High - _previousInput.Close);
            var range3 = Math.Abs(input.Low - _previousInput.Close);

            return Math.Max(range1, Math.Max(range2, range3));
        }

        /// <summary>
        /// Computes the positive directional movement.
        /// </summary>
        /// <param name="input">The input.</param>
        /// <returns></returns>
        private decimal ComputePositiveDirectionalMovement(IBaseDataBar input)
        {
            if (_previousInput != null &&
                input.High > _previousInput.High &&
                input.High - _previousInput.High >= _previousInput.Low - input.Low)
            {
                return input.High - _previousInput.High;
            }
            return 0m;
        }

        /// <summary>
        /// Computes the negative directional movement.
        /// </summary>
        /// <param name="input">The input.</param>
        /// <returns></returns>
        private decimal ComputeNegativeDirectionalMovement(IBaseDataBar input)
        {
            if (_previousInput != null &&
                _previousInput.Low > input.Low &&
                _previousInput.Low - input.Low > input.High - _previousInput.High)
            {
                return _previousInput.Low - input.Low;
            }
            return 0m;
        }

        /// <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)
        {
            _trueRange.Update(input);
            _directionalMovementPlus.Update(input);
            _directionalMovementMinus.Update(input);
            _smoothedTrueRange.Update(Current);
            _smoothedDirectionalMovementPlus.Update(Current);
            _smoothedDirectionalMovementMinus.Update(Current);
            _previousInput = input;

            PositiveDirectionalIndex.Update(Current);
            NegativeDirectionalIndex.Update(Current);

            var diff = Math.Abs(PositiveDirectionalIndex.Current.Value - NegativeDirectionalIndex.Current.Value);
            var sum = PositiveDirectionalIndex.Current.Value + NegativeDirectionalIndex.Current.Value;
            if (sum == 0) return 50m;

            _averageDirectionalIndex.Update(input.EndTime, 100m * diff / sum);

            return _averageDirectionalIndex.Current.Value;
        }

        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            base.Reset();
            _previousInput = null;
            _trueRange.Reset();
            _directionalMovementPlus.Reset();
            _directionalMovementMinus.Reset();
            _smoothedTrueRange.Reset();
            _smoothedDirectionalMovementPlus.Reset();
            _smoothedDirectionalMovementMinus.Reset();
            _averageDirectionalIndex.Reset();
            PositiveDirectionalIndex.Reset();
            NegativeDirectionalIndex.Reset();
        }
    }
}