wehub-resource-sync
94 lines
3.5 KiB
C#
94 lines
3.5 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 QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the Average Directional Movement Index Rating (ADXR).
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/// The Average Directional Movement Index Rating is calculated with the following formula:
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/// ADXR[i] = (ADX[i] + ADX[i - period + 1]) / 2
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/// </summary>
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public class AverageDirectionalMovementIndexRating : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly int _period;
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private readonly RollingWindow<decimal> _adxHistory;
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/// <summary>
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/// Initializes a new instance of the <see cref="AverageDirectionalMovementIndexRating"/> class using the specified name and period.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The period of the ADXR</param>
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public AverageDirectionalMovementIndexRating(string name, int period)
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: base(name)
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{
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_period = period;
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ADX = new AverageDirectionalIndex(name + "_ADX", period);
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_adxHistory = new RollingWindow<decimal>(period);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="AverageDirectionalMovementIndexRating"/> class using the specified period.
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/// </summary>
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/// <param name="period">The period of the ADXR</param>
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public AverageDirectionalMovementIndexRating(int period)
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: this($"ADXR({period})", period)
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{
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}
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/// <summary>
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/// The Average Directional Index indicator instance being used
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/// </summary>
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public AverageDirectionalIndex ADX { get; }
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady => _adxHistory.IsReady;
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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 => _period * 3 - 1;
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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ADX.Update(input);
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if (ADX.IsReady)
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{
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_adxHistory.Add(ADX.Current.Value);
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}
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return IsReady ? (ADX.Current.Value + _adxHistory[_period - 1]) / 2 : 50m;
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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ADX.Reset();
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_adxHistory.Reset();
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base.Reset();
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}
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}
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} |