wehub-resource-sync
81 lines
3.2 KiB
C#
81 lines
3.2 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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/// Represents the Average Range (AR) indicator, which calculates the average price range
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/// </summary>
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public class AverageRange : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// The Simple Moving Average (SMA) used to calculate the average of the price ranges.
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/// </summary>
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private readonly SimpleMovingAverage _sma;
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/// <summary>
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/// Initializes a new instance of the AverageRange class with the specified name and period.
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/// </summary>
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/// <param name="name">The name of the AR indicator.</param>
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/// <param name="period">The number of periods over which to compute the average range.</param>
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public AverageRange(string name, int period) : base(name)
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{
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_sma = new SimpleMovingAverage(name + "_SMA", period);
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}
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/// <summary>
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/// Initializes the AR indicator with the default name format and period.
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/// </summary>
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public AverageRange(int period)
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: this($"AR({period})", period)
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{
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}
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/// <summary>
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/// Indicates whether the indicator has enough data to start producing valid results.
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/// </summary>
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public override bool IsReady => _sma.IsReady;
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/// <summary>
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/// The number of periods needed to fully initialize the AR indicator.
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/// </summary>
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public int WarmUpPeriod => _sma.WarmUpPeriod;
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/// <summary>
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/// Resets the indicator and clears the internal state, including the SMA.
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/// </summary>
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public override void Reset()
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{
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_sma.Reset();
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base.Reset();
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}
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/// <summary>
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/// Computes the next value of the Average Range (AR) by calculating the price range (high - low)
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/// and passing it to the SMA to get the smoothed value.
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/// </summary>
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/// <param name="input">The input data for the current bar, including open, high, low, close values.</param>
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/// <returns>The computed AR value, which is the smoothed average of price ranges.</returns>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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var priceRange = input.High - input.Low;
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// Update the SMA with the price range
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_sma.Update(new IndicatorDataPoint(input.EndTime, priceRange));
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return _sma.Current.Value;
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}
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}
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} |