wehub-resource-sync
101 lines
4.3 KiB
C#
101 lines
4.3 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 QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his
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/// book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then
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/// smoothes the TrueRange over a given period.
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///
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/// TrueRange is defined as the maximum of the following:
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/// High - Low
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/// ABS(High - PreviousClose)
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/// ABS(Low - PreviousClose)
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/// </summary>
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public class AverageTrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>This indicator is used to smooth the TrueRange computation</summary>
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/// <remarks>This is not exposed publicly since it is the same value as this indicator, meaning
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/// that this '_smoother' computers the ATR directly, so exposing it publicly would be duplication</remarks>
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private readonly IndicatorBase<IndicatorDataPoint> _smoother;
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/// <summary>
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/// Gets the true range which is the more volatile calculation to be smoothed by this indicator
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/// </summary>
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public IndicatorBase<IBaseDataBar> TrueRange { 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 => _smoother.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 { get; }
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/// <summary>
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/// Creates a new AverageTrueRange indicator using the specified period and moving average type
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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 smoothing period used to smooth the true range values</param>
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/// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
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public AverageTrueRange(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
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: base(name)
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{
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WarmUpPeriod = period;
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TrueRange = new TrueRange(name);
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_smoother = movingAverageType.AsIndicator($"{name}_{movingAverageType}", period).Of(TrueRange, false);
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}
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/// <summary>
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/// Creates a new AverageTrueRange indicator using the specified period and moving average type
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/// </summary>
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/// <param name="period">The smoothing period used to smooth the true range values</param>
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/// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
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public AverageTrueRange(int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
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: this($"ATR({period})", period, movingAverageType)
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{
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}
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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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// compute the true range and then send it to our smoother
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TrueRange.Update(input);
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return _smoother.Current.Value;
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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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_smoother.Reset();
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TrueRange.Reset();
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base.Reset();
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}
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}
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}
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