wehub-resource-sync
102 lines
4.3 KiB
C#
102 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 QuantConnect.Data.Market;
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using System;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Awesome Oscillator Indicator tracks the price midpoint-movement of a security. Specifically,
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/// <para>
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/// AO = MAfast[(H+L)/2] - MAslow[(H+L)/2]
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/// </para>
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/// where MAfast and MAslow denote simple moving averages wherein fast has a shorter period.
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/// https://www.barchart.com/education/technical-indicators/awesome_oscillator
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/// </summary>
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public class AwesomeOscillator : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Gets the indicators slow period moving average.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> SlowAo { get; }
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/// <summary>
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/// Gets the indicators fast period moving average.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> FastAo { 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 => SlowAo.IsReady && FastAo.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 Awesome Oscillator from the specified periods.
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/// </summary>
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/// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
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/// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
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/// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</param>
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public AwesomeOscillator(int fastPeriod, int slowPeriod, MovingAverageType type = MovingAverageType.Simple)
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: this($"AO({fastPeriod},{slowPeriod},{type})", fastPeriod, slowPeriod, type)
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{
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}
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/// <summary>
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/// Creates a new Awesome Oscillator from the specified periods.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
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/// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
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/// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</param>
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public AwesomeOscillator(string name, int fastPeriod, int slowPeriod, MovingAverageType type = MovingAverageType.Simple)
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: base(name)
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{
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SlowAo = type.AsIndicator(slowPeriod);
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FastAo = type.AsIndicator(fastPeriod);
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WarmUpPeriod = Math.Max(slowPeriod, fastPeriod);
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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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var presentValue = (input.High + input.Low) / 2;
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SlowAo.Update(input.EndTime, presentValue);
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FastAo.Update(input.EndTime, presentValue);
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return IsReady ? FastAo - SlowAo : 0m;
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}
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/// <summary>
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/// Resets this indicator
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/// </summary>
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public override void Reset()
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{
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FastAo.Reset();
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SlowAo.Reset();
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base.Reset();
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}
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}
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}
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