wehub-resource-sync
121 lines
5.1 KiB
C#
121 lines
5.1 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 short stop and lower stop values of the Chande Kroll Stop Indicator.
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/// It is used to determine the optimal placement of a stop-loss order.
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/// </summary>
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public class ChandeKrollStop : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly AverageTrueRange _atr;
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private readonly decimal _atrMult;
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private readonly Maximum _underlyingMaximum;
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private readonly Minimum _underlyingMinimum;
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/// <summary>
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/// Gets the short stop of ChandeKrollStop.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> ShortStop { get; }
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/// <summary>
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/// Gets the long stop of ChandeKrollStop.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> LongStop { 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 => Samples >= WarmUpPeriod;
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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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/// Initializes a new instance of the <see cref="ChandeKrollStop"/> class.
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/// </summary>
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/// <param name="atrPeriod">The period over which to compute the average true range.</param>
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/// <param name="atrMult">The ATR multiplier to be used to compute stops distance.</param>
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/// <param name="period">The period over which to compute the max of high stop and min of low stop.</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 ChandeKrollStop(int atrPeriod, decimal atrMult, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
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: this($"CKS({atrPeriod},{atrMult},{period})", atrPeriod, atrMult, period, movingAverageType)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ChandeKrollStop"/> class.
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/// </summary>
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/// <param name="name">The name.</param>
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/// <param name="atrPeriod">The period over which to compute the average true range.</param>
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/// <param name="atrMult">The ATR multiplier to be used to compute stops distance.</param>
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/// <param name="period">The period over which to compute the max of high stop and min of low stop.</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 ChandeKrollStop(string name, int atrPeriod, decimal atrMult, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
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: base(name)
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{
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WarmUpPeriod = atrPeriod + period - 1;
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_atr = new AverageTrueRange(atrPeriod, movingAverageType);
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_atrMult = atrMult;
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_underlyingMaximum = new Maximum(atrPeriod);
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_underlyingMinimum = new Minimum(atrPeriod);
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LongStop = new Minimum(name + "_Long", period);
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ShortStop = new Maximum(name + "_Short", period);
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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>The input is returned unmodified.</returns>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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_atr.Update(input);
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_underlyingMaximum.Update(input.EndTime, input.High);
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var highStop = _underlyingMaximum.Current.Value - _atr.Current.Value * _atrMult;
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_underlyingMinimum.Update(input.EndTime, input.Low);
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var lowStop = _underlyingMinimum.Current.Value + _atr.Current.Value * _atrMult;
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ShortStop.Update(input.EndTime, highStop);
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LongStop.Update(input.EndTime, lowStop);
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return input.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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base.Reset();
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_atr.Reset();
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_underlyingMaximum.Reset();
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_underlyingMinimum.Reset();
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ShortStop.Reset();
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LongStop.Reset();
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}
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}
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}
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