wehub-resource-sync
110 lines
3.8 KiB
C#
110 lines
3.8 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the Chande Momentum Oscillator (CMO).
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/// CMO calculation is mostly identical to RSI.
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/// The only difference is in the last step of calculation:
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/// RSI = gain / (gain+loss)
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/// CMO = (gain-loss) / (gain+loss)
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/// </summary>
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public class ChandeMomentumOscillator : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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private decimal _prevValue;
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private decimal _prevGain;
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private decimal _prevLoss;
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/// <summary>
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/// Initializes a new instance of the <see cref="ChandeMomentumOscillator"/> class using the specified period.
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/// </summary>
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/// <param name="period">The period of the indicator</param>
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public ChandeMomentumOscillator(int period)
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: this($"CMO({period})", period)
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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="ChandeMomentumOscillator"/> 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 indicator</param>
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public ChandeMomentumOscillator(string name, int period)
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: base(name, period)
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{
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}
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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 > Period;
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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 => 1 + Period;
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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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/// <param name="window">The window for the input history</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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if (Samples == 1)
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{
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_prevValue = input.Value;
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return 0m;
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}
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var difference = input.Value - _prevValue;
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_prevValue = input.Value;
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if (Samples > Period + 1)
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{
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_prevLoss *= (Period - 1);
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_prevGain *= (Period - 1);
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}
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if (difference < 0)
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_prevLoss -= difference;
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else
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_prevGain += difference;
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if (!IsReady)
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return 0m;
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_prevLoss /= Period;
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_prevGain /= Period;
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var sum = _prevGain + _prevLoss;
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return sum != 0 ? 100m * ((_prevGain - _prevLoss) / sum) : 0m;
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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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_prevValue = 0;
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_prevGain = 0;
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_prevLoss = 0;
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base.Reset();
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}
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}
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} |