wehub-resource-sync
109 lines
4.5 KiB
C#
109 lines
4.5 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// A momentum indicator developed by Edwin “Sedge” Coppock in October 1965.
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/// The goal of this indicator is to identify long-term buying opportunities in the S&P500 and Dow Industrials.
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/// Source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:coppock_curve
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/// </summary>
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public class CoppockCurve : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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private readonly RateOfChangePercent _longRoc;
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private readonly LinearWeightedMovingAverage _lwma;
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private readonly RateOfChangePercent _shortRoc;
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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 => _lwma.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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/// Initializes a new instance of the <see cref="CoppockCurve" /> indicator with its default values.
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/// </summary>
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public CoppockCurve()
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: this(11, 14, 10)
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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="CoppockCurve"/> indicator
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/// </summary>
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/// <param name="shortRocPeriod">The period for the short ROC</param>
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/// <param name="longRocPeriod">The period for the long ROC</param>
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/// <param name="lwmaPeriod">The period for the LWMA</param>
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public CoppockCurve(int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
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: this($"CC({shortRocPeriod},{longRocPeriod},{lwmaPeriod})", shortRocPeriod, longRocPeriod, lwmaPeriod)
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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="CoppockCurve" /> indicator
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/// </summary>
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/// <param name="name">A name for the indicator</param>
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/// <param name="shortRocPeriod">The period for the short ROC</param>
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/// <param name="longRocPeriod">The period for the long ROC</param>
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/// <param name="lwmaPeriod">The period for the LWMA</param>
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public CoppockCurve(string name, int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
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: base(name)
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{
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_shortRoc = new RateOfChangePercent(shortRocPeriod);
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_longRoc = new RateOfChangePercent(longRocPeriod);
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_lwma = new LinearWeightedMovingAverage(lwmaPeriod);
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// Define our warmup
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// LWMA does not get updated until ROC are warmed up and ready, so add our periods.
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// Then minus 1 because on the same point ROC is ready LWMA will receive its first point.
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WarmUpPeriod = Math.Max(_shortRoc.WarmUpPeriod, _longRoc.WarmUpPeriod) + lwmaPeriod - 1;
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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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_shortRoc.Reset();
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_longRoc.Reset();
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_lwma.Reset();
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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(IndicatorDataPoint input)
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{
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_shortRoc.Update(input);
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_longRoc.Update(input);
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if (!_longRoc.IsReady || !_shortRoc.IsReady)
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{
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return decimal.Zero;
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}
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_lwma.Update(input.EndTime, _shortRoc.Current.Value + _longRoc.Current.Value);
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return _lwma.Current.Value;
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}
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}
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}
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