wehub-resource-sync
109 lines
5.4 KiB
C#
109 lines
5.4 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 System.Collections.Generic;
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using System.Linq;
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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 Correlation Indicator is a valuable tool in technical analysis, designed to quantify the degree of
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/// relationship between the price movements of a target security (e.g., a stock or ETF) and a reference
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/// market index. It measures how closely the target’s price changes are aligned with the fluctuations of
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/// the index over a specific period of time, providing insights into the target’s susceptibility to market
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/// movements.
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/// A positive correlation indicates that the target tends to move in the same direction as the market index,
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/// while a negative correlation suggests an inverse relationship. A correlation close to 0 implies a weak or
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/// no linear relationship.
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/// Commonly, the SPX index is employed as the benchmark for the overall market when calculating correlation,
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/// ensuring a consistent and reliable reference point. This helps traders and investors make informed decisions
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/// regarding the risk and behavior of the target security in relation to market trends.
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///
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/// The indicator only updates when both assets have a price for a time step. When a bar is missing for one of the assets,
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/// the indicator value fills forward to improve the accuracy of the indicator.
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/// </summary>
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public class Correlation : DualSymbolIndicator<IBaseDataBar>
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{
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/// <summary>
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/// Correlation type
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/// </summary>
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private readonly CorrelationType _correlationType;
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/// <summary>
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/// Gets a flag indicating when the indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady => TargetDataPoints.IsReady && ReferenceDataPoints.IsReady;
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/// <summary>
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/// Creates a new Correlation indicator with the specified name, target, reference,
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/// and period values
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="period">The period of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="correlationType">Correlation type</param>
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public Correlation(string name, Symbol targetSymbol, Symbol referenceSymbol, int period, CorrelationType correlationType = CorrelationType.Pearson)
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: base(name, targetSymbol, referenceSymbol, period)
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{
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// Assert the period is greater than two, otherwise the correlation can not be computed
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if (period < 2)
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{
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throw new ArgumentException($"Period parameter for Correlation indicator must be greater than 2 but was {period}");
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}
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_correlationType = correlationType;
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}
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/// <summary>
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/// Creates a new Correlation indicator with the specified target, reference,
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/// and period values
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/// </summary>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="period">The period of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="correlationType">Correlation type</param>
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public Correlation(Symbol targetSymbol, Symbol referenceSymbol, int period, CorrelationType correlationType = CorrelationType.Pearson)
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: this($"Correlation({period})", targetSymbol, referenceSymbol, period, correlationType)
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{
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}
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/// <summary>
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/// Computes the correlation value usuing symbols values
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/// correlation values assing into _correlation property
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/// </summary>
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protected override decimal ComputeIndicator()
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{
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var targetDataPoints = TargetDataPoints.Select(x => (double)x.Close);
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var referenceDataPoints = ReferenceDataPoints.Select(x => (double)x.Close);
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var newCorrelation = 0d;
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if (_correlationType == CorrelationType.Pearson)
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{
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newCorrelation = MathNet.Numerics.Statistics.Correlation.Pearson(targetDataPoints, referenceDataPoints);
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}
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if (_correlationType == CorrelationType.Spearman)
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{
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newCorrelation = MathNet.Numerics.Statistics.Correlation.Spearman(targetDataPoints, referenceDataPoints);
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}
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if (newCorrelation.IsNaNOrZero())
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{
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newCorrelation = 0;
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}
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return Extensions.SafeDecimalCast(newCorrelation);
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}
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}
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}
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