wehub-resource-sync
123 lines
4.5 KiB
C#
123 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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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// In the DeMarker strategy, for some period of size N, set:
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/// <para>
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/// DeMax = High - Previous High, and
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/// DeMin = Previous Low - Low
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/// </para>
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/// where, in the prior, if either term is less than zero (DeMax or DeMin), set it to zero.
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/// We can now define the indicator itself, DEM, as:
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///<para>
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/// DEM = MA(DeMax)/(MA(DeMax)+MA(DeMin))
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///</para>
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/// where MA denotes a Moving Average of period N.
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///
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/// https://www.investopedia.com/terms/d/demarkerindicator.asp
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/// </summary>
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public class DeMarkerIndicator : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly IndicatorBase<IndicatorDataPoint> _maxMA;
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private readonly IndicatorBase<IndicatorDataPoint> _minMA;
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private decimal _lastHigh;
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private decimal _lastLow;
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/// <summary>
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/// Initializes a new instance of the DeMarkerIndicator class with the specified period
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/// </summary>
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/// <param name="period">The period of the DeMarker Indicator</param>
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/// <param name="type">The type of moving average to use in calculations</param>
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public DeMarkerIndicator(int period, MovingAverageType type = MovingAverageType.Simple)
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: this($"DEM({period},{type})", period, type)
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{
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}
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/// <summary>
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/// Initializes a new instance of the DeMarkerIndicator class with 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 DeMarker Indicator</param>
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/// <param name="type">The type of moving average to use in calculations</param>
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public DeMarkerIndicator(string name, int period, MovingAverageType type = MovingAverageType.Simple)
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: base(name)
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{
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_lastHigh = 0m;
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_lastLow = 0m;
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WarmUpPeriod = period;
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_maxMA = type.AsIndicator(period);
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_minMA = type.AsIndicator(period);
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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 => _maxMA.IsReady && _minMA.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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/// 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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_lastHigh = 0m;
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_lastLow = 0m;
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_maxMA.Reset();
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_minMA.Reset();
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base.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(IBaseDataBar input)
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{
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var deMax = 0m;
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var deMin = 0m;
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if (Samples > 1)
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{
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// By default, DeMin and DeMax must be 0m initially
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deMax = Math.Max(input.High - _lastHigh, 0);
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deMin = Math.Max(_lastLow - input.Low, 0);
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}
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_maxMA.Update(input.EndTime, deMax);
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_minMA.Update(input.EndTime, deMin);
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_lastHigh = input.High;
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_lastLow = input.Low;
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if (!IsReady)
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{
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return 0m;
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}
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var currentValue = _maxMA + _minMA;
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return currentValue > 0m ? _maxMA / currentValue : 0m;
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}
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}
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}
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