wehub-resource-sync
99 lines
4.7 KiB
C#
99 lines
4.7 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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/// Represents the Derivative Oscillator Indicator, utilizing
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/// a moving average convergence-divergence (MACD) histogram to a double-smoothed relative strength index (RSI).
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/// </summary>
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public class DerivativeOscillator : Indicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly RelativeStrengthIndex _rsi;
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private readonly ExponentialMovingAverage _smoothedRsi;
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private readonly ExponentialMovingAverage _doubleSmoothedRsi;
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private readonly SimpleMovingAverage _signalLine;
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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 => _signalLine.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 IndicatorDerivativeOscillator class with the specified name and periods.
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/// </summary>
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/// <param name="name">The name of the indicator</param>
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/// <param name="rsiPeriod">The period for the RSI calculation</param>
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/// <param name="smoothingRsiPeriod">The period for the smoothing RSI</param>
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/// <param name="doubleSmoothingRsiPeriod">The period for the double smoothing RSI</param>
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/// <param name="signalLinePeriod">The period for the signal line</param>
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public DerivativeOscillator(string name, int rsiPeriod, int smoothingRsiPeriod, int doubleSmoothingRsiPeriod, int signalLinePeriod) : base(name)
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{
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_rsi = new RelativeStrengthIndex($"{name}_RSI", rsiPeriod);
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_smoothedRsi = new ExponentialMovingAverage($"{name}_SmoothedRSI", smoothingRsiPeriod).Of(_rsi);
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_doubleSmoothedRsi = new ExponentialMovingAverage($"{name}_DoubleSmoothedRSI", doubleSmoothingRsiPeriod).Of(_smoothedRsi);
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_signalLine = new SimpleMovingAverage($"{name}_SignalLine", signalLinePeriod).Of(_doubleSmoothedRsi);
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WarmUpPeriod = (rsiPeriod + smoothingRsiPeriod + doubleSmoothingRsiPeriod + signalLinePeriod - 3) + 1;
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}
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/// <summary>
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/// Initializes a new instance of the IndicatorDerivativeOscillator class with the specified name and periods.
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/// </summary>
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/// <param name="rsiPeriod">The period for the RSI calculation</param>
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/// <param name="smoothingRsiPeriod">The period for the smoothing RSI</param>
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/// <param name="doubleSmoothingRsiPeriod">The period for the double smoothing RSI</param>
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/// <param name="signalLinePeriod">The period for the signal line</param>
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public DerivativeOscillator(int rsiPeriod, int smoothingRsiPeriod, int doubleSmoothingRsiPeriod, int signalLinePeriod)
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: this($"DO({rsiPeriod},{smoothingRsiPeriod},{doubleSmoothingRsiPeriod},{signalLinePeriod})", rsiPeriod, smoothingRsiPeriod, doubleSmoothingRsiPeriod, signalLinePeriod)
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{
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}
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/// <summary>
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/// Computes the next value for the derivative oscillator indicator from the given state
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/// </summary>
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/// <param name="input">The input value to this indicator on this time step</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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// Chaining updates all of the other indicators
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_rsi.Update(input);
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if (!IsReady)
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{
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return 0;
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}
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return _doubleSmoothedRsi.Current.Value - _signalLine.Current.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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_rsi.Reset();
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_smoothedRsi.Reset();
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_doubleSmoothedRsi.Reset();
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_signalLine.Reset();
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base.Reset();
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}
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}
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}
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