wehub-resource-sync
88 lines
3.4 KiB
C#
88 lines
3.4 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Detrended Price Oscillator is an indicator designed to remove trend from price
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/// and make it easier to identify cycles.
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/// DPO does not extend to the last date because it is based on a displaced moving average.
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/// Is estimated as Price {X/2 + 1} periods ago less the X-period simple moving average.
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/// E.g.DPO(20) equals price 11 days ago less the 20-day SMA.
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/// </summary>
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/// <seealso cref="IndicatorBase{IndicatorDataPoint}" />
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public class DetrendedPriceOscillator : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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private readonly Delay _priceLag;
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private readonly SimpleMovingAverage _sma;
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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 => _sma.IsReady && _priceLag.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="DetrendedPriceOscillator" /> class.
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/// </summary>
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/// <param name="name">The name for the indicator.</param>
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/// <param name="period">The number of periods to calculate the DPO.</param>
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public DetrendedPriceOscillator(string name, int period)
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: base(name)
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{
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var lagPeriod = period / 2 + 1;
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_priceLag = new Delay(lagPeriod);
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_sma = new SimpleMovingAverage(period);
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WarmUpPeriod = period;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="DetrendedPriceOscillator" /> class.
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/// </summary>
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/// <param name="period">The number of periods to calculate the DPO.</param>
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public DetrendedPriceOscillator(int period)
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: this($"DPO({period})", period)
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{
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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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_priceLag.Reset();
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_sma.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>
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/// A new value for this indicator
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/// </returns>
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protected override decimal ComputeNextValue(IndicatorDataPoint input)
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{
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_priceLag.Update(input);
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_sma.Update(input);
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return _priceLag.Current.Value - _sma.Current.Value;
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}
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}
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} |