wehub-resource-sync
115 lines
4.6 KiB
C#
115 lines
4.6 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 QuantConnect.Data.Market;
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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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/// This indicator computes the upper and lower band of the Donchian Channel.
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/// The upper band is computed by finding the highest high over the given period.
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/// The lower band is computed by finding the lowest low over the given period.
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/// The primary output value of the indicator is the mean of the upper and lower band for
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/// the given timeframe.
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/// </summary>
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public class DonchianChannel : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Gets the upper band of the Donchian Channel.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> UpperBand { get; }
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/// <summary>
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/// Gets the lower band of the Donchian Channel.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> LowerBand { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="DonchianChannel"/> class.
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/// </summary>
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/// <param name="period">The period for both the upper and lower channels.</param>
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public DonchianChannel(int period)
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: this(period, period)
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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="DonchianChannel"/> class.
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/// </summary>
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/// <param name="upperPeriod">The period for the upper channel.</param>
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/// <param name="lowerPeriod">The period for the lower channel</param>
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public DonchianChannel(int upperPeriod, int lowerPeriod)
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: this($"DCH({lowerPeriod},{lowerPeriod})", upperPeriod, lowerPeriod)
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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="DonchianChannel"/> class.
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/// </summary>
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/// <param name="name">The name.</param>
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/// <param name="period">The period for both the upper and lower channels.</param>
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public DonchianChannel(string name, int period)
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: this(name, period, period)
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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="DonchianChannel"/> class.
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/// </summary>
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/// <param name="name">The name.</param>
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/// <param name="upperPeriod">The period for the upper channel.</param>
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/// <param name="lowerPeriod">The period for the lower channel</param>
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public DonchianChannel(string name, int upperPeriod, int lowerPeriod)
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: base(name)
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{
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WarmUpPeriod = Math.Max(upperPeriod, lowerPeriod);
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UpperBand = new Maximum(name + "_UpperBand", upperPeriod);
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LowerBand = new Minimum(name + "_LowerBand", lowerPeriod);
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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 => UpperBand.IsReady && LowerBand.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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/// 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, which by convention is the mean value of the upper band and lower band.</returns>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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UpperBand.Update(input.EndTime, input.High);
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LowerBand.Update(input.EndTime, input.Low);
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return (UpperBand + LowerBand) / 2;
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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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UpperBand.Reset();
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LowerBand.Reset();
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}
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}
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} |