wehub-resource-sync
95 lines
4.0 KiB
C#
95 lines
4.0 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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/// This indicator computes the Double Exponential Moving Average (DEMA).
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/// The Double Exponential Moving Average is calculated with the following formula:
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/// EMA2 = EMA(EMA(t,period),period)
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/// DEMA = 2 * EMA(t,period) - EMA2
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/// The Generalized DEMA (GD) is calculated with the following formula:
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/// GD = (volumeFactor+1) * EMA(t,period) - volumeFactor * EMA2
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/// </summary>
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public class DoubleExponentialMovingAverage : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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private readonly int _period;
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private readonly decimal _volumeFactor;
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private readonly ExponentialMovingAverage _ema1;
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private readonly ExponentialMovingAverage _ema2;
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/// <summary>
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/// Initializes a new instance of the <see cref="DoubleExponentialMovingAverage"/> class using 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 DEMA</param>
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/// <param name="volumeFactor">The volume factor of the DEMA (value must be in the [0,1] range, set to 1 for standard DEMA)</param>
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public DoubleExponentialMovingAverage(string name, int period, decimal volumeFactor = 1m)
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: base(name)
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{
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_period = period;
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_volumeFactor = volumeFactor;
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_ema1 = new ExponentialMovingAverage(name + "_1", period);
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_ema2 = new ExponentialMovingAverage(name + "_2", period);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="DoubleExponentialMovingAverage"/> class using the specified period.
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/// </summary>
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/// <param name="period">The period of the DEMA</param>
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/// <param name="volumeFactor">The volume factor of the DEMA (value must be in the [0,1] range, set to 1 for standard DEMA)</param>
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public DoubleExponentialMovingAverage(int period, decimal volumeFactor = 1m)
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: this($"DEMA({period})", period, volumeFactor)
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{
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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 => Samples > 2 * (_period - 1);
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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 => 1 + 2 * (_period - 1);
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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(IndicatorDataPoint input)
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{
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_ema1.Update(input);
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if (!_ema1.IsReady)
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return _ema1.Current.Value;
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_ema2.Update(_ema1.Current);
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return (_volumeFactor + 1) * _ema1.Current.Value - _volumeFactor * _ema2.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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_ema1.Reset();
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_ema2.Reset();
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base.Reset();
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}
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}
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} |