wehub-resource-sync
94 lines
3.8 KiB
C#
94 lines
3.8 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Produces a Hull Moving Average as explained at http://www.alanhull.com/hull-moving-average/
|
|
/// and derived from the instructions for the Excel VBA code at http://finance4traders.blogspot.com/2009/06/how-to-calculate-hull-moving-average.html
|
|
/// </summary>
|
|
public class HullMovingAverage : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
|
|
{
|
|
private readonly LinearWeightedMovingAverage _fastWma;
|
|
private readonly LinearWeightedMovingAverage _slowWma;
|
|
private readonly LinearWeightedMovingAverage _hullMa;
|
|
|
|
/// <summary>
|
|
/// A Hull Moving Average
|
|
/// </summary>
|
|
/// <param name="name">string - a name for the indicator</param>
|
|
/// <param name="period">int - the number of periods to calculate the HMA - the period of the slower LWMA</param>
|
|
public HullMovingAverage(string name, int period)
|
|
: base(name)
|
|
{
|
|
if (period < 2) throw new ArgumentException("The Hull Moving Average period should be greater or equal to 2", nameof(period));
|
|
_slowWma = new LinearWeightedMovingAverage(period);
|
|
_fastWma = new LinearWeightedMovingAverage((int)Math.Round(period * 1d / 2));
|
|
var k = (int)Math.Round(Math.Sqrt(period));
|
|
_hullMa = new LinearWeightedMovingAverage(k);
|
|
WarmUpPeriod = period + k - 1;
|
|
}
|
|
/// <summary>
|
|
/// A Hull Moving Average.
|
|
/// </summary>
|
|
/// <param name="period">int - the number of periods over which to calculate the HMA - the length of the slower LWMA</param>
|
|
public HullMovingAverage(int period)
|
|
: this($"HMA({period})", period)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Resets this indicator to its initial state
|
|
/// </summary>
|
|
public override void Reset()
|
|
{
|
|
base.Reset();
|
|
_slowWma.Reset();
|
|
_fastWma.Reset();
|
|
_hullMa.Reset();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a flag indicating when this indicator is ready and fully initialized
|
|
/// </summary>
|
|
public override bool IsReady => _hullMa.IsReady;
|
|
|
|
/// <summary>
|
|
/// Required period, in data points, for the indicator to be ready and fully initialized.
|
|
/// </summary>
|
|
public int WarmUpPeriod { get; }
|
|
|
|
/// <summary>
|
|
/// Computes the next value of this indicator from the given state
|
|
/// </summary>
|
|
/// <param name="input">The input given to the indicator</param>
|
|
/// <returns>
|
|
/// A new value for this indicator
|
|
/// </returns>
|
|
protected override decimal ComputeNextValue(IndicatorDataPoint input)
|
|
{
|
|
_fastWma.Update(input);
|
|
_slowWma.Update(input);
|
|
if (_fastWma.IsReady && _slowWma.IsReady)
|
|
{
|
|
_hullMa.Update(new IndicatorDataPoint(input.EndTime, 2 * _fastWma.Current.Value - _slowWma.Current.Value));
|
|
}
|
|
return _hullMa.Current.Value;
|
|
}
|
|
}
|
|
}
|