wehub-resource-sync
108 lines
3.9 KiB
C#
108 lines
3.9 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 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 Kaufman Efficiency Ratio (KER).
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/// The Kaufman Efficiency Ratio is calculated as explained here:
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/// https://www.marketvolume.com/technicalanalysis/efficiencyratio.asp
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/// </summary>
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public class KaufmanEfficiencyRatio : WindowIndicator<IndicatorDataPoint>
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{
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private decimal _sumRoc1;
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private decimal _periodRoc;
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private decimal _trailingValue;
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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 >= Period;
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/// <summary>
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/// Initializes a new instance of the <see cref="KaufmanEfficiencyRatio"/> 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 Efficiency Ratio (ER)</param>
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public KaufmanEfficiencyRatio(string name, int period)
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: base(name, period + 1)
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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="KaufmanEfficiencyRatio"/> class using the specified period.
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/// </summary>
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/// <param name="period">The period of the Efficiency Ratio (ER)</param>
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public KaufmanEfficiencyRatio(int period)
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: this($"KER({period})", period)
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{
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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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/// <param name="window">The window for the input history</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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if (Samples < Period)
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{
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if (Samples > 1)
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{
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_sumRoc1 += Math.Abs(input.Value - window[1].Value);
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}
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return input.Value;
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}
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if (Samples == Period)
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{
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_sumRoc1 += Math.Abs(input.Value - window[1].Value);
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}
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var newTrailingValue = window[Period - 1];
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_periodRoc = input.Value - newTrailingValue.Value;
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if (Samples > Period)
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{
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// Adjust sumROC1:
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// - Remove trailing ROC1
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// - Add new ROC1
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_sumRoc1 -= Math.Abs(_trailingValue - newTrailingValue.Value);
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_sumRoc1 += Math.Abs(input.Value - window[1].Value);
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}
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_trailingValue = newTrailingValue.Value;
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// Calculate the efficiency ratio
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return _sumRoc1 <= _periodRoc || _sumRoc1 == 0 ? 1m : Math.Abs(_periodRoc / _sumRoc1);
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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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_sumRoc1 = 0;
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_periodRoc = 0;
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_trailingValue = 0;
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base.Reset();
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}
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}
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}
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