wehub-resource-sync
202 lines
8.6 KiB
C#
202 lines
8.6 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 System;
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using System.Linq;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator creates a moving average (middle band) with an upper band and lower band
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/// fixed at k standard deviations above and below the moving average.
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/// </summary>
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public class KnowSureThing : Indicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Gets the type of moving average
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/// </summary>
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public MovingAverageType MovingAverageType { get; }
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/// <summary>
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/// Gets the Rate of Change 1
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/// </summary>
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public RateOfChange ROC1 { get; }
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/// <summary>
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/// Gets the Rate of Change 2
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/// </summary>
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public RateOfChange ROC2 { get; }
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/// <summary>
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/// Gets the Rate of Change 3
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/// </summary>
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public RateOfChange ROC3 { get; }
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/// <summary>
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/// Gets the Rate of Change 4
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/// </summary>
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public RateOfChange ROC4 { get; }
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/// <summary>
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/// Gets the smoothed value of Rate of Change 1
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> ROC1MA { get; }
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/// <summary>
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/// Gets the smoothed value of Rate of Change 2
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> ROC2MA { get; }
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/// <summary>
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/// Gets the smoothed value of Rate of Change 3
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> ROC3MA { get; }
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/// <summary>
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/// Gets the smoothed value of Rate of Change 4
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> ROC4MA { get; }
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/// <summary>
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/// Gets the signal line
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> SignalLine { get; }
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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 => ROC1MA.IsReady && ROC2MA.IsReady && ROC3MA.IsReady && ROC4MA.IsReady && SignalLine.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 KnowSureThing class
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/// </summary>
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/// <param name="roc1Period">The period over which to compute ROC1</param>
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/// <param name="roc1MaPeriod">The smoothing period used to smooth the computed ROC1 values</param>
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/// <param name="roc2Period">The period over which to compute ROC2</param>
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/// <param name="roc2MaPeriod">The smoothing period used to smooth the computed ROC2 values</param>
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/// <param name="roc3Period">The period over which to compute ROC3</param>
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/// <param name="roc3MaPeriod">The smoothing period used to smooth the computed ROC3 values</param>
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/// <param name="roc4Period">The period over which to compute ROC4</param>
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/// <param name="roc4MaPeriod">The smoothing period used to smooth the computed ROC4 values</param>
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/// <param name="signalPeriod">The smoothing period used to smooth the signal values</param>
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/// <param name="movingAverageType">Specifies the type of moving average to be used as smoother for KnowSureThing values</param>
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public KnowSureThing(int roc1Period, int roc1MaPeriod, int roc2Period, int roc2MaPeriod,
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int roc3Period, int roc3MaPeriod, int roc4Period, int roc4MaPeriod, int signalPeriod,
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MovingAverageType movingAverageType = MovingAverageType.Simple)
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: this($"KST({roc1Period},{roc1MaPeriod},{roc2Period},{roc2MaPeriod},{roc3Period},{roc3MaPeriod},{roc4Period},{roc4MaPeriod},{signalPeriod},{movingAverageType})", roc1Period, roc1MaPeriod, roc2Period, roc2MaPeriod, roc3Period, roc3MaPeriod, roc4Period, roc4MaPeriod, signalPeriod, movingAverageType)
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{
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}
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/// <summary>
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/// Initializes a new instance of the KnowSureThing class
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="roc1Period">The period over which to compute ROC1</param>
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/// <param name="roc1MaPeriod">The smoothing period used to smooth the computed ROC1 values</param>
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/// <param name="roc2Period">The period over which to compute ROC2</param>
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/// <param name="roc2MaPeriod">The smoothing period used to smooth the computed ROC2 values</param>
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/// <param name="roc3Period">The period over which to compute ROC3</param>
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/// <param name="roc3MaPeriod">The smoothing period used to smooth the computed ROC3 values</param>
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/// <param name="roc4Period">The period over which to compute ROC4</param>
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/// <param name="roc4MaPeriod">The smoothing period used to smooth the computed ROC4 values</param>
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/// <param name="signalPeriod">The smoothing period used to smooth the signal values</param>
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/// <param name="movingAverageType">Specifies the type of moving average to be used as smoother for KnowSureThing values</param>
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public KnowSureThing(string name, int roc1Period, int roc1MaPeriod, int roc2Period, int roc2MaPeriod,
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int roc3Period, int roc3MaPeriod, int roc4Period, int roc4MaPeriod, int signalPeriod,
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MovingAverageType movingAverageType = MovingAverageType.Simple)
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: base(name)
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{
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WarmUpPeriod = (new int[] {roc1Period + roc1MaPeriod, roc2Period + roc2MaPeriod, roc3Period + roc3MaPeriod, roc4Period + roc4MaPeriod }).Max();
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MovingAverageType = movingAverageType;
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ROC1 = new RateOfChange(roc1Period);
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ROC2 = new RateOfChange(roc2Period);
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ROC3 = new RateOfChange(roc3Period);
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ROC4 = new RateOfChange(roc4Period);
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ROC1MA = movingAverageType.AsIndicator(name + "_ROC1MA", roc1MaPeriod);
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ROC2MA = movingAverageType.AsIndicator(name + "_ROC2MA", roc2MaPeriod);
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ROC3MA = movingAverageType.AsIndicator(name + "_ROC3MA", roc3MaPeriod);
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ROC4MA = movingAverageType.AsIndicator(name + "_ROC4MA", roc4MaPeriod);
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SignalLine = movingAverageType.AsIndicator(name + "_SignalLine", signalPeriod);
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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>The next value of the KST based on input.</returns>
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protected override decimal ComputeNextValue(IndicatorDataPoint input)
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{
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ROC1.Update(input);
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ROC2.Update(input);
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ROC3.Update(input);
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ROC4.Update(input);
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if (ROC1.IsReady)
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{
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ROC1MA.Update(input.EndTime, 100 * ROC1.Current.Value);
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}
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if (ROC2.IsReady)
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{
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ROC2MA.Update(input.EndTime, 100 * ROC2.Current.Value);
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}
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if (ROC3.IsReady)
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{
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ROC3MA.Update(input.EndTime, 100 * ROC3.Current.Value);
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}
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if (ROC4.IsReady)
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{
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ROC4MA.Update(input.EndTime, 100 * ROC4.Current.Value);
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}
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var kst = ROC1MA.Current.Value + 2 * ROC2MA.Current.Value + 3 * ROC3MA.Current.Value + 4 * ROC4MA.Current.Value;
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SignalLine.Update(input.EndTime, kst);
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if (!SignalLine.IsReady)
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{
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return 0m;
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}
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return kst;
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}
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/// <summary>
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/// Resets this indicator and all sub-indicators
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/// </summary>
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public override void Reset()
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{
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ROC1.Reset();
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ROC2.Reset();
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ROC3.Reset();
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ROC4.Reset();
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ROC1MA.Reset();
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ROC2MA.Reset();
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ROC3MA.Reset();
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ROC4MA.Reset();
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SignalLine.Reset();
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base.Reset();
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}
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}
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}
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