wehub-resource-sync
110 lines
4.4 KiB
C#
110 lines
4.4 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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using MathNet.Numerics;
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using MathNet.Numerics.LinearAlgebra;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Least Squares Moving Average (LSMA) first calculates a least squares regression line
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/// over the preceding time periods, and then projects it forward to the current period. In
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/// essence, it calculates what the value would be if the regression line continued.
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/// Source: https://rtmath.net/assets/docs/finanalysis/html/b3fab79c-f4b2-40fb-8709-fdba43cdb363.htm
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/// </summary>
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public class LeastSquaresMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Array representing the time.
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/// </summary>
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private readonly double[] _t;
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/// <summary>
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/// The point where the regression line crosses the y-axis (price-axis)
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> Intercept { get; }
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/// <summary>
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/// The regression line slope
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> Slope { get; }
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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 => Period;
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/// <summary>
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/// Initializes a new instance of the <see cref="LeastSquaresMovingAverage"/> 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="period">The number of data points to hold in the window</param>
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public LeastSquaresMovingAverage(string name, int period)
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: base(name, period)
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{
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_t = Vector<double>.Build.Dense(period, i => i + 1).ToArray();
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Intercept = new Identity(name + "_Intercept");
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Slope = new Identity(name + "_Slope");
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LeastSquaresMovingAverage"/> class.
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/// </summary>
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/// <param name="period">The number of data points to hold in the window.</param>
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public LeastSquaresMovingAverage(int period)
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: this($"LSMA({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="window"></param>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>
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/// A new value for this indicator
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/// </returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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// Until the window is ready, the indicator returns the input value.
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if (!window.IsReady) return input.Value;
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// Sort the window by time, convert the observations to double and transform it to an array
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var series = window
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.OrderBy(i => i.EndTime)
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.Select(i => Convert.ToDouble(i.Value))
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.ToArray();
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// Fit OLS
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var ols = Fit.Line(x: _t, y: series);
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Intercept.Update(input.EndTime, (decimal)ols.Item1);
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Slope.Update(input.EndTime, (decimal)ols.Item2);
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// Calculate the fitted value corresponding to the input
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return Intercept.Current.Value + Slope.Current.Value * Period;
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}
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/// <summary>
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/// Resets this indicator and all sub-indicators (Intercept, Slope)
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/// </summary>
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public override void Reset()
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{
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Intercept.Reset();
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Slope.Reset();
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base.Reset();
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}
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}
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} |