wehub-resource-sync
90 lines
3.9 KiB
C#
90 lines
3.9 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;
|
|
using System.Linq;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Represents the traditional Weighted Moving Average indicator. The weight are linearly
|
|
/// distributed according to the number of periods in the indicator.
|
|
///
|
|
/// For example, a 4 period indicator will have a numerator of (4 * window[0]) + (3 * window[1]) + (2 * window[2]) + window[3]
|
|
/// and a denominator of 4 + 3 + 2 + 1 = 10
|
|
///
|
|
/// During the warm up period, IsReady will return false, but the LWMA will still be computed correctly because
|
|
/// the denominator will be the minimum of Samples factorial or Size factorial and
|
|
/// the computation iterates over that minimum value.
|
|
///
|
|
/// The RollingWindow of inputs is created when the indicator is created.
|
|
/// A RollingWindow of LWMAs is not saved. That is up to the caller.
|
|
/// </summary>
|
|
public class LinearWeightedMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
|
|
{
|
|
private readonly int _denominator;
|
|
/// <summary>
|
|
/// Required period, in data points, for the indicator to be ready and fully initialized.
|
|
/// </summary>
|
|
public int WarmUpPeriod => Period;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the LinearWeightedMovingAverage class with the specified name and period
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="period">The period of the LWMA</param>
|
|
public LinearWeightedMovingAverage(string name, int period)
|
|
: base(name, period)
|
|
{
|
|
_denominator = (period * (period + 1)) / 2;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the LinearWeightedMovingAverage class with the default name and period
|
|
/// </summary>
|
|
/// <param name="period">The period of the LWMA</param>
|
|
public LinearWeightedMovingAverage(int period)
|
|
: this($"LWMA({period})", period)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Computes the next value for this indicator from the given state.
|
|
/// </summary>
|
|
/// <param name="window">The window of data held in this indicator</param>
|
|
/// <param name="input">The input value to this indicator on this time step</param>
|
|
/// <returns>A new value for this indicator</returns>
|
|
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
|
|
{
|
|
// our first data point just return identity
|
|
if (!IsReady)
|
|
{
|
|
return 0;
|
|
}
|
|
|
|
var numerator = 0m;
|
|
var index = window.Size;
|
|
|
|
// If the indicator is not ready, the LWMA will still be correct
|
|
// because the numerator has the minimum of the Size (number of
|
|
// entries or the Samples (the allocated space)
|
|
var minSizeSamples = (int)Math.Min(index, window.Samples);
|
|
for (var i = 0; i < minSizeSamples; i++)
|
|
{
|
|
numerator += (index-- * window[i].Value);
|
|
}
|
|
return numerator / _denominator;
|
|
}
|
|
}
|
|
} |