wehub-resource-sync
74 lines
2.9 KiB
C#
74 lines
2.9 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;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Represents the LogReturn indicator (LOGR)
|
|
/// - log returns are useful for identifying price convergence/divergence in a given period
|
|
/// - logr = log (current price / last price in period)
|
|
/// </summary>
|
|
public class LogReturn : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
|
|
{
|
|
/// <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 LogReturn class with the specified name and period
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="period">The period of the LOGR</param>
|
|
public LogReturn(string name, int period)
|
|
: base(name, period)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the LogReturn class with the default name and period
|
|
/// </summary>
|
|
/// <param name="period">The period of the SMA</param>
|
|
public LogReturn(int period)
|
|
: base($"LOGR({period})", period)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Computes the next value for this indicator from the given state.
|
|
/// - logr = log (current price / last price in period)
|
|
/// </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)
|
|
{
|
|
var valuef = input;
|
|
|
|
var value0 = window.Samples <= window.Size
|
|
? window[window.Count - 1]
|
|
: window.MostRecentlyRemoved;
|
|
var result = Math.Log((double)(valuef.Value.SafeDivision(value0.Value)));
|
|
if (result == Double.NegativeInfinity || result == Double.PositiveInfinity)
|
|
{
|
|
return 0;
|
|
}
|
|
|
|
return result.SafeDecimalCast();
|
|
}
|
|
}
|
|
} |