wehub-resource-sync
101 lines
3.8 KiB
C#
101 lines
3.8 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 QuantConnect.Data.Market;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// The Mass Index uses the high-low range to identify trend reversals based on range expansions.
|
|
/// In this sense, the Mass Index is a volatility indicator that does not have a directional
|
|
/// bias. Instead, the Mass Index identifies range bulges that can foreshadow a reversal of the
|
|
/// current trend. Developed by Donald Dorsey.
|
|
/// </summary>
|
|
/// <seealso cref="TradeBarIndicator"/>
|
|
public class MassIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
|
|
{
|
|
private readonly ExponentialMovingAverage _ema1;
|
|
private readonly ExponentialMovingAverage _ema2;
|
|
private readonly Sum _sum;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="MassIndex"/> class.
|
|
/// </summary>
|
|
/// <param name="name">The name for this instance.</param>
|
|
/// <param name="emaPeriod">The period used by both EMA.</param>
|
|
/// <param name="sumPeriod">The sum period.</param>
|
|
public MassIndex(string name, int emaPeriod, int sumPeriod)
|
|
: base(name)
|
|
{
|
|
_ema1 = new ExponentialMovingAverage(emaPeriod);
|
|
_ema2 = _ema1.EMA(emaPeriod);
|
|
_sum = new Sum(sumPeriod);
|
|
WarmUpPeriod = 2 * (emaPeriod - 1) + sumPeriod;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="MassIndex"/> class.
|
|
/// </summary>
|
|
/// <param name="emaPeriod">The period used by both EMA.</param>
|
|
/// <param name="sumPeriod">The sum period.</param>
|
|
public MassIndex(int emaPeriod = 9, int sumPeriod = 25)
|
|
: this($"MASS({emaPeriod},{sumPeriod})", emaPeriod, sumPeriod)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a flag indicating when this indicator is ready and fully initialized
|
|
/// </summary>
|
|
public override bool IsReady => _sum.IsReady;
|
|
|
|
/// <summary>
|
|
/// Required period, in data points, for the indicator to be ready and fully initialized.
|
|
/// </summary>
|
|
public int WarmUpPeriod { get; }
|
|
|
|
/// <summary>
|
|
/// Resets this indicator to its initial state
|
|
/// </summary>
|
|
public override void Reset()
|
|
{
|
|
base.Reset();
|
|
_ema1.Reset();
|
|
_ema2.Reset();
|
|
_sum.Reset();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Computes the next value of this indicator from the given state
|
|
/// </summary>
|
|
/// <param name="input">The input given to the indicator</param>
|
|
/// <returns>
|
|
/// A new value for this indicator
|
|
/// </returns>
|
|
protected override decimal ComputeNextValue(TradeBar input)
|
|
{
|
|
_ema1.Update(input.EndTime, input.High - input.Low);
|
|
if (_ema2.IsReady)
|
|
{
|
|
_sum.Update(input.EndTime, _ema1.Current.Value.SafeDivision(_ema2.Current.Value));
|
|
}
|
|
|
|
if (!_sum.IsReady)
|
|
{
|
|
return _sum.Period;
|
|
}
|
|
return _sum.Current.Value;
|
|
}
|
|
}
|
|
} |