wehub-resource-sync
108 lines
4.1 KiB
C#
108 lines
4.1 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Represents the McGinley Dynamic (MGD)
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/// It is a type of moving average that was designed to track the market better
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/// than existing moving average indicators.
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/// It is a technical indicator that improves upon moving average lines by adjusting
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/// for shifts in market speed.
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/// </summary>
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public class McGinleyDynamic : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// A rolling sum for computing the average for the given period
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/// </summary>
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private readonly IndicatorBase<IndicatorDataPoint> _rollingSum;
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private readonly int _period;
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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 => _rollingSum.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 override int WarmUpPeriod => Period;
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/// <summary>
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/// Initializes a new instance of the McGinleyDynamic class with the specified name and period
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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 period of the McGinley Dynamic</param>
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public McGinleyDynamic(string name, int period)
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: base(name, period)
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{
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if (period == 0) throw new ArgumentException("Period can not be zero");
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_period = period;
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_rollingSum = new Sum(name + "_Sum", period);
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}
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/// <summary>
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/// Initializes a new instance of the McGinleyDynamic class with the default name and period
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/// </summary>
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/// <param name="period">The period of the McGinley Dynamic</param>
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public McGinleyDynamic(int period)
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: this($"MGD({period})", period)
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{
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input value to this indicator on this time step</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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_rollingSum.Update(input.EndTime, input.Value);
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if (!IsReady)
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{
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return 0;
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}
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if (Samples == _period)
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{
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return _rollingSum.Current.Value / _period;
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}
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if (Current.Value == 0 || input.Value == 0)
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{
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return Current.Value;
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}
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var ratioValue = (double)input.Value.SafeDivision(Current.Value, 0);
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if (ratioValue == 0) return Current.Value;
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var denominator = _period * (decimal)Math.Pow(ratioValue, 4.0);
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return Current.Value + (input.Value - Current.Value).SafeDivision(denominator, 0);
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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_rollingSum.Reset();
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base.Reset();
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}
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}
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}
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