wehub-resource-sync
86 lines
3.3 KiB
C#
86 lines
3.3 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the n-period mean absolute deviation.
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/// </summary>
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public class MeanAbsoluteDeviation : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Gets the mean used to compute the deviation
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> Mean { get; }
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/// <summary>
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/// Initializes a new instance of the MeanAbsoluteDeviation class with the specified period.
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///
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/// Evaluates the mean absolute deviation of samples in the lookback period.
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/// </summary>
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/// <param name="period">The sample size of the standard deviation</param>
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public MeanAbsoluteDeviation(int period)
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: this($"MAD({period})", period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the MeanAbsoluteDeviation class with the specified period.
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///
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/// Evaluates the mean absolute deviation of samples in the look-back period.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The sample size of the mean absolute deviation</param>
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public MeanAbsoluteDeviation(string name, int period)
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: base(name, period)
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{
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Mean = new SimpleMovingAverage($"{name}_Mean", period);
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}
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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 => Samples >= Period;
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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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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="input">The input given to the indicator</param>
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/// <param name="window">The window for the input history</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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Mean.Update(input);
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return Samples < 2 ? 0m : window.Average(v => Math.Abs(v.Value - Mean.Current.Value));
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}
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/// <summary>
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/// Resets this indicator and its sub-indicator Mean to their initial state
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/// </summary>
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public override void Reset()
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{
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Mean.Reset();
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base.Reset();
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}
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}
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} |