wehub-resource-sync
105 lines
4.0 KiB
C#
105 lines
4.0 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.Linq;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Represents an indicator capable of tracking the minimum value and how many periods ago it occurred
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/// </summary>
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public class Minimum : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// The number of periods since the minimum value was encountered
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/// </summary>
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public int PeriodsSinceMinimum { get; private set; }
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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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/// Creates a new Minimum indicator with the specified period
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/// </summary>
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/// <param name="period">The period over which to look back</param>
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public Minimum(int period)
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: base($"MIN({period})", period)
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{
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}
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/// <summary>
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/// Creates a new Minimum indicator with the specified 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 over which to look back</param>
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public Minimum(string name, int period)
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: base(name, period)
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{
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}
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/// <inheritdoc />
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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if (Samples == 1 || input.Value <= Current.Value)
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{
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// our first sample or if we're bigger than our previous indicator value
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// reset the periods since minimum (it's this period) and return the value
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PeriodsSinceMinimum = 0;
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return input.Value;
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}
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if (PeriodsSinceMinimum >= Period - 1)
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{
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// at this point we need to find a new minimum
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// the window enumerates from most recent to oldest
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// so let's scour the window for the max and it's index
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// this could be done more efficiently if we were to intelligently keep track of the 'next'
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// minimum, so when one falls off, we have the other... but then we would also need the 'next, next'
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// minimum, so on and so forth, for now this works.
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var minimum = window.Select((v, i) => new
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{
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Value = v,
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Index = i
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}).OrderBy(x => x.Value.Value).First();
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PeriodsSinceMinimum = minimum.Index;
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return minimum.Value.Value;
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}
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// if we made it here then we didn't see a new minimum and we haven't reached our period limit,
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// so just increment our periods since minimum and return the same value as we had before
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PeriodsSinceMinimum++;
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return Current.Value;
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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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PeriodsSinceMinimum = 0;
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base.Reset();
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}
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}
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} |