wehub-resource-sync
104 lines
3.8 KiB
C#
104 lines
3.8 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 QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the Normalized Average True Range (NATR).
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/// The Normalized Average True Range is calculated with the following formula:
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/// NATR = (ATR(period) / Close) * 100
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/// </summary>
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public class NormalizedAverageTrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly int _period;
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private readonly TrueRange _tr;
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private readonly AverageTrueRange _atr;
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private decimal _lastAtrValue;
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/// <summary>
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/// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using 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 NATR</param>
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public NormalizedAverageTrueRange(string name, int period) :
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base(name)
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{
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_period = period;
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_tr = new TrueRange(name + "_TR");
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_atr = new AverageTrueRange(name + "_ATR", period, MovingAverageType.Simple);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified period.
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/// </summary>
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/// <param name="period">The period of the NATR</param>
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public NormalizedAverageTrueRange(int period)
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: this($"NATR({period})", period)
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{
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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 + 1;
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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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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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_tr.Update(input);
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if (!IsReady)
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{
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_atr.Update(input);
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return input.Close != 0 ? _atr.Current.Value / input.Close * 100 : 0m;
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}
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if (Samples == _period + 1)
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{
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// first output value is SMA of TrueRange
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_atr.Update(input);
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_lastAtrValue = _atr.Current.Value;
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}
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else
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{
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// next TrueRange values are smoothed using Wilder's approach
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_lastAtrValue = (_lastAtrValue * (_period - 1) + _tr.Current.Value) / _period;
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}
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return input.Close != 0 ? _lastAtrValue / input.Close * 100 : 0m;
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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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_tr.Reset();
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_atr.Reset();
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base.Reset();
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}
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}
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} |