wehub-resource-sync
301 lines
12 KiB
C#
301 lines
12 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 QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Parabolic SAR Extended Indicator
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/// Based on TA-Lib implementation
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/// </summary>
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public class ParabolicStopAndReverseExtended : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private bool _isLong;
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private IBaseDataBar _previousBar;
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private decimal _sar;
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private decimal _extremepoint;
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private decimal _outputSar;
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private decimal _afShort;
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private decimal _afLong;
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private readonly decimal _sarInit;
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private readonly decimal _offsetOnReverse;
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private readonly decimal _afInitShort;
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private readonly decimal _afIncrementShort;
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private readonly decimal _afMaxShort;
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private readonly decimal _afInitLong;
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private readonly decimal _afIncrementLong;
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private readonly decimal _afMaxLong;
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/// <summary>
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/// Create a new Parabolic SAR Extended
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/// </summary>
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/// <param name="name">The name of the Parabolic Stop and Reverse Extended indicator</param>
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/// <param name="sarStart">The starting value for the Parabolic Stop and Reverse indicator</param>
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/// <param name="offsetOnReverse">The offset value to be applied on reverse </param>
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/// <param name="afStartShort">The starting acceleration factor for short positions</param>
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/// <param name="afIncrementShort">The increment value for the acceleration factor for short positions</param>
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/// <param name="afMaxShort">The maximum value for the acceleration factor for short positions</param>
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/// <param name="afStartLong">The starting acceleration factor for long positions</param>
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/// <param name="afIncrementLong">The increment value for the acceleration factor for long positions</param>
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/// <param name="afMaxLong">The maximum value for the acceleration factor for long positions</param>
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public ParabolicStopAndReverseExtended(string name, decimal sarStart = 0.0m, decimal offsetOnReverse = 0.0m,
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decimal afStartShort = 0.02m, decimal afIncrementShort = 0.02m, decimal afMaxShort = 0.2m,
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decimal afStartLong = 0.02m, decimal afIncrementLong = 0.02m, decimal afMaxLong = 0.2m) : base(name)
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{
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_sarInit = sarStart;
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_offsetOnReverse = offsetOnReverse;
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_afShort = _afInitShort = afStartShort;
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_afIncrementShort = afIncrementShort;
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_afMaxShort = afMaxShort;
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_afLong = _afInitLong = afStartLong;
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_afIncrementLong = afIncrementLong;
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_afMaxLong = afMaxLong;
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}
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/// <summary>
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/// Create a new Parabolic SAR Extended
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/// </summary>
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/// <param name="sarStart">The starting value for the Parabolic Stop and Reverse indicator</param>
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/// <param name="offsetOnReverse">The offset value to be applied on reverse </param>
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/// <param name="afStartShort">The starting acceleration factor for short positions</param>
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/// <param name="afIncrementShort">The increment value for the acceleration factor for short positions</param>
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/// <param name="afMaxShort">The maximum value for the acceleration factor for short positions</param>
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/// <param name="afStartLong">The starting acceleration factor for long positions</param>
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/// <param name="afIncrementLong">The increment value for the acceleration factor for long positions</param>
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/// <param name="afMaxLong">The maximum value for the acceleration factor for long positions</param>
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public ParabolicStopAndReverseExtended(decimal sarStart = 0.0m, decimal offsetOnReverse = 0.0m,
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decimal afStartShort = 0.02m, decimal afIncrementShort = 0.02m, decimal afMaxShort = 0.2m,
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decimal afStartLong = 0.02m, decimal afIncrementLong = 0.02m, decimal afMaxLong = 0.2m)
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: this($"SAREXT({sarStart},{offsetOnReverse},{afStartShort},{afIncrementShort},{afMaxShort},{afStartLong},{afIncrementLong},{afMaxLong})",
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sarStart, offsetOnReverse, afStartShort, afIncrementShort, afMaxShort, afStartLong, afIncrementLong, afMaxLong)
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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 >= 2;
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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 => 2;
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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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_afShort = _afInitShort;
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_afLong = _afInitLong;
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base.Reset();
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}
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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 trade bar 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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// On the first iteration, we can't compute a valid SAR value yet,
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// so we save the current bar and return the initial SAR if provided,
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// or fall back to a realistic price (input.Close) to maintain continuity
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if (Samples == 1)
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{
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_previousBar = input;
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// Makes sense to return _sarInit when its non-zero
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if (_sarInit != 0)
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return _sarInit;
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// Otherwise, return default
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return input.Close;
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}
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// On second iteration we initiate the position of extreme point SAR
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if (Samples == 2)
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{
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Init(input);
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_previousBar = input;
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}
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if (_isLong)
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HandleLongPosition(input);
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else
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HandleShortPosition(input);
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_previousBar = input;
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return _outputSar;
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}
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/// <summary>
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/// Initialize the indicator values
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/// </summary>
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private void Init(IBaseDataBar currentBar)
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{
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// initialize starting sar value
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if (_sarInit > 0)
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{
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_isLong = true;
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_sar = _sarInit;
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}
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else if (_sarInit < 0)
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{
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_isLong = false;
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_sar = Math.Abs(_sarInit);
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}
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// same set up as standard PSAR when _sarInit = 0
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else
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{
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_isLong = !HasNegativeDM(currentBar);
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_sar = _isLong ? _previousBar.Low : _previousBar.High;
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}
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// initialize extreme point
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_extremepoint = _isLong ? currentBar.High : currentBar.Low;
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}
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/// <summary>
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/// Returns true if Directional Movement (DM) > 0 between today and yesterday's tradebar (false otherwise)
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/// </summary>
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private bool HasNegativeDM(IBaseDataBar currentBar)
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{
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if (currentBar.Low >= _previousBar.Low)
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return false;
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var highDiff = currentBar.High - _previousBar.High;
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var lowDiff = _previousBar.Low - currentBar.Low;
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return highDiff < lowDiff;
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}
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/// <summary>
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/// Calculate indicator value when the position is long
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/// </summary>
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private void HandleLongPosition(IBaseDataBar currentBar)
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{
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// Switch to short if the low penetrates the SAR value.
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if (currentBar.Low <= _sar)
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{
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// Switch and Overide the SAR with the ep
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_isLong = false;
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_sar = _extremepoint;
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// Make sure the overide SAR is within yesterday's and today's range.
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_sar = AdjustSARForHighs(_sar, _previousBar.High, currentBar.High);
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// Output the overide SAR
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if (_offsetOnReverse != 0.0m)
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_sar += _sar * _offsetOnReverse;
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_outputSar = -_sar;
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// Adjust af and ep
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_afShort = _afInitShort;
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_extremepoint = currentBar.Low;
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// Calculate the new SAR
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_sar = _sar + _afShort * (_extremepoint - _sar);
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// Make sure the new SAR is within yesterday's and today's range.
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_sar = AdjustSARForHighs(_sar, _previousBar.High, currentBar.High);
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}
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// No switch
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else
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{
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// Output the SAR (was calculated in the previous iteration)
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_outputSar = _sar;
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// Adjust af and ep.
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if (currentBar.High > _extremepoint)
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{
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_extremepoint = currentBar.High;
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_afLong += _afIncrementLong;
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if (_afLong > _afMaxLong)
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_afLong = _afMaxLong;
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}
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// Calculate the new SAR
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_sar = _sar + _afLong * (_extremepoint - _sar);
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// Make sure the new SAR is within yesterday's and today's range.
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_sar = AdjustSARForLows(_sar, _previousBar.Low, currentBar.Low);
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}
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}
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/// <summary>
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/// Calculate indicator value when the position is short
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/// </summary>
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private void HandleShortPosition(IBaseDataBar currentBar)
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{
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// Switch to long if the high penetrates the SAR value.
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if (currentBar.High >= _sar)
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{
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// Switch and overide the SAR with the ep
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_isLong = true;
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_sar = _extremepoint;
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// Make sure the overide SAR is within yesterday's and today's range.
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_sar = AdjustSARForLows(_sar, _previousBar.Low, currentBar.Low);
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// Output the overide SAR
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if (_offsetOnReverse != 0.0m)
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_sar -= _sar * _offsetOnReverse;
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_outputSar = _sar;
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// Adjust af and ep
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_afLong = _afInitLong;
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_extremepoint = currentBar.High;
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// Calculate the new SAR
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_sar = _sar + _afLong * (_extremepoint - _sar);
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// Make sure the new SAR is within yesterday's and today's range.
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_sar = AdjustSARForLows(_sar, _previousBar.Low, currentBar.Low);
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}
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//No switch
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else
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{
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// Output the SAR (was calculated in the previous iteration)
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_outputSar = -_sar;
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// Adjust af and ep.
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if (currentBar.Low < _extremepoint)
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{
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_extremepoint = currentBar.Low;
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_afShort += _afIncrementShort;
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if (_afShort > _afMaxShort)
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_afShort = _afMaxShort;
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}
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// Calculate the new SAR
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_sar = _sar + _afShort * (_extremepoint - _sar);
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// Make sure the new SAR is within yesterday's and today's range.
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_sar = AdjustSARForHighs(_sar, _previousBar.High, currentBar.High);
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}
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}
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private static decimal AdjustSARForHighs(decimal sar, decimal previousBar, decimal currentBar)
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{
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sar = Math.Max(sar, previousBar);
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sar = Math.Max(sar, currentBar);
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return sar;
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}
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private static decimal AdjustSARForLows(decimal sar, decimal previousBar, decimal currentBar)
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{
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sar = Math.Min(sar, previousBar);
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sar = Math.Min(sar, currentBar);
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return sar;
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}
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}
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} |