wehub-resource-sync
75 lines
3.0 KiB
C#
75 lines
3.0 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the n-period rate of change in a value using the following:
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/// (value_0 - value_n) / value_n
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/// </summary>
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public class RateOfChange : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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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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/// Our formula is Period + 1 because we need to fill the window and have one removed before
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/// it is ready.
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/// </summary>
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public int WarmUpPeriod => Period + 1;
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/// <summary>
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/// Creates a new RateOfChange indicator with the specified period
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/// </summary>
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/// <param name="period">The period over which to perform to computation</param>
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public RateOfChange(int period)
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: base($"ROC({period})", period)
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{
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}
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/// <summary>
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/// Creates a new RateOfChange 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 perform to computation</param>
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public RateOfChange(string name, int period)
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: base(name, 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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// if we're not ready just grab the first input point in the window
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var denominator = window.Samples <= window.Size ? window[window.Count - 1] : window.MostRecentlyRemoved;
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if (denominator.Value == 0)
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{
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return 0;
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}
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return (input.Value - denominator.Value) / denominator.Value;
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}
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}
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}
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