wehub-resource-sync
98 lines
3.7 KiB
C#
98 lines
3.7 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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/// Represents the relative moving average indicator (RMA).
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/// RMA = SMA(3 x Period) - SMA(2 x Period) + SMA(1 x Period) per formula:
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/// https://www.hybrid-solutions.com/plugins/client-vtl-plugins/free/rma.html
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/// </summary>
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public class RelativeMovingAverage : Indicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Gets the Short Term SMA with 1 x Period of RMA
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/// </summary>
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public SimpleMovingAverage ShortAverage { get; }
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/// <summary>
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/// Gets the Medium Term SMA with 2 x Period of RMA
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/// </summary>
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public SimpleMovingAverage MediumAverage { get; }
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/// <summary>
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/// Gets the Long Term SMA with 3 x Period of RMA
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/// </summary>
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public SimpleMovingAverage LongAverage { get; }
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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 => LongAverage.IsReady;
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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 => LongAverage.WarmUpPeriod;
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/// <summary>
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/// Initializes a new instance of the RelativeMovingAverage class with 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 RMA</param>
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public RelativeMovingAverage(string name, int period)
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: base(name)
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{
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ShortAverage = new SimpleMovingAverage(name + "_Short", period);
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MediumAverage = new SimpleMovingAverage(name + "_Medium", period * 2);
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LongAverage = new SimpleMovingAverage(name + "_Long", period * 3);
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}
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/// <summary>
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/// Initializes a new instance of the SimpleMovingAverage class with the default name and period
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/// </summary>
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/// <param name="period"></param>
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public RelativeMovingAverage(int period)
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: this($"RMA({period})", 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="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(IndicatorDataPoint input)
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{
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ShortAverage.Update(input);
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MediumAverage.Update(input);
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LongAverage.Update(input);
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return LongAverage.Current.Value - MediumAverage.Current.Value + ShortAverage.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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base.Reset();
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ShortAverage.Reset();
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MediumAverage.Reset();
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LongAverage.Reset();
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}
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}
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}
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