wehub-resource-sync
74 lines
2.5 KiB
C#
74 lines
2.5 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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/// The signal for the Relative Vigor Index, itself an indicator.
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/// </summary>
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public class RelativeVigorIndexSignal : Indicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly RollingWindow<IndicatorDataPoint> _rollingRvi;
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/// <summary>
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/// Initializes the signal term.
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/// </summary>
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/// <param name="name"></param>
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protected internal RelativeVigorIndexSignal(string name)
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: base(name) // Accessibility set to prevent out-of-scope use
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{
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WarmUpPeriod = 3;
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_rollingRvi = new RollingWindow<IndicatorDataPoint>(3);
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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 => _rollingRvi.IsReady;
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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 int WarmUpPeriod { get; }
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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(IndicatorDataPoint input)
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{
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if (IsReady)
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{
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var output = (input.Value + 2 * (_rollingRvi[0] + _rollingRvi[1]) + _rollingRvi[2]) / 6;
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_rollingRvi.Add(input);
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return output;
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}
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_rollingRvi.Add(input);
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return 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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base.Reset();
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_rollingRvi.Reset();
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}
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}
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}
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