wehub-resource-sync
79 lines
3.1 KiB
C#
79 lines
3.1 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Represents the traditional simple moving average indicator (SMA)
|
|
/// </summary>
|
|
public class SimpleMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
|
|
{
|
|
/// <summary>
|
|
/// A rolling sum for computing the average for the given period
|
|
/// </summary>
|
|
public IndicatorBase<IndicatorDataPoint> RollingSum { get; }
|
|
|
|
/// <summary>
|
|
/// Gets a flag indicating when this indicator is ready and fully initialized
|
|
/// </summary>
|
|
public override bool IsReady => RollingSum.IsReady;
|
|
|
|
/// <summary>
|
|
/// Resets this indicator to its initial state
|
|
/// </summary>
|
|
public override void Reset()
|
|
{
|
|
RollingSum.Reset();
|
|
base.Reset();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the SimpleMovingAverage class with the specified name and period
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="period">The period of the SMA</param>
|
|
public SimpleMovingAverage(string name, int period)
|
|
: base(name, period)
|
|
{
|
|
RollingSum = new Sum(name + "_Sum", period);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the SimpleMovingAverage class with the default name and period
|
|
/// </summary>
|
|
/// <param name="period">The period of the SMA</param>
|
|
public SimpleMovingAverage(int period)
|
|
: this($"SMA({period})", period)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Computes the next value for this indicator from the given state.
|
|
/// </summary>
|
|
/// <param name="window">The window of data held in this indicator</param>
|
|
/// <param name="input">The input value to this indicator on this time step</param>
|
|
/// <returns>A new value for this indicator</returns>
|
|
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
|
|
{
|
|
RollingSum.Update(input.EndTime, input.Value);
|
|
return RollingSum.Current.Value / window.Count;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Required period, in data points, for the indicator to be ready and fully initialized.
|
|
/// </summary>
|
|
public int WarmUpPeriod => Period;
|
|
}
|
|
} |