wehub-resource-sync
89 lines
3.5 KiB
C#
89 lines
3.5 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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/// This indicator computes the Triangular Moving Average (TRIMA).
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/// The Triangular Moving Average is calculated with the following formula:
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/// (1) When the period is even, TRIMA(x,period)=SMA(SMA(x,period/2),(period/2)+1)
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/// (2) When the period is odd, TRIMA(x,period)=SMA(SMA(x,(period+1)/2),(period+1)/2)
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/// </summary>
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public class TriangularMovingAverage : Indicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly int _period;
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private readonly SimpleMovingAverage _sma1;
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private readonly SimpleMovingAverage _sma2;
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/// <summary>
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/// Initializes a new instance of the <see cref="TriangularMovingAverage"/> class using 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 indicator</param>
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public TriangularMovingAverage(string name, int period)
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: base(name)
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{
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_period = period;
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var periodSma1 = period % 2 == 0 ? period / 2 : (period + 1) / 2;
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var periodSma2 = period % 2 == 0 ? period / 2 + 1 : (period + 1) / 2;
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_sma1 = new SimpleMovingAverage(name + "_1", periodSma1);
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_sma2 = new SimpleMovingAverage(name + "_2", periodSma2);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="TriangularMovingAverage"/> class using the specified period.
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/// </summary>
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/// <param name="period">The period of the indicator</param>
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public TriangularMovingAverage(int period)
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: this($"TRIMA({period})", period)
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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 >= _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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/// </summary>
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public int WarmUpPeriod => _period;
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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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_sma1.Update(input);
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_sma2.Update(_sma1.Current);
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return _sma2.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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_sma1.Reset();
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_sma2.Reset();
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base.Reset();
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}
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}
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} |