wehub-resource-sync
112 lines
3.9 KiB
C#
112 lines
3.9 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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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator calculates the Accumulative Swing Index (ASI) as defined by
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/// Welles Wilder in his book 'New Concepts in Technical Trading Systems'.
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/// <para>
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/// ASIₜ = ASIₜ₋₁ + SIₜ
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/// </para>
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/// <para>
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/// Where:
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/// <list type="bullet">
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/// <item>
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/// <term>ASIₜ₋₁</term>
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/// <description>
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/// The <see cref="WilderAccumulativeSwingIndex"/> for the previous period.
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/// </description>
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/// </item>
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/// <item>
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/// <term>SIₜ</term>
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/// <description>
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/// The <see cref="WilderSwingIndex"/> calculated for the current period.
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/// </description>
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/// </item>
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/// </list>
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/// </para>
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/// </summary>
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/// <seealso cref="WilderSwingIndex"/>
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public class WilderAccumulativeSwingIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// The Swing Index (SI) used in calculating the Accumulative Swing Index.
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/// </summary>
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private readonly WilderSwingIndex _si;
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/// <summary>
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/// Initializes a new instance of the <see cref="WilderAccumulativeSwingIndex"/> class using the specified name.
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/// </summary>
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/// <param name="limitMove">A decimal representing the limit move value for the period.</param>
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public WilderAccumulativeSwingIndex(decimal limitMove)
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: this ("ASI", limitMove)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="WilderAccumulativeSwingIndex"/> class using the specified name.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="limitMove">A decimal representing the limit move value for the period.</param>
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public WilderAccumulativeSwingIndex(string name, decimal limitMove)
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: base (name)
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{
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_si = new WilderSwingIndex(limitMove);
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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 > 1;
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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 => 2;
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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(TradeBar input)
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{
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var isReady = _si.Update(input);
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if (isReady)
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{
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return IsReady
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? Current.Value + _si.Current.Value
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: _si.Current.Value;
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}
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else
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{
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return 0m;
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}
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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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_si.Reset();
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base.Reset();
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}
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}
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} |