wehub-resource-sync
84 lines
3.1 KiB
C#
84 lines
3.1 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 moving average indicator defined by Welles Wilder in his book:
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/// New Concepts in Technical Trading Systems.
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/// </summary>
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public class WilderMovingAverage : Indicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly decimal _k;
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private readonly int _period;
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private readonly IndicatorBase<IndicatorDataPoint> _sma;
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/// <summary>
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/// Initializes a new instance of the WilderMovingAverage 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 Wilder Moving Average</param>
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public WilderMovingAverage(string name, int period)
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: base(name)
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{
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_period = period;
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_k = 1m / period;
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_sma = new SimpleMovingAverage(name + "_SMA", period);
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}
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/// <summary>
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/// Initializes a new instance of the WilderMovingAverage class with the default name and period
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/// </summary>
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/// <param name="period">The period of the Wilder Moving Average</param>
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public WilderMovingAverage(int period)
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: this("WWMA" + 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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/// 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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_sma.Reset();
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base.Reset();
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}
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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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_sma.Update(input);
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return _sma.Current.Value;
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}
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return input.Value * _k + Current.Value * (1 - _k);
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}
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}
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} |