wehub-resource-sync
278 lines
9.9 KiB
C#
278 lines
9.9 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 System;
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using System.Linq;
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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 Swing Index (SI) as defined by Welles Wilder
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/// in his book 'New Concepts in Technical Trading Systems'.
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/// <para>
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/// SIₜ = 50 * ( N / R ) * ( K / T )
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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>N</term>
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/// <description>
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/// Equals: Cₜ - Cₜ₋₁ + 0.5 * (Cₜ - Oₜ) + 0.25 * (Cₜ₋₁ - Oₜ₋₁)
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/// <para>
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/// <i>See <see cref="GetNValue"/></i>
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/// </para>
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/// </description>
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/// </item>
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/// <item>
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/// <term>R</term>
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/// <description>
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/// Found by selecting the expression with the largest value and
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/// then using the corresponding formula.
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/// <para>
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/// Expression => Formula
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/// <list type="number">
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/// <item>
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/// <description>
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/// |Hₜ - Cₜ₋₁| => |Hₜ - Cₜ| - 0.5 * |Lₜ - Cₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|
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/// </description>
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/// </item>
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/// <item>
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/// <description>
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/// |Lₜ - Cₜ₋₁| => |Lₜ - Cₜ| - 0.5 * |Hₜ - Cₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|
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/// </description>
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/// </item>
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/// <item>
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/// <description>
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/// |Hₜ - Lₜ| => |Hₜ - Lₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|
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/// </description>
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/// </item>
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/// </list>
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/// </para>
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/// <para>
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/// <i>See <see cref="GetRValue"/></i>
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/// </para>
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/// </description>
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/// </item>
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/// <item>
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/// <term>K</term>
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/// <description>
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/// Found by selecting the larger of the two expressions:
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/// |Hₜ - Cₜ₋₁|, |Lₜ - Cₜ₋₁|
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/// <para>
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/// <i>See <see cref="GetKValue"/></i>
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/// </para>
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/// </description>
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/// </item>
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/// <item>
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/// <term>T</term>
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/// <description>
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/// The limit move, or the maximum change in price during the time
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/// period for the bar. Passed as limitMove via the constructor.
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/// <para>
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/// <i>See <see cref="T"/></i>
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/// </para>
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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="WilderAccumulativeSwingIndex"/>
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public class WilderSwingIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Holds the bar for the current period.
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/// </summary>
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protected IBaseDataBar _currentInput { get; private set; }
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/// <summary>
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/// Holds the bar for the previous period.
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/// </summary>
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protected IBaseDataBar _previousInput { get; private set; }
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/// <summary>
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/// Gets the value for T (the limit move value) set in the constructor.
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/// </summary>
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private readonly decimal T;
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/// <summary>
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/// Initializes a new instance of the <see cref="WilderSwingIndex"/> class using the specified name.
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/// </summary>
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/// <param name="name">A string for 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 WilderSwingIndex(string name, decimal limitMove)
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: base(name)
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{
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T = Math.Abs(limitMove);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="WilderSwingIndex"/> class using the default 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 WilderSwingIndex(decimal limitMove)
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: this("SI", limitMove)
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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 > 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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if (!IsReady)
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{
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_currentInput = input;
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return 0m;
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}
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_previousInput = _currentInput;
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_currentInput = input;
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var N = GetNValue();
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var R = GetRValue();
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var K = GetKValue();
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if (R == decimal.Zero || T == decimal.Zero)
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{
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return 0m;
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}
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return 50m * (N / R) * (K / T);
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}
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/// <summary>
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/// Gets the value for N.
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/// <para>
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/// N = Cₜ - Cₜ₋₁ + 0.5 * (Cₜ - Oₜ) + 0.25 * (Cₜ₋₁ - Oₜ₋₁)
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/// </para>
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/// </summary>
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private decimal GetNValue()
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{
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return (_currentInput.Close - _previousInput.Close)
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+ (0.5m * (_currentInput.Close - _currentInput.Open))
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+ (0.25m * (_previousInput.Close - _previousInput.Open));
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}
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/// <summary>
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/// Gets the value for R, determined by using the formula corresponding
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/// to the expression with the largest value.
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/// <para>
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/// <i>Expressions:</i>
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/// <list type="number">
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/// <item>
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/// <description>|Hₜ - Cₜ₋₁|</description>
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/// </item>
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/// <item>
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/// <description>|Lₜ - Cₜ₋₁|</description>
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/// </item>
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/// <item>
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/// <description>|Hₜ - Lₜ|</description>
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/// </item>
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/// </list>
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/// </para>
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/// <para>
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/// <i>Formulas:</i>
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/// <list type="number">
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/// <item>
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/// <description>|Hₜ - Cₜ₋₁| - 0.5 * |Lₜ - Cₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|</description>
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/// </item>
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/// <item>
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/// <description>|Lₜ - Cₜ₋₁| - 0.5 * |Hₜ - Cₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|</description>
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/// </item>
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/// <item>
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/// <description>|Hₜ - Lₜ| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|</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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private decimal GetRValue()
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{
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var expressions = new decimal[]
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{
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Math.Abs(_currentInput.High - _previousInput.Close),
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Math.Abs(_currentInput.Low - _previousInput.Close),
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Math.Abs(_currentInput.High - _currentInput.Low)
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};
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int expressionIndex = Array.IndexOf(expressions, expressions.Max());
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decimal result;
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switch (expressionIndex)
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{
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case 0:
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result = Math.Abs(_currentInput.High - _previousInput.Close)
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- Math.Abs(0.5m * (_currentInput.Low - _previousInput.Close))
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+ Math.Abs(0.25m * (_previousInput.Close - _previousInput.Open));
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break;
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case 1:
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result = Math.Abs(_currentInput.Low - _previousInput.Close)
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- Math.Abs(0.5m * (_currentInput.High - _previousInput.Close))
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+ Math.Abs(0.25m * (_previousInput.Close - _previousInput.Open));
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break;
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case 2:
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result = Math.Abs(_currentInput.High - _currentInput.Low)
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+ Math.Abs(0.25m * (_previousInput.Close - _previousInput.Open));
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break;
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default:
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result = 0m;
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break;
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}
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return result;
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}
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/// <summary>
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/// Gets the value for K, which is equal to the larger of the two following expressions.
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/// <para>
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/// <i>Expressions:</i>
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/// <list type="number">
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/// <item>
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/// <description>|Hₜ - Cₜ₋₁|</description>
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/// </item>
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/// <item>
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/// <description>|Lₜ - Cₜ₋₁|</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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private decimal GetKValue()
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{
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var values = new decimal[]
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{
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_currentInput.High - _previousInput.Close,
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_currentInput.Low - _previousInput.Close
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};
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return values.Max(x => Math.Abs(x));
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}
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}
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}
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