wehub-resource-sync
91 lines
3.2 KiB
C#
91 lines
3.2 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Represents an indicator capable of predicting new values given previous data from a window.
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/// Source: https://tulipindicators.org/tsf
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/// </summary>
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public class TimeSeriesForecast : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Creates a new TimeSeriesForecast indicator with the specified 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 over which to look back</param>
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public TimeSeriesForecast(string name, int period)
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: base(name, period)
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{
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if (period < 2)
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{
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throw new ArgumentException(Messages.RollingWindow.InvalidSize(2), nameof(period));
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}
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}
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/// <summary>
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/// Creates a new TimeSeriesForecast indicator with the specified period
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/// </summary>
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/// <param name="period">The period over which to look back</param>
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public TimeSeriesForecast(int period)
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: this($"TSF{period})", period)
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{
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input value to this indicator on this time step</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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if (!IsReady)
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{
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return 0;
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}
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// calculations are derived from https://tulipindicators.org/tsf
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decimal x1 = 0;
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decimal x2 = 0;
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decimal xy = 0;
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decimal y = 0;
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var i = Period - 1;
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for (; i > 0; i--)
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{
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x1 += i;
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x2 += i * i;
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xy += window[i].Value * (Period - i);
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y += window[i].Value;
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}
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x1 += Period;
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x2 += Period * Period;
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xy += window[0].Value * Period;
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y += window[0].Value;
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var bd = 1 / (Period * x2 - x1 * x1);
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var b = (Period * xy - x1 * y) * bd;
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var a = (y - b * x1) * (1m / Period);
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return a + b * (Period + 1);
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}
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}
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}
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