wehub-resource-sync
97 lines
3.5 KiB
C#
97 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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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Williams %R, or just %R, is the current closing price in relation to the high and low of
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/// the past N days (for a given N). The value of this indicator fluctuates between -100 and 0.
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/// The symbol is said to be oversold when the oscillator is below -80%,
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/// and overbought when the oscillator is above -20%.
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/// </summary>
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public class WilliamsPercentR : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Gets the Maximum indicator
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/// </summary>
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public Maximum Maximum { get; }
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/// <summary>
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/// Gets the Minimum indicator
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/// </summary>
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public Minimum Minimum { get; }
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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 => Maximum.IsReady && Minimum.IsReady;
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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 { get; }
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/// <summary>
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/// Creates a new Williams %R.
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/// </summary>
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/// <param name="period">The look-back period to determine the Williams %R</param>
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public WilliamsPercentR(int period)
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: this($"WILR({period})", period)
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{
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}
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/// <summary>
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/// Creates a new Williams %R.
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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 look-back period to determine the Williams %R</param>
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public WilliamsPercentR(string name, int period)
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: base(name)
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{
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Maximum = new Maximum(name + "_Max", period);
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Minimum = new Minimum(name + "_Min", period);
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WarmUpPeriod = period;
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}
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/// <summary>
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/// Resets this indicator and both sub-indicators (Max and Min)
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/// </summary>
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public override void Reset()
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{
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Maximum.Reset();
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Minimum.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(IBaseDataBar input)
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{
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Minimum.Update(input.EndTime, input.Low);
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Maximum.Update(input.EndTime, input.High);
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if (!IsReady) return 0;
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var range = Maximum.Current.Value - Minimum.Current.Value;
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return range == 0 ? 0 : -100m * (Maximum.Current.Value - input.Close) / range;
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}
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}
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} |