wehub-resource-sync
93 lines
3.7 KiB
C#
93 lines
3.7 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 the zero lag moving average indicator (ZLEMA)
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/// ie a technical indicator that aims is to eliminate the inherent lag associated to all trend
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/// following indicators which average a price over time.
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/// </summary>
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public class ZeroLagExponentialMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// An exponential moving average is used
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/// </summary>
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private readonly int _period;
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private readonly ExponentialMovingAverage _ema;
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private readonly Delay _delayedPrice;
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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 => _delayedPrice.IsReady && _ema.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 override int WarmUpPeriod => _period + (int)Math.Floor(((float)_period) / 2);
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/// <summary>
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/// Initializes a new instance of the ZeroLagMovingAverage 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 ZLEMA</param>
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public ZeroLagExponentialMovingAverage(string name, int period)
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: base(name, period)
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{
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_period = period;
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_ema = new ExponentialMovingAverage(name + "_EMA", period);
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_delayedPrice = new Delay((int)Math.Round((period - 1) / 2.0));
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}
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/// <summary>
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/// Initializes a new instance of the ZeroLagMovingAverage class with the default name and period
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/// </summary>
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/// <param name="period">The period of the ZLEMA</param>
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public ZeroLagExponentialMovingAverage(int period)
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: this($"ZLEMA({period})", period)
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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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_ema.Reset();
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_delayedPrice.Reset();
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base.Reset();
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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 (_delayedPrice.Update(input))
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{
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_ema.Update(input.EndTime, input.Value + (input.Value - _delayedPrice.Current));
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return _ema.Current.Value;
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}
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return 0;
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}
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}
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}
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