AlexCatarino
95faf69c72
- Consistently use QuantConnect/Lean naming convention for method variables; - Use `IND(PARAM1,PARAM2, ..., PARAMN)` format for indicators. Indicators that are created by a helper method become: `IND(PARAM1,PARAM2, ..., PARAMN, SYMBOL_res)`. - Fixes `RegressionChannelTest`.
101 lines
3.7 KiB
C#
101 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 QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Mass Index uses the high-low range to identify trend reversals based on range expansions.
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/// In this sense, the Mass Index is a volatility indicator that does not have a directional
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/// bias. Instead, the Mass Index identifies range bulges that can foreshadow a reversal of the
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/// current trend. Developed by Donald Dorsey.
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/// </summary>
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/// <seealso cref="IndicatorBase{TradeBar}"/>
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public class MassIndex : IndicatorBase<TradeBar>, IIndicatorWarmUpPeriodProvider
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{
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private readonly ExponentialMovingAverage _ema1;
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private readonly ExponentialMovingAverage _ema2;
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private readonly Sum _sum;
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/// <summary>
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/// Initializes a new instance of the <see cref="MassIndex"/> class.
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/// </summary>
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/// <param name="name">The name for this instance.</param>
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/// <param name="emaPeriod">The period used by both EMA.</param>
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/// <param name="sumPeriod">The sum period.</param>
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public MassIndex(string name, int emaPeriod, int sumPeriod)
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: base(name)
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{
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_ema1 = new ExponentialMovingAverage(emaPeriod);
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_ema2 = _ema1.EMA(emaPeriod);
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_sum = new Sum(sumPeriod);
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WarmUpPeriod = 2 * (emaPeriod - 1) + sumPeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="MassIndex"/> class.
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/// </summary>
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/// <param name="emaPeriod">The period used by both EMA.</param>
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/// <param name="sumPeriod">The sum period.</param>
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public MassIndex(int emaPeriod = 9, int sumPeriod = 25)
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: this($"MASS({emaPeriod},{sumPeriod})", emaPeriod, sumPeriod)
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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 => _sum.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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/// 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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base.Reset();
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_ema1.Reset();
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_ema2.Reset();
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_sum.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>
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/// A new value for this indicator
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/// </returns>
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protected override decimal ComputeNextValue(TradeBar input)
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{
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_ema1.Update(input.Time, input.High - input.Low);
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if (_ema2.IsReady)
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{
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_sum.Update(input.Time, _ema1.Current / _ema2.Current);
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}
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if (!_sum.IsReady)
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{
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return _sum.Period;
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}
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return _sum;
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}
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}
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} |