Jared Broad
60 lines
2.3 KiB
C#
60 lines
2.3 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Represents the traditional simple moving average indicator (SMA)
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/// </summary>
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public class SimpleMovingAverage : WindowIndicator<IndicatorDataPoint>
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{
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private decimal _sum;
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/// <summary>
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/// Initializes a new instance of the SimpleMovingAverage 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 SMA</param>
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public SimpleMovingAverage(string name, int period)
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: base(name, period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the SimpleMovingAverage class with the default name and period
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/// </summary>
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/// <param name="period">The period of the SMA</param>
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public SimpleMovingAverage(int period)
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: this("SMA" + 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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_sum += input.Value;
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if (window.IsReady)
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{
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_sum -= window.MostRecentlyRemoved.Value;
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}
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return _sum / window.Count;
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}
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}
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} |