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AverageDirectionalIndex.cs
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AverageDirectionalIndex.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using QuantConnect.Data.Market;
namespace QuantConnect.Indicators
{
/// <summary>
/// This indicator computes Average Directional Index which measures trend strength without regard to trend direction.
/// Firstly, it calculates the Directional Movement and the True Range value, and then the values are accumulated and smoothed
/// using a custom smoothing method proposed by Wilder. For an n period smoothing, 1/n of each period's value is added to the total period.
/// From these accumulated values we are therefore able to derived the 'Positive Directional Index' (+DI) and 'Negative Directional Index' (-DI)
/// which is used to calculate the Average Directional Index.
/// Computation source:
/// https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx
/// </summary>
public class AverageDirectionalIndex : BarIndicator
{
private readonly int _period;
private readonly IndicatorBase<IBaseDataBar> _trueRange;
private readonly IndicatorBase<IBaseDataBar> _directionalMovementPlus;
private readonly IndicatorBase<IBaseDataBar> _directionalMovementMinus;
private readonly IndicatorBase<IndicatorDataPoint> _smoothedTrueRange;
private readonly IndicatorBase<IndicatorDataPoint> _smoothedDirectionalMovementPlus;
private readonly IndicatorBase<IndicatorDataPoint> _smoothedDirectionalMovementMinus;
private readonly IndicatorBase<IndicatorDataPoint> _averageDirectionalIndex;
private IBaseDataBar _previousInput;
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady => _averageDirectionalIndex.IsReady;
/// <summary>
/// Gets the index of the Plus Directional Indicator
/// </summary>
/// <value>
/// The index of the Plus Directional Indicator.
/// </value>
public IndicatorBase<IndicatorDataPoint> PositiveDirectionalIndex { get; }
/// <summary>
/// Gets the index of the Minus Directional Indicator
/// </summary>
/// <value>
/// The index of the Minus Directional Indicator.
/// </value>
public IndicatorBase<IndicatorDataPoint> NegativeDirectionalIndex { get; }
/// <summary>
/// Initializes a new instance of the <see cref="AverageDirectionalIndex"/> class.
/// </summary>
/// <param name="name">The name.</param>
/// <param name="period">The period.</param>
public AverageDirectionalIndex(string name, int period)
: base(name)
{
_period = period;
_trueRange = new FunctionalIndicator<IBaseDataBar>(name + "_TrueRange",
input => ComputeTrueRange(input),
isReady => _previousInput != null
);
_directionalMovementPlus = new FunctionalIndicator<IBaseDataBar>(name + "_PositiveDirectionalMovement",
input => ComputePositiveDirectionalMovement(input),
isReady => _previousInput != null
);
_directionalMovementMinus = new FunctionalIndicator<IBaseDataBar>(name + "_NegativeDirectionalMovement",
input => ComputeNegativeDirectionalMovement(input),
isReady => _previousInput != null
);
PositiveDirectionalIndex = new FunctionalIndicator<IndicatorDataPoint>(name + "_PositiveDirectionalIndex",
input =>
{
// Computes the Plus Directional Indicator(+DI period).
if (_smoothedTrueRange != 0 && _smoothedDirectionalMovementPlus.IsReady)
{
return 100m * _smoothedDirectionalMovementPlus / _smoothedTrueRange;
}
return 0m;
},
positiveDirectionalIndex => _smoothedDirectionalMovementPlus.IsReady,
() =>
{
_directionalMovementPlus.Reset();
_trueRange.Reset();
}
);
NegativeDirectionalIndex = new FunctionalIndicator<IndicatorDataPoint>(name + "_NegativeDirectionalIndex",
input =>
{
// Computes the Minus Directional Indicator(-DI period).
if (_smoothedTrueRange != 0 && _smoothedDirectionalMovementMinus.IsReady)
{
return 100m * _smoothedDirectionalMovementMinus / _smoothedTrueRange;
}
return 0m;
},
negativeDirectionalIndex => _smoothedDirectionalMovementMinus.IsReady,
() =>
{
_directionalMovementMinus.Reset();
_trueRange.Reset();
}
);
_smoothedTrueRange = new FunctionalIndicator<IndicatorDataPoint>(name + "_SmoothedTrueRange",
input =>
{
// Computes the Smoothed True Range value.
var value = Samples > _period + 1 ? _smoothedTrueRange / _period : 0m;
return _smoothedTrueRange + _trueRange - value;
},
isReady => Samples > period
);
_smoothedDirectionalMovementPlus = new FunctionalIndicator<IndicatorDataPoint>(name + "_SmoothedDirectionalMovementPlus",
input =>
{
// Computes the Smoothed Directional Movement Plus value.
var value = Samples > _period + 1 ? _smoothedDirectionalMovementPlus / _period : 0m;
return _smoothedDirectionalMovementPlus + _directionalMovementPlus - value;
},
isReady => Samples > period
);
_smoothedDirectionalMovementMinus = new FunctionalIndicator<IndicatorDataPoint>(name + "_SmoothedDirectionalMovementMinus",
input =>
{
// Computes the Smoothed Directional Movement Minus value.
var value = Samples > _period + 1 ? _smoothedDirectionalMovementMinus / _period : 0m;
return _smoothedDirectionalMovementMinus + _directionalMovementMinus - value;
},
isReady => Samples > period
);
_averageDirectionalIndex = new WilderMovingAverage(period);
}
/// <summary>
/// Computes the True Range value.
/// </summary>
/// <param name="input">The input.</param>
/// <returns></returns>
private decimal ComputeTrueRange(IBaseDataBar input)
{
if (_previousInput == null) return 0m;
var range1 = input.High - input.Low;
var range2 = Math.Abs(input.High - _previousInput.Close);
var range3 = Math.Abs(input.Low - _previousInput.Close);
return Math.Max(range1, Math.Max(range2, range3));
}
/// <summary>
/// Computes the positive directional movement.
/// </summary>
/// <param name="input">The input.</param>
/// <returns></returns>
private decimal ComputePositiveDirectionalMovement(IBaseDataBar input)
{
if (_previousInput != null &&
input.High > _previousInput.High &&
input.High - _previousInput.High >= _previousInput.Low - input.Low)
{
return input.High - _previousInput.High;
}
return 0m;
}
/// <summary>
/// Computes the negative directional movement.
/// </summary>
/// <param name="input">The input.</param>
/// <returns></returns>
private decimal ComputeNegativeDirectionalMovement(IBaseDataBar input)
{
if (_previousInput != null &&
_previousInput.Low > input.Low &&
_previousInput.Low - input.Low > input.High - _previousInput.High)
{
return _previousInput.Low - input.Low;
}
return 0m;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
_trueRange.Update(input);
_directionalMovementPlus.Update(input);
_directionalMovementMinus.Update(input);
_smoothedTrueRange.Update(Current);
_smoothedDirectionalMovementPlus.Update(Current);
_smoothedDirectionalMovementMinus.Update(Current);
_previousInput = input;
PositiveDirectionalIndex.Update(Current);
NegativeDirectionalIndex.Update(Current);
var diff = Math.Abs(PositiveDirectionalIndex - NegativeDirectionalIndex);
var sum = PositiveDirectionalIndex + NegativeDirectionalIndex;
if (sum == 0) return 50m;
_averageDirectionalIndex.Update(input.EndTime, 100m * diff / sum);
return _averageDirectionalIndex;
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
_previousInput = null;
_trueRange.Reset();
_directionalMovementPlus.Reset();
_directionalMovementMinus.Reset();
_smoothedTrueRange.Reset();
_smoothedDirectionalMovementPlus.Reset();
_smoothedDirectionalMovementMinus.Reset();
_averageDirectionalIndex.Reset();
PositiveDirectionalIndex.Reset();
NegativeDirectionalIndex.Reset();
}
}
}