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DonchianChannel.cs
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DonchianChannel.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 QuantConnect.Data.Market;
namespace QuantConnect.Indicators
{
/// <summary>
/// This indicator computes the upper and lower band of the Donchian Channel.
/// The upper band is computed by finding the highest high over the given period.
/// The lower band is computed by finding the lowest low over the given period.
/// The primary output value of the indicator is the mean of the upper and lower band for
/// the given timeframe.
/// </summary>
public class DonchianChannel : BarIndicator
{
private IBaseDataBar _previousInput;
/// <summary>
/// Gets the upper band of the Donchian Channel.
/// </summary>
public IndicatorBase<IndicatorDataPoint> UpperBand { get; private set; }
/// <summary>
/// Gets the lower band of the Donchian Channel.
/// </summary>
public IndicatorBase<IndicatorDataPoint> LowerBand { get; private set; }
/// <summary>
/// Initializes a new instance of the <see cref="DonchianChannel"/> class.
/// </summary>
/// <param name="name">The name.</param>
/// <param name="period">The period for both the upper and lower channels.</param>
public DonchianChannel(string name, int period)
: this(name, period, period)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="DonchianChannel"/> class.
/// </summary>
/// <param name="name">The name.</param>
/// <param name="upperPeriod">The period for the upper channel.</param>
/// <param name="lowerPeriod">The period for the lower channel</param>
public DonchianChannel(string name, int upperPeriod, int lowerPeriod)
: base(name)
{
UpperBand = new Maximum(name + "_UpperBand", upperPeriod);
LowerBand = new Minimum(name + "_LowerBand", lowerPeriod);
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return UpperBand.IsReady && LowerBand.IsReady; }
}
/// <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, which by convention is the mean value of the upper band and lower band.</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
if (_previousInput != null)
{
UpperBand.Update(new IndicatorDataPoint(_previousInput.Time, _previousInput.High));
LowerBand.Update(new IndicatorDataPoint(_previousInput.Time, _previousInput.Low));
}
_previousInput = input;
return (UpperBand.Current.Value + LowerBand.Current.Value) / 2;
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
UpperBand.Reset();
LowerBand.Reset();
}
}
}