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KeltnerChannels.cs
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KeltnerChannels.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 creates a moving average (middle band) with an upper band and lower band
/// fixed at k average true range multiples away from the middle band.
/// </summary>
public class KeltnerChannels : BarIndicator
{
private readonly decimal _k;
/// <summary>
/// Gets the middle band of the channel
/// </summary>
public IndicatorBase<IndicatorDataPoint> MiddleBand
{
get; private set;
}
/// <summary>
/// Gets the upper band of the channel
/// </summary>
public IndicatorBase<IBaseDataBar> UpperBand
{
get; private set;
}
/// <summary>
/// Gets the lower band of the channel
/// </summary>
public IndicatorBase<IBaseDataBar> LowerBand
{
get; private set;
}
/// <summary>
/// Gets the average true range
/// </summary>
public IndicatorBase<IBaseDataBar> AverageTrueRange
{
get; private set;
}
/// <summary>
/// Initializes a new instance of the KeltnerChannels class
/// </summary>
/// <param name="period">The period of the average true range and moving average (middle band)</param>
/// <param name="k">The number of multiplies specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public KeltnerChannels(int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: this(string.Format("KC({0},{1})", period, k), period, k, movingAverageType)
{
}
/// <summary>
/// Initializes a new instance of the KeltnerChannels class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the average true range and moving average (middle band)</param>
/// <param name="k">The number of multiples specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public KeltnerChannels(string name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
_k = k;
//Initialise ATR and SMA
AverageTrueRange = new AverageTrueRange(name + "_AverageTrueRange", period, MovingAverageType.Simple);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
//Compute Lower Band
LowerBand = new FunctionalIndicator<IBaseDataBar>(name + "_LowerBand",
input => ComputeLowerBand(),
lowerBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
//Compute Upper Band
UpperBand = new FunctionalIndicator<IBaseDataBar>(name + "_UpperBand",
input => ComputeUpperBand(),
upperBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return MiddleBand.IsReady && UpperBand.IsReady && LowerBand.IsReady && AverageTrueRange.IsReady; }
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
AverageTrueRange.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close)/3m;
MiddleBand.Update(input.Time, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return MiddleBand;
}
/// <summary>
/// Calculates the lower band
/// </summary>
private decimal ComputeLowerBand()
{
return MiddleBand.IsReady ? MiddleBand - AverageTrueRange*_k : new decimal(0.0);
}
/// <summary>
/// Calculates the upper band
/// </summary>
private decimal ComputeUpperBand()
{
return MiddleBand.IsReady ? MiddleBand + AverageTrueRange*_k : new decimal(0.0);
}
}
}