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LinearWeightedMovingAverage.cs
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LinearWeightedMovingAverage.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;
namespace QuantConnect.Indicators
{
/// <summary>
/// Represents the traditional Weighted Moving Average indicator. The weight are linearly
/// distributed according to the number of periods in the indicator.
///
/// For example, a 4 period indicator will have a numerator of (4 * window[0]) + (3 * window[1]) + (2 * window[2]) + window[3]
/// and a denominator of 4 + 3 + 2 + 1 = 10
///
/// During the warm up period, IsReady will return false, but the LWMA will still be computed correctly because
/// the denominator will be the minimum of Samples factorial or Size factorial and
/// the computation iterates over that minimum value.
///
/// The RollingWindow of inputs is created when the indicator is created.
/// A RollingWindow of LWMAs is not saved. That is up to the caller.
/// </summary>
public class LinearWeightedMovingAverage : WindowIndicator<IndicatorDataPoint>
{
/// <summary>
/// Initializes a new instance of the LinearWeightedMovingAverage class with the specified name and period
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the LWMA</param>
public LinearWeightedMovingAverage(string name, int period)
: base(name, period)
{
}
/// <summary>
/// Initializes a new instance of the LinearWeightedMovingAverage class with the default name and period
/// </summary>
/// <param name="period">The period of the LWMA</param>
public LinearWeightedMovingAverage(int period)
: this("LWMA" + period, period)
{
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="window">The window of data held in this indicator</param>
/// <param name="input">The input value to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
{
decimal numerator = 0m;
long denominator = 0;
// The denominator is calculated each time in case the Size is less than the period.
// There may be a more efficient way of calculating the factorial.
for (int i = 0; i <= window.Size; i++)
{
denominator += i;
}
// our first data point just return identity
if (window.Size == 1)
{
return input.Value;
}
long index = window.Size;
// If the indicator is not ready, the LWMA will still be correct
// because the numerator has the minimum of the Size (number of
// entries or the Samples (the allocated space)
long minSizeSamples = (long)Math.Min(window.Size, window.Samples);
for (long i = 0; i < minSizeSamples; i++)
{
decimal x = (index-- * window[(int)i]);
numerator += x;
}
//System.Diagnostics.Debug.WriteLine(string.Format("LWMA = {0}", (smooth/denominator)));
return numerator / denominator;
}
}
}