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AccumulationDistribution.cs
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AccumulationDistribution.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 Accumulation/Distribution (AD)
/// The Accumulation/Distribution is calculated using the following formula:
/// AD = AD + ((Close - Low) - (High - Close)) / (High - Low) * Volume
/// </summary>
public class AccumulationDistribution : TradeBarIndicator
{
/// <summary>
/// Initializes a new instance of the <see cref="AccumulationDistribution"/> class using the specified name.
/// </summary>
/// <param name="name">The name of this indicator</param>
public AccumulationDistribution(string name)
: base(name)
{
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return Samples > 0; }
}
/// <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(TradeBar input)
{
var range = input.High - input.Low;
return Current.Value + (range > 0 ? ((input.Close - input.Low) - (input.High - input.Close)) / range * input.Volume : 0m);
}
}
}