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CommodityChannelIndex.cs
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CommodityChannelIndex.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>
/// Represents the traditional commodity channel index (CCI)
///
/// CCI = (Typical Price - 20-period SMA of TP) / (.015 * Mean Deviation)
/// Typical Price (TP) = (High + Low + Close)/3
/// Constant = 0.015
///
/// There are four steps to calculating the Mean Deviation, first, subtract
/// the most recent 20-period average of the typical price from each period's
/// typical price. Second, take the absolute values of these numbers. Third,
/// sum the absolute values. Fourth, divide by the total number of periods (20).
/// </summary>
public class CommodityChannelIndex : BarIndicator
{
/// <summary>This constant is used to ensure that CCI values fall between +100 and -100, 70% to 80% of the time</summary>
private const decimal _k = 0.015m;
/// <summary>
/// Gets the type of moving average
/// </summary>
public MovingAverageType MovingAverageType { get; private set; }
/// <summary>
/// Keep track of the simple moving average of the typical price
/// </summary>
public IndicatorBase<IndicatorDataPoint> TypicalPriceAverage { get; private set; }
/// <summary>
/// Keep track of the mean absolute deviation of the typical price
/// </summary>
public IndicatorBase<IndicatorDataPoint> TypicalPriceMeanDeviation { get; private set; }
/// <summary>
/// Initializes a new instance of the CommodityChannelIndex class
/// </summary>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public CommodityChannelIndex(int period, MovingAverageType movingAverageType = MovingAverageType.Simple)
: this("CCI" + period, period, movingAverageType)
{
}
/// <summary>
/// Initializes a new instance of the CommodityChannelIndex class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public CommodityChannelIndex(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
MovingAverageType = movingAverageType;
TypicalPriceAverage = movingAverageType.AsIndicator(name + "_TypicalPriceAvg", period);
TypicalPriceMeanDeviation = new MeanAbsoluteDeviation(name + "_TypicalPriceMAD", period);
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return TypicalPriceAverage.IsReady && TypicalPriceMeanDeviation.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</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
decimal typicalPrice = (input.High + input.Low + input.Close)/3.0m;
TypicalPriceAverage.Update(input.Time, typicalPrice);
TypicalPriceMeanDeviation.Update(input.Time, typicalPrice);
// compare this to zero, since if the mean deviation is very small we can get
// precision errors due to non-floating point math
var weightedMeanDeviation = _k * TypicalPriceMeanDeviation.Current;
if (weightedMeanDeviation == 0.0m)
{
return 0.0m;
}
return (typicalPrice - TypicalPriceAverage.Current)/weightedMeanDeviation;
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
TypicalPriceAverage.Reset();
TypicalPriceMeanDeviation.Reset();
base.Reset();
}
}
}