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MeanAbsoluteDeviation.cs
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MeanAbsoluteDeviation.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;
using System.Linq;
namespace QuantConnect.Indicators
{
/// <summary>
/// This indicator computes the n-period mean absolute deviation.
/// </summary>
public class MeanAbsoluteDeviation : WindowIndicator<IndicatorDataPoint>
{
/// <summary>
/// Gets the mean used to compute the deviation
/// </summary>
public IndicatorBase<IndicatorDataPoint> Mean { get; private set; }
/// <summary>
/// Initializes a new instance of the MeanAbsoluteDeviation class with the specified period.
///
/// Evaluates the mean absolute deviation of samples in the lookback period.
/// </summary>
/// <param name="period">The sample size of the standard deviation</param>
public MeanAbsoluteDeviation(int period)
: this("MAD" + period, period)
{
}
/// <summary>
/// Initializes a new instance of the MeanAbsoluteDeviation class with the specified period.
///
/// Evaluates the mean absolute deviation of samples in the lookback period.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The sample size of the mean absoluate deviation</param>
public MeanAbsoluteDeviation(string name, int period)
: base(name, period)
{
Mean = MovingAverageType.Simple.AsIndicator(string.Format("{0}_{1}", name, "Mean"), period);
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return Samples >= Period; }
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <param name="window">The window for the input history</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
{
Mean.Update(input);
if (Samples < 2)
{
return 0m;
}
return window.Average(v => Math.Abs(v - Mean.Current.Value));
}
/// <summary>
/// Resets this indicator and its sub-indicator Mean to their initial state
/// </summary>
public override void Reset()
{
Mean.Reset();
base.Reset();
}
}
}