ParabolicStopAndReverse.cs

/*
 * 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 QuantConnect.Data.Market;

namespace QuantConnect.Indicators
{
    /// <summary>
    /// Parabolic SAR Indicator 
    /// Based on TA-Lib implementation
    /// </summary>
    public class ParabolicStopAndReverse : BarIndicator
    {
        private bool _isLong;
        private IBaseDataBar _previousBar;
        private decimal _sar;
        private decimal _ep;
        private decimal _outputSar;
        private decimal _af;
        private readonly decimal _afInit;
        private readonly decimal _afMax;
        private readonly decimal _afIncrement;

        /// <summary>
        /// Create new Parabolic SAR
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        /// <param name="afStart">Acceleration factor start value</param>
        /// <param name="afIncrement">Acceleration factor increment value</param>
        /// <param name="afMax">Acceleration factor max value</param>
        public ParabolicStopAndReverse(string name, decimal afStart = 0.02m, decimal afIncrement = 0.02m, decimal afMax = 0.2m)
            : base(name)
        {
            _afInit = afStart;
            _af = afStart;
            _afIncrement = afIncrement;
            _afMax = afMax;
        }

        /// <summary>
        /// Create new Parabolic SAR
        /// </summary>
        /// <param name="afStart">Acceleration factor start value</param>
        /// <param name="afIncrement">Acceleration factor increment value</param>
        /// <param name="afMax">Acceleration factor max value</param>
        public ParabolicStopAndReverse(decimal afStart = 0.02m, decimal afIncrement = 0.02m, decimal afMax = 0.2m)
            : this(string.Format("PSAR({0},{1},{2})", afStart, afIncrement, afMax), afStart, afIncrement, afMax)
        {
        }

        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady
        {
            get { return Samples >= 2; }
        }

        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            _af = _afInit;
            base.Reset();
        }

        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// </summary>
        /// <param name="input">The trade bar input given to the indicator</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(IBaseDataBar input)
        {
            // On first iteration we can’t produce an SAR value so we save the current bar and return zero
            if (Samples == 1)
            {
                _previousBar = input;

                // return a value that's close to where we will be, returning 0 doesn't make sense
                return input.Close;
            }

            // On second iteration we initiate the position the extreme point and the SAR
            if (Samples == 2)
            {
                Init(input);
                _previousBar = input;
                return _sar;
            }

            if (_isLong)
            {
                HandleLongPosition(input);
            }
            else
            {
                HandleShortPosition(input);
            }

            _previousBar = input;

            return _outputSar;
        }

        /// <summary>
        /// Initialize the indicator values 
        /// </summary>
        private void Init(IBaseDataBar currentBar)
        {
            // init position
            _isLong = currentBar.Close >= _previousBar.Close;


            // init sar and Extreme price
            if (_isLong)
            {
                _ep = Math.Min(currentBar.High, _previousBar.High);
                _sar = _previousBar.Low;
            }
            else
            {
                _ep = Math.Min(currentBar.Low, _previousBar.Low);
                _sar = _previousBar.High;
            }
        }

        /// <summary>
        /// Calculate indicator value when the position is long
        /// </summary>
        private void HandleLongPosition(IBaseDataBar currentBar)
        {
            // Switch to short if the low penetrates the SAR value.
            if (currentBar.Low <= _sar)
            {
                // Switch and Overide the SAR with the ep
                _isLong = false;
                _sar = _ep;

                // Make sure the overide SAR is within yesterday's and today's range.
                if (_sar < _previousBar.High)
                    _sar = _previousBar.High;
                if (_sar < currentBar.High)
                    _sar = currentBar.High;

                // Output the overide SAR 
                _outputSar = _sar;

                // Adjust af and ep
                _af = _afInit;
                _ep = currentBar.Low;

                // Calculate the new SAR
                _sar = _sar + _af * (_ep - _sar);

                // Make sure the new SAR is within yesterday's and today's range.
                if (_sar < _previousBar.High)
                    _sar = _previousBar.High;
                if (_sar < currentBar.High)
                    _sar = currentBar.High;

            }

            // No switch
            else
            {
                // Output the SAR (was calculated in the previous iteration) 
                _outputSar = _sar;

                // Adjust af and ep.
                if (currentBar.High > _ep)
                {
                    _ep = currentBar.High;
                    _af += _afIncrement;
                    if (_af > _afMax)
                        _af = _afMax;
                }

                // Calculate the new SAR
                _sar = _sar + _af * (_ep - _sar);

                // Make sure the new SAR is within yesterday's and today's range.
                if (_sar > _previousBar.Low)
                    _sar = _previousBar.Low;
                if (_sar > currentBar.Low)
                    _sar = currentBar.Low;
            }
        }

        /// <summary>
        /// Calculate indicator value when the position is short
        /// </summary>
        private void HandleShortPosition(IBaseDataBar currentBar)
        {
            // Switch to long if the high penetrates the SAR value.
            if (currentBar.High >= _sar)
            {
                // Switch and Overide the SAR with the ep
                _isLong = true;
                _sar = _ep;

                // Make sure the overide SAR is within yesterday's and today's range.
                if (_sar > _previousBar.Low)
                    _sar = _previousBar.Low;
                if (_sar > currentBar.Low)
                    _sar = currentBar.Low;

                // Output the overide SAR 
                _outputSar = _sar;

                // Adjust af and ep
                _af = _afInit;
                _ep = currentBar.High;

                // Calculate the new SAR
                _sar = _sar + _af * (_ep - _sar);

                // Make sure the new SAR is within yesterday's and today's range.
                if (_sar > _previousBar.Low)
                    _sar = _previousBar.Low;
                if (_sar > currentBar.Low)
                    _sar = currentBar.Low;
            }

            //No switch
            else
            {
                // Output the SAR (was calculated in the previous iteration)
                _outputSar = _sar;

                // Adjust af and ep.
                if (currentBar.Low < _ep)
                {
                    _ep = currentBar.Low;
                    _af += _afIncrement;
                    if (_af > _afMax)
                        _af = _afMax;
                }

                // Calculate the new SAR
                _sar = _sar + _af * (_ep - _sar);

                // Make sure the new SAR is within yesterday's and today's range.
                if (_sar < _previousBar.High)
                    _sar = _previousBar.High;
                if (_sar < currentBar.High)
                    _sar = currentBar.High;
            }
        }
    }
}