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SimpleMovingAverage.cs
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SimpleMovingAverage.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.
*/
namespace QuantConnect.Indicators
{
/// <summary>
/// Represents the traditional simple moving average indicator (SMA)
/// </summary>
public class SimpleMovingAverage : WindowIndicator<IndicatorDataPoint>
{
/// <summary>A rolling sum for computing the average for the given period</summary>
public IndicatorBase<IndicatorDataPoint> RollingSum { get; private set; }
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady{
get { return RollingSum.IsReady; }
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset() {
RollingSum.Reset();
base.Reset();
}
/// <summary>
/// Initializes a new instance of the SimpleMovingAverage class with the specified name and period
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the SMA</param>
public SimpleMovingAverage(string name, int period)
: base(name, period)
{
RollingSum = new Sum(name + "_Sum", period);
}
/// <summary>
/// Initializes a new instance of the SimpleMovingAverage class with the default name and period
/// </summary>
/// <param name="period">The period of the SMA</param>
public SimpleMovingAverage(int period)
: this("SMA" + 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)
{
RollingSum.Update(input.Time, input.Value);
return RollingSum.Current.Value / window.Count;
}
}
}