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SwissArmyKnife.cs
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SwissArmyKnife.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;
using System;
namespace QuantConnect.Indicators
{
/// <summary>
/// The tools of the Swiss Army Knife. Some of the tools lend well to chaining with the "Of" Method, others may be treated as moving averages
/// </summary>
public enum SwissArmyKnifeTool
{
/// <summary>
/// Two Pole Guassian Filter
/// </summary>
Gauss,
/// <summary>
/// Two Pole Butterworth Filter
/// </summary>
Butter,
/// <summary>
/// High Pass Filter
/// </summary>
HighPass,
/// <summary>
/// Two Pole High Pass Filter
/// </summary>
TwoPoleHighPass,
/// <summary>
/// BandPass Filter
/// </summary>
BandPass,
}
/// <summary>
/// Swiss Army Knife indicator by John Ehlers
/// </summary>
public class SwissArmyKnife : Indicator
{
RollingWindow<double> _price;
RollingWindow<double> _filt;
SwissArmyKnifeTool _tool;
double _period = 20;
double _delta = 0.1;
double _c0 = 1;
double _c1 = 0;
double _b0 = 1;
double _b1 = 0;
double _b2 = 0;
double _a0 = 1;
double _a1 = 0;
double _a2 = 0;
/// <summary>
/// Swiss Army Knife indicator by John Ehlers
/// </summary>
/// <param name="period"></param>
/// <param name="delta"></param>
/// <param name="tool"></param>
public SwissArmyKnife(int period, double delta, SwissArmyKnifeTool tool)
: this("Swiss" + period, period, delta, tool)
{
}
/// <summary>
/// Swiss Army Knife indicator by John Ehlers
/// </summary>
/// <param name="name"></param>
/// <param name="period"></param>
/// <param name="delta"></param>
/// <param name="tool"></param>
public SwissArmyKnife(string name, int period, double delta, SwissArmyKnifeTool tool)
: base(name)
{
_period = period;
_tool = tool;
_delta = delta;
_filt = new RollingWindow<double>(2) { 0.0, 0.0 };
_price = new RollingWindow<double>(3);
double alpha;
double beta;
double gamma;
if (_tool == SwissArmyKnifeTool.Gauss)
{
beta = 2.415 * (1 - Math.Cos(2 * Math.PI / _period));
alpha = -beta + Math.Sqrt(Math.Pow(beta, 2) + 2d * beta);
_c0 = alpha * alpha;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
}
if (_tool == SwissArmyKnifeTool.Butter)
{
beta = 2.415 * (1 - Math.Cos(2 * Math.PI / _period));
alpha = -beta + Math.Sqrt(Math.Pow(beta, 2) + 2d * beta);
_c0 = alpha * alpha / 4d;
_b1 = 2;
_b2 = 1;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
}
if (_tool == SwissArmyKnifeTool.HighPass)
{
alpha = (Math.Cos(2 * Math.PI / _period) + Math.Sin(2 * Math.PI / _period) - 1) / Math.Cos(2 * Math.PI / _period);
_c0 = (1 + alpha) / 2;
_b1 = -1;
_a1 = 1 - alpha;
}
if (_tool == SwissArmyKnifeTool.TwoPoleHighPass)
{
beta = 2.415 * (1 - Math.Cos(2 * Math.PI / _period));
alpha = -beta + Math.Sqrt(Math.Pow(beta, 2) + 2d * beta);
_c0 = (1 + alpha) * (1 + alpha) / 4;
_b1 = -2;
_b2 = 1;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
}
if (_tool == SwissArmyKnifeTool.BandPass)
{
beta = Math.Cos(2 * Math.PI / _period);
gamma = (1 / Math.Cos(4 * Math.PI * _delta / _period));
alpha = gamma - Math.Sqrt(Math.Pow(gamma, 2) - 1);
_c0 = (1 - alpha) / 2d;
_b0 = 1;
_b2 = -1;
_a1 = -beta * (1 - alpha);
_a2 = alpha;
}
}
/// <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>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_price.Add((double)input.Price);
if (_price.Samples == 1)
{
_price.Add(_price[0]);
_price.Add(_price[0]);
}
double signal = _a0 * _c0 * (_b0 * _price[0] + _b1 * _price[1] + _b2 * _price[2]) + _a0 * (_a1 * _filt[0] + _a2 * _filt[1]);
_filt.Add(signal);
return (decimal)signal;
}
/// <summary>
/// Resets to the initial state
/// </summary>
public override void Reset()
{
_period = 20;
_delta = 0.1;
_filt = new RollingWindow<double>(2) { 0.0, 0.0 };
_price = new RollingWindow<double>(3);
base.Reset();
}
}
}