LinearWeightedMovingAverage.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 System.Linq;
 
namespace QuantConnect.Indicators
{
    /// <summary>
    /// Represents the traditional Weighted Moving Average indicator. The weight are linearly
    /// distributed according to the number of periods in the indicator.
    ///
    /// For example, a 4 period indicator will have a numerator of (4 * window[0]) + (3 * window[1]) + (2 * window[2]) + window[3]
    /// and a denominator of 4 + 3 + 2 + 1 = 10
    ///
    /// During the warm up period, IsReady will return false, but the LWMA will still be computed correctly because
    /// the denominator will be the minimum of Samples factorial or Size factorial and
    /// the computation iterates over that minimum value.
    ///
    /// The RollingWindow of inputs is created when the indicator is created.
    /// A RollingWindow of LWMAs is not saved.  That is up to the caller.
    /// </summary>
    public class LinearWeightedMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
    {
        private readonly int _denominator;
        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod => Period;
 
        /// <summary>
        /// Initializes a new instance of the LinearWeightedMovingAverage class with the specified name and period
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        /// <param name="period">The period of the LWMA</param>
        public LinearWeightedMovingAverage(string name, int period)
            : base(name, period)
        {
            _denominator = (period * (period + 1)) / 2;
        }
 
        /// <summary>
        /// Initializes a new instance of the LinearWeightedMovingAverage class with the default name and period
        /// </summary>
        /// <param name="period">The period of the LWMA</param>
        public LinearWeightedMovingAverage(int period)
            : this($"LWMA({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)
        {
            // our first data point just return identity
            if (!IsReady)
            {
                return 0;
            }
 
            var numerator = 0m;
            var index = window.Size;
 
            // If the indicator is not ready, the LWMA will still be correct
            // because the numerator has the minimum of the Size (number of
            // entries or the Samples (the allocated space)
            var minSizeSamples = (int)Math.Min(index, window.Samples);
            for (var i = 0; i < minSizeSamples; i++)
            {
                numerator += (index-- * window[i].Value);
            }
            return numerator / _denominator;
        }
    }
}