TriangularMovingAverage.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.
*/
 
namespace QuantConnect.Indicators
{
    /// <summary>
    /// This indicator computes the Triangular Moving Average (TRIMA). 
    /// The Triangular Moving Average is calculated with the following formula:
    /// (1) When the period is even, TRIMA(x,period)=SMA(SMA(x,period/2),(period/2)+1)
    /// (2) When the period is odd,  TRIMA(x,period)=SMA(SMA(x,(period+1)/2),(period+1)/2)
    /// </summary>
    public class TriangularMovingAverage : Indicator, IIndicatorWarmUpPeriodProvider
    {
        private readonly int _period;
        private readonly SimpleMovingAverage _sma1;
        private readonly SimpleMovingAverage _sma2;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="TriangularMovingAverage"/> class using the specified name and period.
        /// </summary> 
        /// <param name="name">The name of this indicator</param>
        /// <param name="period">The period of the indicator</param>
        public TriangularMovingAverage(string name, int period)
            : base(name)
        {
            _period = period;
 
            var periodSma1 = period % 2 == 0 ? period / 2 : (period + 1) / 2;
            var periodSma2 = period % 2 == 0 ? period / 2 + 1 : (period + 1) / 2;
 
            _sma1 = new SimpleMovingAverage(name + "_1", periodSma1);
            _sma2 = new SimpleMovingAverage(name + "_2", periodSma2);
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="TriangularMovingAverage"/> class using the specified period.
        /// </summary> 
        /// <param name="period">The period of the indicator</param>
        public TriangularMovingAverage(int period)
            : this($"TRIMA({period})", period)
        {
        }
 
        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady => Samples >= _period;
 
        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod => _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)
        {
            _sma1.Update(input);
            _sma2.Update(_sma1.Current);
 
            return _sma2.Current.Value;
        }
 
        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            _sma1.Reset();
            _sma2.Reset();
            base.Reset();
        }
    }
}