/*
* 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.Linq;
namespace QuantConnect.Indicators
{
///
/// Represents an indicator capable of tracking the minimum value and how many periods ago it occurred
///
public class Minimum : WindowIndicator, IIndicatorWarmUpPeriodProvider
{
///
/// The number of periods since the minimum value was encountered
///
public int PeriodsSinceMinimum { get; private set; }
///
/// Gets a flag indicating when this indicator is ready and fully initialized
///
public override bool IsReady => Samples >= Period;
///
/// Required period, in data points, for the indicator to be ready and fully initialized.
///
public int WarmUpPeriod => Period;
///
/// Creates a new Minimum indicator with the specified period
///
/// The period over which to look back
public Minimum(int period)
: base($"MIN({period})", period)
{
}
///
/// Creates a new Minimum indicator with the specified period
///
/// The name of this indicator
/// The period over which to look back
public Minimum(string name, int period)
: base(name, period)
{
}
///
protected override decimal ComputeNextValue(IReadOnlyWindow window, IndicatorDataPoint input)
{
if (Samples == 1 || input.Value <= Current.Value)
{
// our first sample or if we're bigger than our previous indicator value
// reset the periods since minimum (it's this period) and return the value
PeriodsSinceMinimum = 0;
return input.Value;
}
if (PeriodsSinceMinimum >= Period - 1)
{
// at this point we need to find a new minimum
// the window enumerates from most recent to oldest
// so let's scour the window for the max and it's index
// this could be done more efficiently if we were to intelligently keep track of the 'next'
// minimum, so when one falls off, we have the other... but then we would also need the 'next, next'
// minimum, so on and so forth, for now this works.
var minimum = window.Select((v, i) => new
{
Value = v,
Index = i
}).OrderBy(x => x.Value.Value).First();
PeriodsSinceMinimum = minimum.Index;
return minimum.Value.Value;
}
// if we made it here then we didn't see a new minimum and we haven't reached our period limit,
// so just increment our periods since minimum and return the same value as we had before
PeriodsSinceMinimum++;
return Current.Value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
PeriodsSinceMinimum = 0;
base.Reset();
}
}
}