/*
* 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
{
///
/// This indicator computes the Percentage Price Oscillator (PPO)
/// The Percentage Price Oscillator is calculated using the following formula:
/// PPO[i] = 100 * (FastMA[i] - SlowMA[i]) / SlowMA[i]
///
public class PercentagePriceOscillator : AbsolutePriceOscillator
{
///
/// Initializes a new instance of the class using the specified name and parameters.
///
/// The name of this indicator
/// The fast moving average period
/// The slow moving average period
/// The type of moving average to use
public PercentagePriceOscillator(string name, int fastPeriod, int slowPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name, fastPeriod, slowPeriod, movingAverageType)
{
}
///
/// Initializes a new instance of the class using the specified parameters.
///
/// The fast moving average period
/// The slow moving average period
/// The type of moving average to use
public PercentagePriceOscillator(int fastPeriod, int slowPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple)
: this($"PPO({fastPeriod},{slowPeriod})", fastPeriod, slowPeriod, movingAverageType)
{
}
///
/// Computes the next value of this indicator from the given state
///
/// The input given to the indicator
/// A new value for this indicator
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
var value = base.ComputeNextValue(input);
return Slow != 0 ? 100 * value / Slow.Current.Value : 0m;
}
}
}