/* * 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 { /// /// The signal for the Relative Vigor Index, itself an indicator. /// public class RelativeVigorIndexSignal : Indicator, IIndicatorWarmUpPeriodProvider { private readonly RollingWindow _rollingRvi; /// /// Initializes the signal term. /// /// protected internal RelativeVigorIndexSignal(string name) : base(name) // Accessibility set to prevent out-of-scope use { WarmUpPeriod = 3; _rollingRvi = new RollingWindow(3); } /// /// Gets a flag indicating when this indicator is ready and fully initialized /// public override bool IsReady => _rollingRvi.IsReady; /// /// Resets this indicator to its initial state /// public int WarmUpPeriod { get; } /// /// 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) { if (IsReady) { var output = (input.Value + 2 * (_rollingRvi[0] + _rollingRvi[1]) + _rollingRvi[2]) / 6; _rollingRvi.Add(input); return output; } _rollingRvi.Add(input); return 0m; } /// /// Resets this indicator to its initial state /// public override void Reset() { base.Reset(); _rollingRvi.Reset(); } } }