/*
* 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 QuantConnect.Data.Market;
namespace QuantConnect.Indicators
{
///
/// The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his
/// book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then
/// smoothes the TrueRange over a given period.
///
/// TrueRange is defined as the maximum of the following:
/// High - Low
/// ABS(High - PreviousClose)
/// ABS(Low - PreviousClose)
///
public class AverageTrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
{
private IBaseDataBar _previous;
/// This indicator is used to smooth the TrueRange computation
/// This is not exposed publicly since it is the same value as this indicator, meaning
/// that this '_smoother' computers the ATR directly, so exposing it publicly would be duplication
private readonly IndicatorBase _smoother;
///
/// Gets the true range which is the more volatile calculation to be smoothed by this indicator
///
public IndicatorBase TrueRange { get; }
///
/// Gets a flag indicating when this indicator is ready and fully initialized
///
public override bool IsReady => _smoother.IsReady;
///
/// Required period, in data points, for the indicator to be ready and fully initialized.
///
public int WarmUpPeriod { get; }
///
/// Creates a new AverageTrueRange indicator using the specified period and moving average type
///
/// The name of this indicator
/// The smoothing period used to smooth the true range values
/// The type of smoothing used to smooth the true range values
public AverageTrueRange(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
: base(name)
{
WarmUpPeriod = period;
_smoother = movingAverageType.AsIndicator($"{name}_{movingAverageType}", period);
TrueRange = new FunctionalIndicator(name + "_TrueRange", currentBar =>
{
// in our ComputeNextValue function we'll just call the ComputeTrueRange
var nextValue = ComputeTrueRange(_previous, currentBar);
_previous = currentBar;
return nextValue;
} // in our IsReady function we just need at least one sample
, trueRangeIndicator => trueRangeIndicator.Samples >= 1
);
}
///
/// Creates a new AverageTrueRange indicator using the specified period and moving average type
///
/// The smoothing period used to smooth the true range values
/// The type of smoothing used to smooth the true range values
public AverageTrueRange(int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
: this($"ATR({period})", period, movingAverageType)
{
}
///
/// Computes the TrueRange from the current and previous trade bars
///
/// TrueRange is defined as the maximum of the following:
/// High - Low
/// ABS(High - PreviousClose)
/// ABS(Low - PreviousClose)
///
/// The previous trade bar
/// The current trade bar
/// The true range
public static decimal ComputeTrueRange(IBaseDataBar previous, IBaseDataBar current)
{
var range1 = current.High - current.Low;
if (previous == null)
{
return range1;
}
var range2 = Math.Abs(current.High - previous.Close);
var range3 = Math.Abs(current.Low - previous.Close);
return Math.Max(range1, Math.Max(range2, range3));
}
///
/// 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(IBaseDataBar input)
{
// compute the true range and then send it to our smoother
TrueRange.Update(input);
_smoother.Update(input.Time, TrueRange);
return _smoother.Current.Value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
_previous = null;
_smoother.Reset();
TrueRange.Reset();
base.Reset();
}
}
}