CoppockCurve.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.
*/

using System;

namespace QuantConnect.Indicators
{
    /// <summary>
    /// A momentum indicator developed by Edwin “Sedge” Coppock in October 1965.
    /// The goal of this indicator is to identify long-term buying opportunities in the S&amp;P500 and Dow Industrials.
    /// Source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:coppock_curve
    /// </summary>
    public class CoppockCurve : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
    {
        private readonly RateOfChangePercent _longRoc;
        private readonly LinearWeightedMovingAverage _lwma;
        private readonly RateOfChangePercent _shortRoc;

        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady => _lwma.IsReady;

        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod { get; }

        /// <summary>
        /// Initializes a new instance of the <see cref="CoppockCurve" /> indicator with its default values.
        /// </summary>
        public CoppockCurve()
            : this(11,14,10)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="CoppockCurve"/> indicator
        /// </summary>
        /// <param name="shortRocPeriod">The period for the short ROC</param>
        /// <param name="longRocPeriod">The period for the long ROC</param>
        /// <param name="lwmaPeriod">The period for the LWMA</param>
        public CoppockCurve(int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
            : this($"CC({shortRocPeriod},{longRocPeriod},{lwmaPeriod})", shortRocPeriod, longRocPeriod, lwmaPeriod)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="CoppockCurve" /> indicator
        /// </summary>
        /// <param name="name">A name for the indicator</param>
        /// <param name="shortRocPeriod">The period for the short ROC</param>
        /// <param name="longRocPeriod">The period for the long ROC</param>
        /// <param name="lwmaPeriod">The period for the LWMA</param>
        public CoppockCurve(string name, int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
            : base(name)
        {
            _shortRoc = new RateOfChangePercent(shortRocPeriod);
            _longRoc = new RateOfChangePercent(longRocPeriod);
            _lwma = new LinearWeightedMovingAverage(lwmaPeriod);

            // Define our warmup
            // LWMA does not get updated until ROC are warmed up and ready, so add our periods.
            // Then minus 1 because on the same point ROC is ready LWMA will receive its first point.
            WarmUpPeriod = Math.Max(_shortRoc.WarmUpPeriod, _longRoc.WarmUpPeriod) + lwmaPeriod - 1;
        }

        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            base.Reset();
            _shortRoc.Reset();
            _longRoc.Reset();
            _lwma.Reset();
        }

        /// <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)
        {
            _shortRoc.Update(input);
            _longRoc.Update(input);
            if (!_longRoc.IsReady || !_shortRoc.IsReady)
            {
                return decimal.Zero;
            }
            _lwma.Update(input.Time, _shortRoc.Current.Value + _longRoc.Current.Value);
            return _lwma.Current.Value;
        }
    }
}