NormalizedAverageTrueRange.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 QuantConnect.Data.Market;
 
namespace QuantConnect.Indicators
{
    /// <summary>
    /// This indicator computes the Normalized Average True Range (NATR).
    /// The Normalized Average True Range is calculated with the following formula:
    /// NATR = (ATR(period) / Close) * 100
    /// </summary>
    public class NormalizedAverageTrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
    {
        private readonly int _period;
        private readonly TrueRange _tr;
        private readonly AverageTrueRange _atr;
        private decimal _lastAtrValue;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified name and period.
        /// </summary> 
        /// <param name="name">The name of this indicator</param>
        /// <param name="period">The period of the NATR</param>
        public NormalizedAverageTrueRange(string name, int period) : 
            base(name)
        {
            _period = period;
            _tr = new TrueRange(name + "_TR");
            _atr = new AverageTrueRange(name + "_ATR", period, MovingAverageType.Simple);
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="NormalizedAverageTrueRange"/> class using the specified period.
        /// </summary> 
        /// <param name="period">The period of the NATR</param>
        public NormalizedAverageTrueRange(int period)
            : this($"NATR({period})", period)
        {
        }
 
        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady => Samples > _period;
 
        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod => _period + 1;
 
        /// <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(IBaseDataBar input)
        {
            _tr.Update(input);
 
            if (!IsReady)
            {
                _atr.Update(input);
                return input.Close != 0 ? _atr.Current.Value / input.Close * 100 : 0m;
            }
 
            if (Samples == _period + 1)
            {
                // first output value is SMA of TrueRange
                _atr.Update(input);
                _lastAtrValue = _atr.Current.Value;
            }
            else
            {
                // next TrueRange values are smoothed using Wilder's approach
                _lastAtrValue = (_lastAtrValue * (_period - 1) + _tr.Current.Value) / _period;
            }
 
            return input.Close != 0 ? _lastAtrValue / input.Close * 100 : 0m;
        }
 
        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            _tr.Reset();
            _atr.Reset();
            base.Reset();
        }
    }
}