Represents the traditional Weighted Moving Average indicator. The weight are linearly distributed according to the number of periods in the indicator. More...
Public Member Functions | |
| LinearWeightedMovingAverage (string name, int period) | |
| Initializes a new instance of the LinearWeightedMovingAverage class with the specified name and period More... | |
| LinearWeightedMovingAverage (int period) | |
| Initializes a new instance of the LinearWeightedMovingAverage class with the default name and period More... | |
 Public Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| int | WarmUpPeriod => Period |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
| Public Attributes inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| int | Period |
| Gets the period of this window indicator More... | |
| override bool | IsReady |
| Gets a flag indicating when this indicator is ready and fully initialized More... | |
| virtual int | WarmUpPeriod |
| Required period, in data points, to the indicator to be ready and fully initialized More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IReadOnlyWindow< IndicatorDataPoint > window, IndicatorDataPoint input) |
| Computes the next value for this indicator from the given state. More... | |
| Protected Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| WindowIndicator (string name, int period) | |
| Initializes a new instance of the WindowIndicator class More... | |
| override decimal | ComputeNextValue (T input) |
| Computes the next value of this indicator from the given state More... | |
| abstract decimal | ComputeNextValue (IReadOnlyWindow< T > window, T input) |
| Computes the next value for this indicator from the given state. More... | |
Additional Inherited Members | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
Represents the traditional Weighted Moving Average indicator. The weight are linearly distributed according to the number of periods in the indicator.
For example, a 4 period indicator will have a numerator of (4 * window[0]) + (3 * window[1]) + (2 * window[2]) + window[3] and a denominator of 4 + 3 + 2 + 1 = 10
During the warm up period, IsReady will return false, but the LWMA will still be computed correctly because the denominator will be the minimum of Samples factorial or Size factorial and the computation iterates over that minimum value.
The RollingWindow of inputs is created when the indicator is created. A RollingWindow of LWMAs is not saved. That is up to the caller.
Definition at line 34 of file LinearWeightedMovingAverage.cs.
Constructor & Destructor Documentation
◆ LinearWeightedMovingAverage() [1/2]
| QuantConnect.Indicators.LinearWeightedMovingAverage.LinearWeightedMovingAverage | ( | string | name, |
| int | period | ||
| ) |
Initializes a new instance of the LinearWeightedMovingAverage class with the specified name and period
- Parameters
-
name The name of this indicator period The period of the LWMA
Definition at line 47 of file LinearWeightedMovingAverage.cs.
◆ LinearWeightedMovingAverage() [2/2]
| QuantConnect.Indicators.LinearWeightedMovingAverage.LinearWeightedMovingAverage | ( | int | period | ) |
Initializes a new instance of the LinearWeightedMovingAverage class with the default name and period
- Parameters
-
period The period of the LWMA
Definition at line 57 of file LinearWeightedMovingAverage.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value for this indicator from the given state.
- Parameters
-
window The window of data held in this indicator input The input value to this indicator on this time step
- Returns
- A new value for this indicator
Definition at line 68 of file LinearWeightedMovingAverage.cs.
Member Data Documentation
◆ WarmUpPeriod
| int QuantConnect.Indicators.LinearWeightedMovingAverage.WarmUpPeriod => Period |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 40 of file LinearWeightedMovingAverage.cs.
The documentation for this class was generated from the following file:
- Indicators/LinearWeightedMovingAverage.cs
