/*
* 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
{
/// <summary>
/// Represents the traditional exponential moving average indicator (EMA)
/// </summary>
public class ExponentialMovingAverage : Indicator
{
private readonly decimal _k;
private readonly int _period;
/// <summary>
/// Initializes a new instance of the ExponentialMovingAverage class with the specified name and period
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the EMA</param>
public ExponentialMovingAverage(string name, int period)
: base(name)
{
_period = period;
_k = 2 / ((decimal)period + 1);
}
/// <summary>
/// Initializes a new instance of the ExponentialMovingAverage class with the specified name and period
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the EMA</param>
/// <param name="smoothingFactor">The percentage of data from the previous value to be carried into the next value</param>
public ExponentialMovingAverage(string name, int period, decimal smoothingFactor)
: base(name)
{
_period = period;
_k = smoothingFactor;
}
/// <summary>
/// Initializes a new instance of the ExponentialMovingAverage class with the default name and period
/// </summary>
/// <param name="period">The period of the EMA</param>
public ExponentialMovingAverage(int period)
: this("EMA" + period, period)
{
}
/// <summary>
/// Initializes a new instance of the ExponentialMovingAverage class with the default name and period
/// </summary>
/// <param name="period">The period of the EMA</param>
/// <param name="smoothingFactor">The percentage of data from the previous value to be carried into the next value</param>
public ExponentialMovingAverage(int period, decimal smoothingFactor)
: this("EMA" + period, period, smoothingFactor)
{
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return Samples > _period; }
}
/// <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)
{
// our first data point just return identity
if (Samples == 1)
{
return input;
}
return input*_k + Current*(1 - _k);
}
}
}