/// <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>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
AverageTrueRange.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(DataPointBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Occured, input.TimeZone, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
/// <summary>
/// Initializes a new instance of the KeltnerChannels class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the average true range and moving average (middle band)</param>
/// <param name="k">The number of multiples specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public KeltnerChannels(string name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
_k = k;
//Initialize ATR and SMA
AverageTrueRange = new AverageTrueRange(name + "_AverageTrueRange", period, MovingAverageType.Simple);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
//Compute Lower Band
LowerBand = new FunctionalIndicator <DataPointBar>(name + "_LowerBand",
input => ComputeLowerBand(),
lowerBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
//Compute Upper Band
UpperBand = new FunctionalIndicator <DataPointBar>(name + "_UpperBand",
input => ComputeUpperBand(),
upperBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
}
public Interfaces.Indicators.AverageTrueRange AverageTrueRange(int period, DataStream stream, TimeSpan barSize)
{
var nmodule = new AverageTrueRange(period, barSize, stream);
return(_manager.Subscribe <AverageTrueRange>(nmodule));
}
public Interfaces.Indicators.AverageTrueRange AverageTrueRange(int period, DataStream stream)
{
var nmodule = new AverageTrueRange(period, _manager.Agent.TimeFrame, stream);
return(_manager.Subscribe <AverageTrueRange>(nmodule));
}