Add WaveTrend Oscillator indicator

Algorithm/QCAlgorithm.Indicators.cs

@@ -2766,6 +2766,27 @@ public WilderMovingAverage WWMA(Symbol symbol, int period, Resolution? resolutio
             return wilderMovingAverage;
         }
 
+        /// <summary>
+        /// Creates a new WaveTrendOscillator indicator for the symbol.
+        /// The indicator will be automatically updated on the given resolution.
+        /// </summary>
+        /// <param name="symbol">The symbol whose WaveTrend Oscillator we want</param>
+        /// <param name="channelPeriod">The period used to smooth the typical price and its mean deviation (n1)</param>
+        /// <param name="averagePeriod">The period used to smooth the channel index into the main wave trend line (n2)</param>
+        /// <param name="signalPeriod">The period used to smooth the wave trend line into the signal line</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
+        /// <returns>The WaveTrendOscillator indicator for the requested symbol with the given parameters</returns>
+        [DocumentationAttribute(Indicators)]
+        public WaveTrendOscillator WTO(Symbol symbol, int channelPeriod = 10, int averagePeriod = 21, int signalPeriod = 4, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"WTO({channelPeriod},{averagePeriod},{signalPeriod})", resolution);
+            var waveTrendOscillator = new WaveTrendOscillator(name, channelPeriod, averagePeriod, signalPeriod);
+            InitializeIndicator(waveTrendOscillator, resolution, selector, symbol);
+
+            return waveTrendOscillator;
+        }
+
         /// <summary>
         /// Creates a Wilder Swing Index (SI) indicator for the symbol.
         /// The indicator will be automatically updated on the given resolution.

Indicators/WaveTrendOscillator.cs

@@ -0,0 +1,144 @@
+/*
+ * 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;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents the WaveTrend Oscillator (WTO) developed by LazyBear.
+    ///
+    /// The oscillator uses the typical price (HLC3) and is computed as follows:
+    ///   ESA    = EMA(HLC3, channelPeriod)
+    ///   D      = EMA(|HLC3 - ESA|, channelPeriod)
+    ///   CI     = (HLC3 - ESA) / (0.015 * D)
+    ///   WT1    = EMA(CI, averagePeriod)
+    ///   WT2    = SMA(WT1, signalPeriod)
+    ///
+    /// The indicator's current value is WT1 (the main wave trend line).
+    /// The <see cref="Signal"/> property exposes WT2, which is typically plotted as the signal line.
+    /// </summary>
+    public class WaveTrendOscillator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Constant used to scale the channel index so most WTO values fall within +/- 100.
+        /// </summary>
+        private const decimal K = 0.015m;
+
+        private readonly ExponentialMovingAverage _channelEma;
+        private readonly ExponentialMovingAverage _meanDeviationEma;
+
+        /// <summary>
+        /// Gets the main wave trend line (WT1), computed as an EMA of the channel index.
+        /// </summary>
+        public ExponentialMovingAverage WaveTrend { get; }
+
+        /// <summary>
+        /// Gets the signal line (WT2), computed as an SMA of <see cref="WaveTrend"/>.
+        /// </summary>
+        public SimpleMovingAverage Signal { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="WaveTrendOscillator"/> class.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="channelPeriod">The period used to smooth the typical price and its mean deviation (n1)</param>
+        /// <param name="averagePeriod">The period used to smooth the channel index into the main wave trend line (n2)</param>
+        /// <param name="signalPeriod">The period used to smooth the wave trend line into the signal line</param>
+        public WaveTrendOscillator(string name, int channelPeriod, int averagePeriod, int signalPeriod)
+            : base(name)
+        {
+            _channelEma = new ExponentialMovingAverage(name + "_ChannelEMA", channelPeriod);
+            _meanDeviationEma = new ExponentialMovingAverage(name + "_MeanDeviationEMA", channelPeriod);
+            WaveTrend = new ExponentialMovingAverage(name + "_WaveTrend", averagePeriod);
+            Signal = new SimpleMovingAverage(name + "_Signal", signalPeriod);
+
+            WarmUpPeriod = 2 * channelPeriod + averagePeriod + signalPeriod - 3;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="WaveTrendOscillator"/> class using default parameters (10, 21, 4).
+        /// </summary>
+        /// <param name="channelPeriod">The period used to smooth the typical price and its mean deviation (n1)</param>
+        /// <param name="averagePeriod">The period used to smooth the channel index into the main wave trend line (n2)</param>
+        /// <param name="signalPeriod">The period used to smooth the wave trend line into the signal line</param>
+        public WaveTrendOscillator(int channelPeriod = 10, int averagePeriod = 21, int signalPeriod = 4)
+            : this($"WTO({channelPeriod},{averagePeriod},{signalPeriod})", channelPeriod, averagePeriod, signalPeriod)
+        {
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized.
+        /// </summary>
+        public override bool IsReady => Signal.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state.
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>The current value of the main wave trend line (WT1)</returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            var typicalPrice = (input.High + input.Low + input.Close) / 3.0m;
+
+            _channelEma.Update(input.EndTime, typicalPrice);
+            if (!_channelEma.IsReady)
+            {
+                return 0m;
+            }
+
+            var absDeviation = Math.Abs(typicalPrice - _channelEma.Current.Value);
+            _meanDeviationEma.Update(input.EndTime, absDeviation);
+            if (!_meanDeviationEma.IsReady)
+            {
+                return 0m;
+            }
+
+            var weightedMeanDeviation = K * _meanDeviationEma.Current.Value;
+            if (weightedMeanDeviation == 0m)
+            {
+                return WaveTrend.Current.Value;
+            }
+
+            var channelIndex = (typicalPrice - _channelEma.Current.Value) / weightedMeanDeviation;
+            WaveTrend.Update(input.EndTime, channelIndex);
+            if (!WaveTrend.IsReady)
+            {
+                return WaveTrend.Current.Value;
+            }
+
+            Signal.Update(input.EndTime, WaveTrend.Current.Value);
+            return WaveTrend.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state.
+        /// </summary>
+        public override void Reset()
+        {
+            _channelEma.Reset();
+            _meanDeviationEma.Reset();
+            WaveTrend.Reset();
+            Signal.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/WaveTrendOscillatorTests.cs

@@ -0,0 +1,123 @@
+/*
+ * 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;
+using NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class WaveTrendOscillatorTests : CommonIndicatorTests<IBaseDataBar>
+    {
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
+        {
+            RenkoBarSize = 1m;
+            VolumeRenkoBarSize = 0.5m;
+            return new WaveTrendOscillator(10, 21, 4);
+        }
+
+        protected override string TestFileName => "spy_wto.txt";
+
+        protected override string TestColumnName => "WaveTrend";
+
+        protected override Action<IndicatorBase<IBaseDataBar>, double> Assertion =>
+            (indicator, expected) =>
+                Assert.AreEqual(expected, (double)indicator.Current.Value, 1e-4);
+
+        [Test]
+        public void ComparesWithExternalDataSignal()
+        {
+            var wto = CreateIndicator();
+            TestHelper.TestIndicator(
+                wto,
+                TestFileName,
+                "Signal",
+                (ind, expected) => Assert.AreEqual(
+                    expected,
+                    (double)((WaveTrendOscillator)ind).Signal.Current.Value,
+                    delta: 1e-4
+                )
+            );
+        }
+
+        [Test]
+        public override void ResetsProperly()
+        {
+            var wto = new WaveTrendOscillator(10, 21, 4);
+            foreach (var bar in TestHelper.GetTradeBarStream(TestFileName, false))
+            {
+                wto.Update(bar);
+            }
+            Assert.IsTrue(wto.IsReady);
+            Assert.IsTrue(wto.WaveTrend.IsReady);
+            Assert.IsTrue(wto.Signal.IsReady);
+
+            wto.Reset();
+            TestHelper.AssertIndicatorIsInDefaultState(wto);
+            TestHelper.AssertIndicatorIsInDefaultState(wto.WaveTrend);
+            TestHelper.AssertIndicatorIsInDefaultState(wto.Signal);
+        }
+
+        [Test]
+        public override void WarmsUpProperly()
+        {
+            const int channelPeriod = 3;
+            const int averagePeriod = 4;
+            const int signalPeriod = 2;
+            var wto = new WaveTrendOscillator(channelPeriod, averagePeriod, signalPeriod);
+            var expectedWarmUp = 2 * channelPeriod + averagePeriod + signalPeriod - 3;
+            Assert.AreEqual(expectedWarmUp, wto.WarmUpPeriod);
+
+            var reference = DateTime.Today;
+            for (var i = 0; i < expectedWarmUp - 1; i++)
+            {
+                Assert.IsFalse(wto.IsReady);
+                wto.Update(new TradeBar
+                {
+                    Symbol = Symbols.SPY,
+                    Time = reference.AddDays(i),
+                    Open = 100m + i,
+                    High = 101m + i,
+                    Low = 99m + i,
+                    Close = 100.5m + i,
+                    Volume = 1000
+                });
+            }
+            wto.Update(new TradeBar
+            {
+                Symbol = Symbols.SPY,
+                Time = reference.AddDays(expectedWarmUp - 1),
+                Open = 100m,
+                High = 101m,
+                Low = 99m,
+                Close = 100.5m,
+                Volume = 1000
+            });
+            Assert.IsTrue(wto.IsReady);
+            Assert.IsTrue(wto.WaveTrend.IsReady);
+            Assert.IsTrue(wto.Signal.IsReady);
+        }
+
+        [Test]
+        public void DefaultConstructorUsesStandardParameters()
+        {
+            var wto = new WaveTrendOscillator();
+            Assert.AreEqual("WTO(10,21,4)", wto.Name);
+            Assert.AreEqual(2 * 10 + 21 + 4 - 3, wto.WarmUpPeriod);
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -595,6 +595,9 @@
     <Content Include="TestData\spy_with_vwap.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_wto.txt">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_with_williamsR14.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>