Add WaveTrend Oscillator indicator

Algorithm/QCAlgorithm.Indicators.cs

@@ -2808,6 +2808,28 @@ public WilderAccumulativeSwingIndex ASI(Symbol symbol, decimal limitMove, Resolu
             return asi;
         }
 
+        /// <summary>
+        /// Creates a new WaveTrend Oscillator indicator from the specified periods. The indicator
+        /// will be automatically updated on the given resolution.
+        /// </summary>
+        /// <param name="symbol">The symbol whose WaveTrend Oscillator we seek</param>
+        /// <param name="channelPeriod">The smoothing period used for the channel EMAs</param>
+        /// <param name="averagePeriod">The smoothing period used for WT1</param>
+        /// <param name="signalPeriod">The period of the signal line (SMA of WT1)</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 WaveTrend Oscillator indicator for the requested symbol</returns>
+        [DocumentationAttribute(Indicators)]
+        public WaveTrendOscillator WTO(Symbol symbol, int channelPeriod, int averagePeriod, int signalPeriod,
+            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 new Arms Index indicator
         /// </summary>

Indicators/WaveTrendOscillator.cs

@@ -0,0 +1,148 @@
+/*
+ * 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, a momentum indicator popularized by LazyBear
+    /// on TradingView. It is built from the distance between the bar's typical price and
+    /// an exponential moving average of that price, normalized by the average distance,
+    /// and then smoothed twice.
+    /// <para>
+    /// HLC3 = (High + Low + Close) / 3
+    /// ESA  = EMA(HLC3, channelPeriod)
+    /// D    = EMA(|HLC3 - ESA|, channelPeriod)
+    /// CI   = (HLC3 - ESA) / (0.015 * D)
+    /// WT1  = EMA(CI, averagePeriod)
+    /// WT2  = SMA(WT1, signalPeriod)
+    /// </para>
+    /// <see cref="Current"/> exposes the WaveTrend line (WT1) and <see cref="Signal"/>
+    /// exposes the signal line (WT2). Crossovers between the two are the typical entry
+    /// and exit triggers for this indicator.
+    /// </summary>
+    public class WaveTrendOscillator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly ExponentialMovingAverage _esa;
+        private readonly ExponentialMovingAverage _d;
+
+        /// <summary>
+        /// Gets the WaveTrend line (WT1), the exponential moving average of the
+        /// normalized channel index.
+        /// </summary>
+        public ExponentialMovingAverage WT1 { get; }
+
+        /// <summary>
+        /// Gets the signal line (WT2), the simple moving average of <see cref="WT1"/>.
+        /// </summary>
+        public SimpleMovingAverage Signal { get; }
+
+        /// <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>
+        /// Initializes a new instance of the <see cref="WaveTrendOscillator"/> class with
+        /// the specified name and periods.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="channelPeriod">The smoothing period used for the channel EMAs (ESA and D)</param>
+        /// <param name="averagePeriod">The smoothing period used for WT1</param>
+        /// <param name="signalPeriod">The period of the signal line (simple moving average of WT1)</param>
+        public WaveTrendOscillator(string name, int channelPeriod, int averagePeriod, int signalPeriod)
+            : base(name)
+        {
+            _esa = new ExponentialMovingAverage($"{name}_ESA", channelPeriod);
+            _d = new ExponentialMovingAverage($"{name}_D", channelPeriod);
+            WT1 = new ExponentialMovingAverage($"{name}_WT1", averagePeriod);
+            Signal = new SimpleMovingAverage($"{name}_WT2", signalPeriod);
+            WarmUpPeriod = 2 * channelPeriod + averagePeriod + signalPeriod - 3;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="WaveTrendOscillator"/> class with
+        /// the specified periods.
+        /// </summary>
+        /// <param name="channelPeriod">The smoothing period used for the channel EMAs (ESA and D)</param>
+        /// <param name="averagePeriod">The smoothing period used for WT1</param>
+        /// <param name="signalPeriod">The period of the signal line (simple moving average of WT1)</param>
+        public WaveTrendOscillator(int channelPeriod, int averagePeriod, int signalPeriod)
+            : this($"WTO({channelPeriod},{averagePeriod},{signalPeriod})", channelPeriod, averagePeriod, signalPeriod)
+        {
+        }
+
+        /// <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)
+        {
+            var hlc3 = (input.High + input.Low + input.Close) / 3m;
+
+            _esa.Update(input.EndTime, hlc3);
+
+            if (!_esa.IsReady)
+            {
+                return 0m;
+            }
+
+            _d.Update(input.EndTime, Math.Abs(hlc3 - _esa.Current.Value));
+
+            if (!_d.IsReady)
+            {
+                return 0m;
+            }
+
+            var denominator = 0.015m * _d.Current.Value;
+            if (denominator == 0m)
+            {
+                return 0m;
+            }
+
+            var ci = (hlc3 - _esa.Current.Value) / denominator;
+            WT1.Update(input.EndTime, ci);
+
+            if (!WT1.IsReady)
+            {
+                return WT1.Current.Value;
+            }
+
+            Signal.Update(input.EndTime, WT1.Current.Value);
+
+            return WT1.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state.
+        /// </summary>
+        public override void Reset()
+        {
+            _esa.Reset();
+            _d.Reset();
+            WT1.Reset();
+            Signal.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/WaveTrendOscillatorTests.cs

@@ -0,0 +1,94 @@
+/*
+ * 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 NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class WaveTrendOscillatorTests : CommonIndicatorTests<IBaseDataBar>
+    {
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
+        {
+            return new WaveTrendOscillator(10, 21, 4);
+        }
+
+        protected override string TestFileName => "spy_wto.csv";
+
+        protected override string TestColumnName => "WT1";
+
+        [Test]
+        public void ComparesWithExternalDataSignal()
+        {
+            var wto = (WaveTrendOscillator)CreateIndicator();
+            TestHelper.TestIndicator(
+                wto,
+                TestFileName,
+                "WT2",
+                (ind, expected) => Assert.AreEqual(
+                    expected,
+                    (double)((WaveTrendOscillator)ind).Signal.Current.Value,
+                    delta: 1e-3
+                )
+            );
+        }
+
+        [Test]
+        public void WarmUpPeriodMatchesConstructorArguments()
+        {
+            var wto = new WaveTrendOscillator(10, 21, 4);
+            Assert.AreEqual(2 * 10 + 21 + 4 - 3, wto.WarmUpPeriod);
+            Assert.AreEqual(42, wto.WarmUpPeriod);
+        }
+
+        [Test]
+        public void IsReadyOnlyAfterWarmUp()
+        {
+            var channelPeriod = 3;
+            var averagePeriod = 4;
+            var signalPeriod = 2;
+            var wto = new WaveTrendOscillator(channelPeriod, averagePeriod, signalPeriod);
+            var warmUp = 2 * channelPeriod + averagePeriod + signalPeriod - 3;
+
+            for (var i = 1; i <= warmUp; i++)
+            {
+                Assert.IsFalse(wto.IsReady, $"Should not be ready after {i - 1} samples");
+                wto.Update(new TradeBar
+                {
+                    Time = System.DateTime.Today.AddDays(i),
+                    High = 10m + i,
+                    Low = 9m + i,
+                    Close = 9.5m + i
+                });
+            }
+
+            Assert.IsTrue(wto.IsReady);
+            Assert.IsTrue(wto.WT1.IsReady);
+            Assert.IsTrue(wto.Signal.IsReady);
+        }
+
+        [Test]
+        public void NamedConstructorProducesExpectedName()
+        {
+            var wto = new WaveTrendOscillator("custom", 10, 21, 4);
+            Assert.AreEqual("custom", wto.Name);
+
+            var defaultNamed = new WaveTrendOscillator(10, 21, 4);
+            Assert.AreEqual("WTO(10,21,4)", defaultNamed.Name);
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -598,6 +598,9 @@
     <Content Include="TestData\spy_with_williamsR14.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_wto.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\test_cash_equity.xml">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>