This indicator calculates the Swing Index (SI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'. More...
Public Member Functions | |
| WilderSwingIndex (string name, decimal limitMove) | |
| Initializes a new instance of the WilderSwingIndex class using the specified name. More... | |
| WilderSwingIndex (decimal limitMove) | |
| Initializes a new instance of the WilderSwingIndex class using the default name. More... | |
Public Attributes | |
| override bool | IsReady => Samples > 1 |
| Gets a flag indicating when this indicator is ready and fully initialized. More... | |
| int | WarmUpPeriod => 2 |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (TradeBar input) |
| Computes the next value of this indicator from the given state. More... | |
 Protected Member Functions inherited from QuantConnect.Indicators.TradeBarIndicator | |
| TradeBarIndicator (string name) | |
| Creates a new TradeBarIndicator with the specified name More... | |
Protected Attributes | |
| IBaseDataBar | _currentInput |
| Holds the bar for the current period. More... | |
| IBaseDataBar | _previousInput |
| Holds the bar for the previous period. 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
This indicator calculates the Swing Index (SI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'.
SIₜ = 50 * ( N / R ) * ( K / T )
Where:
-
N Equals: Cₜ - Cₜ₋₁ + 0.5 * (Cₜ - Oₜ) + 0.25 * (Cₜ₋₁ - Oₜ₋₁)
See GetNValue
R Found by selecting the expression with the largest value and then using the corresponding formula.
Expression => Formula
- |Hₜ - Cₜ₋₁| => |Hₜ - Cₜ| - 0.5 * |Lₜ - Cₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|
- |Lₜ - Cₜ₋₁| => |Lₜ - Cₜ| - 0.5 * |Hₜ - Cₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|
- |Hₜ - Lₜ| => |Hₜ - Lₜ₋₁| + 0.25 * |Cₜ₋₁ - Oₜ₋₁|
See GetRValue
K Found by selecting the larger of the two expressions: |Hₜ - Cₜ₋₁|, |Lₜ - Cₜ₋₁|
See GetKValue
T The limit move, or the maximum change in price during the time period for the bar. Passed as limitMove via the constructor.
See T
- See also
- WilderAccumulativeSwingIndex
Definition at line 94 of file WilderSwingIndex.cs.
Constructor & Destructor Documentation
◆ WilderSwingIndex() [1/2]
| QuantConnect.Indicators.WilderSwingIndex.WilderSwingIndex | ( | string | name, |
| decimal | limitMove | ||
| ) |
Initializes a new instance of the WilderSwingIndex class using the specified name.
- Parameters
-
name A string for the name of this indicator. limitMove A decimal representing the limit move value for the period.
Definition at line 116 of file WilderSwingIndex.cs.
◆ WilderSwingIndex() [2/2]
| QuantConnect.Indicators.WilderSwingIndex.WilderSwingIndex | ( | decimal | limitMove | ) |
Initializes a new instance of the WilderSwingIndex class using the default name.
- Parameters
-
limitMove A decimal representing the limit move value for the period.
Definition at line 126 of file WilderSwingIndex.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value of this indicator from the given state.
- Parameters
-
input The input given to the indicator.
- Returns
- A new value for this indicator.
Definition at line 146 of file WilderSwingIndex.cs.
Member Data Documentation
◆ _currentInput
|
protected |
Holds the bar for the current period.
Definition at line 99 of file WilderSwingIndex.cs.
◆ _previousInput
|
protected |
Holds the bar for the previous period.
Definition at line 104 of file WilderSwingIndex.cs.
◆ IsReady
| override bool QuantConnect.Indicators.WilderSwingIndex.IsReady => Samples > 1 |
Gets a flag indicating when this indicator is ready and fully initialized.
Definition at line 134 of file WilderSwingIndex.cs.
◆ WarmUpPeriod
| int QuantConnect.Indicators.WilderSwingIndex.WarmUpPeriod => 2 |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 139 of file WilderSwingIndex.cs.
The documentation for this class was generated from the following file:
- Indicators/WilderSwingIndex.cs
