Add WaveTrend Oscillator indicator

Algorithm/QCAlgorithm.Indicators.cs

@@ -2726,6 +2726,27 @@ public Vortex VTX(Symbol symbol, int period, Resolution? resolution = null, Func
             return indicator;
         }
 
+        /// <summary>
+        /// Creates a new WaveTrend Oscillator 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 compute the Average Smoothed Average (ESA) and its mean absolute deviation</param>
+        /// <param name="averagePeriod">The period used to smooth the normalized channel index into the main line (TCI)</param>
+        /// <param name="signalPeriod">The period used to compute the signal line as a simple moving average of the main 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 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 indicator = new WaveTrendOscillator(name, channelPeriod, averagePeriod, signalPeriod);
+            InitializeIndicator(indicator, resolution, selector, symbol);
+            return indicator;
+        }
+
         /// <summary>
         /// Creates a new Williams %R indicator. This will compute the percentage change of
         /// the current closing price in relation to the high and low of the past N periods.

Indicators/WaveTrendOscillator.cs

@@ -0,0 +1,137 @@
+/*
+ * 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>
+    /// This indicator computes the WaveTrend Oscillator (WTO), a momentum oscillator
+    /// that measures how far a smoothed typical price has deviated from its own moving
+    /// average, normalized by the average absolute deviation. The main line (TCI) is a
+    /// further exponential smoothing of that normalized channel index, and the Signal
+    /// line (WT2) is a short simple moving average of the main line.
+    /// <para/>
+    /// Formula:
+    ///   hlc3 = (High + Low + Close) / 3
+    ///   esa  = EMA(hlc3, channelPeriod)
+    ///   d    = EMA(|esa - hlc3|, channelPeriod)
+    ///   ci   = (hlc3 - esa) / (0.015 * d)
+    ///   tci  = EMA(ci, averagePeriod)  (main line)
+    ///   wt2  = SMA(tci, signalPeriod)  (signal line)
+    /// </summary>
+    /// <remarks>
+    /// Reference: https://www.tradingview.com/script/2KE8wTuF-Indicator-WaveTrend-Oscillator-WT/
+    /// </remarks>
+    public class WaveTrendOscillator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly ExponentialMovingAverage _esa;
+        private readonly ExponentialMovingAverage _d;
+        private readonly ExponentialMovingAverage _tci;
+
+        /// <summary>
+        /// Gets the signal line (WT2), a simple moving average of the main line (TCI).
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> Signal { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= WarmUpPeriod;
+
+        /// <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 using the specified name and periods.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="channelPeriod">The period used to compute the Average Smoothed Average (ESA) and its mean absolute deviation</param>
+        /// <param name="averagePeriod">The period used to smooth the normalized channel index into the main line (TCI)</param>
+        /// <param name="signalPeriod">The period used to compute the signal line as a simple moving average of the main line</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);
+            _tci = new ExponentialMovingAverage(name + "_TCI", averagePeriod);
+            Signal = new SimpleMovingAverage(name + "_Signal", signalPeriod).Of(_tci, true);
+            WarmUpPeriod = 2 * channelPeriod + averagePeriod - 2;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="WaveTrendOscillator"/> class using the specified periods.
+        /// </summary>
+        /// <param name="channelPeriod">The period used to compute the Average Smoothed Average (ESA) and its mean absolute deviation</param>
+        /// <param name="averagePeriod">The period used to smooth the normalized channel index into the main line (TCI)</param>
+        /// <param name="signalPeriod">The period used to compute the signal line as a simple moving average of the main line</param>
+        public WaveTrendOscillator(int channelPeriod = 10, int averagePeriod = 21, int signalPeriod = 4)
+            : 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>The main line (TCI) value for this bar</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(_esa - hlc3));
+
+            if (!_d.IsReady)
+            {
+                return _tci;
+            }
+
+            // 0.015 * EMA can underflow to zero in decimal when bars are nearly
+            // constant (e.g. consolidated VolumeRenko), so guard the denominator
+            // rather than the EMA itself.
+            var denominator = 0.015m * _d.Current.Value;
+            if (denominator == 0m)
+            {
+                return _tci;
+            }
+
+            var ci = (hlc3 - _esa) / denominator;
+            _tci.Update(input.EndTime, ci);
+
+            return _tci;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _esa.Reset();
+            _d.Reset();
+            _tci.Reset();
+            Signal.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/WaveTrendOscillatorTests.cs

@@ -0,0 +1,50 @@
+/*
+ * 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();
+        }
+
+        protected override string TestFileName => "spy_wto.csv";
+
+        protected override string TestColumnName => "TCI";
+
+        [Test]
+        public void ComparesWithExternalDataSignal()
+        {
+            var wto = (WaveTrendOscillator)CreateIndicator();
+            TestHelper.TestIndicator(
+                wto,
+                TestFileName,
+                "WT2",
+                (ind, expected) =>
+                {
+                    if (!wto.Signal.IsReady) return;
+                    Assert.AreEqual(expected, (double)wto.Signal.Current.Value, delta: 1e-4);
+                }
+            );
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -535,6 +535,9 @@
     <Content Include="TestData\spy_tsi.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_wto.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_trima.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>