Implement Time Series Forecast Indicator (#7654)

* initialize TimeSeriesForecast

* tests pass

* spy_tsf.csv added

* added csv to tests

* comment

* fix requested changes

* remove commented out code

* remove ds_store and sln

---------

Co-authored-by: Daniel Suh <[email protected]>

Author: danielsuh05

Algorithm/QCAlgorithm.Indicators.cs

@@ -1057,6 +1057,24 @@ public TimeProfile TP(Symbol symbol, int period = 2, decimal valueAreaVolumePerc
             return marketProfile;
         }
 
+        /// <summary>
+        /// Creates a new Time Series Forecast indicator
+        /// </summary>
+        /// <param name="symbol">The symbol whose TSF we want</param>
+        /// <param name="period">The period of the TSF</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 Value property of BaseData (x => x.Value)</param>
+        /// <returns>The TimeSeriesForecast indicator for the requested symbol over the specified period</returns>
+        [DocumentationAttribute(Indicators)]
+        public TimeSeriesForecast TSF(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"TSF({period})", resolution);
+            var timeSeriesForecast = new TimeSeriesForecast(name, period);
+            InitializeIndicator(symbol, timeSeriesForecast, resolution, selector);
+
+            return timeSeriesForecast;
+        }
+
         /// <summary>
         /// Creates a new Maximum indicator to compute the maximum value
         /// </summary>

Indicators/TimeSeriesForecast.cs

@@ -0,0 +1,90 @@
+/*
+ * 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;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents an indicator capable of predicting new values given previous data from a window.
+    /// Source: https://tulipindicators.org/tsf
+    /// </summary>
+    public class TimeSeriesForecast : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Creates a new TimeSeriesForecast indicator with the specified period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period over which to look back</param>
+        public TimeSeriesForecast(string name, int period)
+            : base(name, period)
+        {
+            if (period < 2)
+            {
+                throw new ArgumentException(Messages.RollingWindow.InvalidSize, nameof(period));
+            }
+        }
+
+        /// <summary>
+        /// Creates a new TimeSeriesForecast indicator with the specified period
+        /// </summary>
+        /// <param name="period">The period over which to look back</param>
+        public TimeSeriesForecast(int period)
+            : this($"TSF{period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="window">The window of data held in this indicator</param>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
+        {
+            if (!IsReady)
+            {
+                return 0;
+            }
+            
+            // calculations are derived from https://tulipindicators.org/tsf
+            decimal x1 = 0;
+            decimal x2 = 0;
+            decimal xy = 0;
+            decimal y = 0;
+
+            var i = Period - 1;
+            for (; i > 0; i--)
+            {
+                x1 += i;
+                x2 += i * i;
+                xy += window[i].Value * (Period - i);
+                y += window[i].Value;
+            }
+
+            x1 += Period;
+            x2 += Period * Period;
+
+            xy += window[0].Value * Period;
+            y += window[0].Value;
+
+            var bd = 1 / (Period * x2 - x1 * x1);
+            var b = (Period * xy - x1 * y) * bd;
+            var a = (y - b * x1) * (1m / Period);
+
+            return a + b * (Period + 1);
+        }
+    }
+}

Tests/Indicators/TimeSeriesForecastTests.cs

@@ -0,0 +1,81 @@
+/*
+ * 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.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class TimeSeriesForecastTests : CommonIndicatorTests<IndicatorDataPoint>
+    {
+        protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
+        {
+            var tsf = new TimeSeriesForecast(5);
+            
+            return tsf;
+        }
+
+        protected override string TestFileName => "spy_tsf.csv";
+        protected override string TestColumnName => "tsf";
+        
+        [Test]
+        public void ComputesCorrectly()
+        {
+            var tsf = CreateIndicator();
+            const int period = 5;
+            
+            // Data source: https://tulipindicators.org/tsf
+            var data = new[] {81.59m, 81.06m, 82.87m, 83.00m, 83.61m, 83.15m, 82.84m, 83.99m, 84.55m, 84.36m, 85.53m, 86.54m, 86.89m, 87.77m, 87.29m};
+            var output = new [] {0m, 0m, 0m, 0m, 84.22m, 84.21m, 83.12m, 83.68m, 84.44m, 85.02m, 85.98m, 86.82m, 87.63m, 88.67m, 88.23m};
+
+            var reference = DateTime.MinValue;
+
+            for (var i = 0; i < output.Length; i++)
+            {
+                tsf.Update(reference.AddDays(i + 1), data[i]);
+                if (i >= period)
+                {
+                    Assert.AreEqual(output[i], decimal.Round(tsf.Current.Value, 2));
+                }
+            }
+        }
+
+        [Test]
+        public override void ResetsProperly()
+        {
+            const int period = 3;
+            var tsf = new TimeSeriesForecast(period);
+            var reference = DateTime.MinValue;
+
+            tsf.Update(reference, 1m);
+            tsf.Update(reference.AddDays(1), 1m);
+            tsf.Update(reference.AddDays(2), 1m);
+            Assert.IsTrue(tsf.IsReady);
+            
+            tsf.Reset();
+            Assert.IsFalse(tsf.IsReady);
+            TestHelper.AssertIndicatorIsInDefaultState(tsf);
+        }
+
+        [Test]
+        public void CorrectPeriodSize()
+        {
+            Assert.Throws<ArgumentException>(() => new TimeSeriesForecast(1));
+            Assert.DoesNotThrow(() => new TimeSeriesForecast(2));
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -469,6 +469,9 @@
     <Content Include="TestData\spy_t3.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_tsf.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_rocr.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>