Update LinearWeightedMovingAverage (QuantConnect#7798)

* Add improvements and unit tests

* Add Improvements

Author: Marinovsky

Indicators/LinearWeightedMovingAverage.cs

@@ -33,6 +33,7 @@ namespace QuantConnect.Indicators
     /// </summary>
     public class LinearWeightedMovingAverage : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
     {
+        private readonly int _denominator;
         /// <summary>
         /// Required period, in data points, for the indicator to be ready and fully initialized.
         /// </summary>
@@ -46,6 +47,7 @@ public class LinearWeightedMovingAverage : WindowIndicator<IndicatorDataPoint>,
         public LinearWeightedMovingAverage(string name, int period)
             : base(name, period)
         {
+            _denominator = (period * (period + 1)) / 2;
         }
 
         /// <summary>
@@ -66,22 +68,14 @@ public LinearWeightedMovingAverage(int period)
         protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
         {
             // our first data point just return identity
-            if (window.Size == 1)
+            if (!IsReady)
             {
-                return input.Value;
+                return 0;
             }
 
             var numerator = 0m;
-            var denominator = 0;
             var index = window.Size;
 
-            // The denominator is calculated each time in case the Size is less than the period.
-            // There may be a more efficient way of calculating the factorial.
-            for (var i = 0; i <= index; i++)
-            {
-                denominator += i;
-            }
-
             // If the indicator is not ready, the LWMA will still be correct
             // because the numerator has the minimum of the Size (number of
             // entries or the Samples (the allocated space)
@@ -90,7 +84,7 @@ protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint>
             {
                 numerator += (index-- * window[i].Value);
             }
-            return numerator / denominator;
+            return numerator / _denominator;
         }
     }
 }

Tests/Indicators/LinearWeightedMovingAverageTests.cs

@@ -21,8 +21,17 @@
 namespace QuantConnect.Tests.Indicators
 {
     [TestFixture]
-    public class LinearWeightedMovingAverageTests
+    public class LinearWeightedMovingAverageTests : CommonIndicatorTests<IndicatorDataPoint>
     {
+        protected override string TestFileName => "spx_lwma.csv";
+
+        protected override string TestColumnName => "LWMA";
+
+        protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
+        {
+            return new LinearWeightedMovingAverage(6);
+        }
+
         [TestCase(1)]
         [TestCase(2)]
         [TestCase(3)]
@@ -46,27 +55,15 @@ public void ComputesCorrectly(int period)
             Assert.AreEqual(current, lwma.Current.Value);
         }
 
-        [TestCase(1)]
-        [TestCase(2)]
-        [TestCase(3)]
-        [TestCase(4)]
-        [TestCase(5)]
-        // See http://en.wikipedia.org/wiki/Moving_average
-        // for the formula and the numbers in this test.
-        public void ResetsProperly(int period)
+        [Test]
+        public override void ResetsProperly()
         {
-            var values = new[] { 77m, 79m, 79m, 81m, 83m };
-            var weights = Enumerable.Range(1, period).ToArray();
-            var current = weights.Sum(i => i * values[i - 1]) / weights.Sum();
-
-            var lwma = new LinearWeightedMovingAverage(period);
-            var time = DateTime.UtcNow;
+            var lwma = new LinearWeightedMovingAverage(6);
 
-            for (var i = 0; i < period; i++)
+            foreach (var data in TestHelper.GetDataStream(8))
             {
-                lwma.Update(time.AddSeconds(i), values[i]);
+                lwma.Update(data);
             }
-            Assert.AreEqual(current, lwma.Current.Value);
             Assert.IsTrue(lwma.IsReady);
             Assert.AreNotEqual(0m, lwma.Current.Value);
             Assert.AreNotEqual(0, lwma.Samples);

Tests/QuantConnect.Tests.csproj

@@ -364,6 +364,9 @@
     <ProjectReference Include="..\ToolBox\QuantConnect.ToolBox.csproj" />
   </ItemGroup>
   <ItemGroup>
+    <Content Include="TestData\spx_lwma.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
     <Content Include="TestData\spy_10_min.txt">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>

Tests/TestData/spx_lwma.csv

@@ -0,0 +1,23 @@
+Date,Close,LWMA
+5/1/2023 00:00:00,4167.87,0
+5/2/2023 00:00:00,4119.58,0
+5/3/2023 00:00:00,4090.75,0
+5/4/2023 00:00:00,4061.22,0
+5/5/2023 00:00:00,4136.25,0
+5/8/2023 00:00:00,4138.12,4115.91
+5/9/2023 00:00:00,4119.17,4115.97
+5/10/2023 00:00:00,4137.64,4123.6242
+5/11/2023 00:00:00,4130.62,4128.4133
+5/12/2023 00:00:00,4124.08,4129.4352
+5/15/2023 00:00:00,4136.28,4130.95
+5/16/2023 00:00:00,4109.90,4124.9252
+5/17/2023 00:00:00,4158.77,4134.2076
+5/18/2023 00:00:00,4198.05,4152.8271
+5/19/2023 00:00:00,4191.98,4166.8357
+5/22/2023 00:00:00,4192.63,4178.1080
+5/23/2023 00:00:00,4145.58,4172.6733
+5/24/2023 00:00:00,4115.24,4158.1271
+5/25/2023 00:00:00,4151.28,4153.6238
+5/26/2023 00:00:00,4205.45,4164.9542
+5/30/2023 00:00:00,4205.52,4175.9523
+5/31/2023 00:00:00,4179.83,4178.9657