feature: Implements SFX

Algorithm/QCAlgorithm.Indicators.cs

@@ -2013,6 +2013,26 @@ public SchaffTrendCycle STC(Symbol symbol, int cyclePeriod, int fastPeriod, int
             return schaffTrendCycle;
         }
 
+        /// <summary>
+        /// Creates a new SmoothedForceIndex indicator
+        /// </summary>
+        /// <param name="symbol">The symbol for the indicator to track</param>
+        /// <param name="atrPeriod">The period used to calculate the Average True Range (ATR)</param>
+        /// <param name="stdDevPeriod">The period used to calculate the Standard Deviation of close prices</param>
+        /// <param name="stdDevSmoothingPeriod">The period used to smooth the Standard Deviation with a moving average</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="maType">The type of moving average used to smooth the Standard Deviation</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>
+        [DocumentationAttribute(Indicators)]
+
+        public SmoothedForceIndex SFX(Symbol symbol, int atrPeriod, int stdDevPeriod, int stdDevSmoothingPeriod, Resolution? resolution = null, MovingAverageType maType = MovingAverageType.Simple, Func<IBaseData, TradeBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"SFX({atrPeriod},{stdDevPeriod},{stdDevSmoothingPeriod})", resolution);
+            var smoothedforceindex = new SmoothedForceIndex(name, atrPeriod, stdDevPeriod, stdDevSmoothingPeriod, maType);
+            InitializeIndicator(smoothedforceindex, resolution, selector, symbol);
+            return smoothedforceindex;
+        }
+
         /// <summary>
         /// Creates a new SmoothedOnBalanceVolume indicator for the symbol. The indicator will be automatically
         /// updated on the given resolution.

Indicators/SmoothedForceIndex.cs

@@ -0,0 +1,108 @@
+/*
+ * 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>
+    /// The Smoothed Force Index (SFX) is a composite volatility indicator.
+    /// It combines the Average True Range (ATR), Standard Deviation of close prices,
+    /// and a moving average of the Standard Deviation to provide a smoother volatility measure.
+    /// SFX is designed to filter out noise and help detect changes in volatility regimes.
+    /// </summary>
+    public class SmoothedForceIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        ///<summary>
+        /// Gets the average true range
+        /// </summary>
+        public AverageTrueRange AverageTrueRange { get; }
+
+        ///<summary>
+        /// Gets the standard deviation
+        /// </summary>
+        public StandardDeviation StandardDeviation { get; }
+
+        ///<summary>
+        /// Gets the moving average standard deviation
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> MovingAverageStandardDeviation { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => AverageTrueRange.IsReady && StandardDeviation.IsReady && MovingAverageStandardDeviation.IsReady; 
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates a new Smoothed Force Index (SFX) indicator.
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="atrPeriod">The period used to calculate the Average True Range (ATR)</param>
+        /// <param name="stdDevPeriod">The period used to calculate the Standard Deviation of close prices</param>
+        /// <param name="stdDevSmoothingPeriod">The period used to smooth the Standard Deviation with a moving average</param>
+        /// <param name="maType">The type of moving average used to smooth the Standard Deviation</param>
+        public SmoothedForceIndex(string name, int atrPeriod, int stdDevPeriod, int stdDevSmoothingPeriod, MovingAverageType maType = MovingAverageType.Simple)
+            : base(name)
+        {
+            AverageTrueRange = new AverageTrueRange(atrPeriod, MovingAverageType.Wilders);
+            StandardDeviation = new StandardDeviation(stdDevPeriod);
+            MovingAverageStandardDeviation = maType.AsIndicator($"{name}_{maType}", stdDevSmoothingPeriod).Of(StandardDeviation, waitForFirstToReady: false);
+
+            WarmUpPeriod = Math.Max(AverageTrueRange.WarmUpPeriod, Math.Max(StandardDeviation.WarmUpPeriod, stdDevSmoothingPeriod));
+        }
+
+        /// <summary>
+        /// Creates a new Smoothed Force Index (SFX) indicator with a default name.
+        /// </summary>
+        /// <param name="atrPeriod">The period used to calculate the Average True Range (ATR)</param>
+        /// <param name="stdDevPeriod">The period used to calculate the Standard Deviation of close prices</param>
+        /// <param name="stdDevSmoothingPeriod">The period used to smooth the Standard Deviation with a moving average</param>
+        /// <param name="maType">The type of moving average used to smooth the Standard Deviation</param>
+        public SmoothedForceIndex(int atrPeriod, int stdDevPeriod, int stdDevSmoothingPeriod, MovingAverageType maType = MovingAverageType.Simple)
+            : this($"SFX({atrPeriod},{stdDevPeriod},{stdDevSmoothingPeriod})", atrPeriod, stdDevPeriod, stdDevSmoothingPeriod, maType)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given trade bar input.
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>The input is returned unmodified.</returns>
+        protected override decimal ComputeNextValue(TradeBar input)
+        {
+            AverageTrueRange.Update(input);
+            StandardDeviation.Update(new IndicatorDataPoint(input.EndTime, input.Close));
+
+            return input.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            AverageTrueRange.Reset();
+            StandardDeviation.Reset();
+            MovingAverageStandardDeviation.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/SmoothedForceIndexTests.cs

@@ -0,0 +1,77 @@
+/*
+ * 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.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class SmoothedForceIndexTests : CommonIndicatorTests<TradeBar>
+    {
+        protected override IndicatorBase<TradeBar> CreateIndicator()
+        {
+            RenkoBarSize = 1m;
+            // VolumeRenkoBarSize = 0.5m; // when uncommented test AcceptsVolumeRenkoBarsAsInput in hanging
+            return new SmoothedForceIndex(12, 12, 3);
+        }
+
+        protected override string TestFileName => "spy_with_SmoothedForceIndex.csv";
+
+        protected override string TestColumnName => "atr";
+
+        protected override Action<IndicatorBase<TradeBar>, double> Assertion =>
+            (indicator, expected) =>
+                Assert.AreEqual(expected, (double) ((SmoothedForceIndex) indicator).AverageTrueRange.Current.Value, 1e-3);
+
+        [Test]
+        public void CompareWithExternalDataAverageTrueRange()
+        {
+            TestHelper.TestIndicator(
+                CreateIndicator() as SmoothedForceIndex,
+                TestFileName,
+                "atr",
+                (ind, expected) => Assert.AreEqual(expected,
+                    (double)((SmoothedForceIndex)ind).AverageTrueRange.Current.Value, 1e-3)
+            );
+        }
+
+        [Test]
+        public void CompareWithExternalStandardDeviation()
+        {
+            TestHelper.TestIndicator(
+                CreateIndicator() as SmoothedForceIndex,
+                TestFileName,
+                "std_dev",
+                (ind, expected) => Assert.AreEqual(expected,
+                    (double)((SmoothedForceIndex)ind).StandardDeviation.Current.Value, 1e-3)
+            );
+        }
+
+        [Test]
+        public void CompareWithExternalMovingAverageStandardDeviation()
+        {
+            TestHelper.TestIndicator(
+                CreateIndicator() as SmoothedForceIndex,
+                TestFileName,
+                "ma_std_dev",
+                (ind, expected) => Assert.AreEqual(expected,
+                    (double)((SmoothedForceIndex)ind).MovingAverageStandardDeviation.Current.Value, 1e-3)
+            );
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -374,6 +374,9 @@
     <None Update="TestData\spy_with_ForceIndex.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>
+    <None Update="TestData\spy_with_SmoothedForceIndex.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </None>
     <None Update="TestData\spy_with_hilbert.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>