chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators.CandlestickPatterns
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{
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/// <summary>
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/// Breakaway candlestick pattern indicator
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first candle: long black(white)
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/// - second candle: black(white) day whose body gaps down(up)
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/// - third candle: black or white day with lower(higher) high and lower(higher) low than prior candle's
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/// - fourth candle: black(white) day with lower(higher) high and lower(higher) low than prior candle's
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/// - fifth candle: white(black) day that closes inside the gap, erasing the prior 3 days
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/// The meaning of "long" is specified with SetCandleSettings
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/// The returned value is positive(+1) when bullish or negative(-1) when bearish;
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/// The user should consider that breakaway is significant in a trend opposite to the last candle, while this
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/// function does not consider it
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/// </remarks>
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public class Breakaway : CandlestickPattern
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{
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private readonly int _bodyLongAveragePeriod;
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private decimal _bodyLongPeriodTotal;
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/// <summary>
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/// Initializes a new instance of the <see cref="Breakaway"/> class using the specified name.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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public Breakaway(string name)
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: base(name, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod + 4 + 1)
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{
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_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="Breakaway"/> class.
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/// </summary>
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public Breakaway()
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: this("BREAKAWAY")
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{
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}
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady
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{
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get { return Samples >= Period; }
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IBaseDataBar> window, IBaseDataBar input)
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{
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if (!IsReady)
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{
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if (Samples >= Period - _bodyLongAveragePeriod)
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{
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_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[4]);
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}
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return 0m;
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}
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decimal value;
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if (
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// 1st long
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GetRealBody(window[4]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[4]) &&
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// 1st, 2nd, 4th same color, 5th opposite
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GetCandleColor(window[4]) == GetCandleColor(window[3]) &&
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GetCandleColor(window[3]) == GetCandleColor(window[1]) &&
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(int)GetCandleColor(window[1]) == -(int)GetCandleColor(input) &&
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(
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(
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// when 1st is black:
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GetCandleColor(window[4]) == CandleColor.Black &&
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// 2nd gaps down
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GetRealBodyGapDown(window[3], window[4]) &&
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// 3rd has lower high and low than 2nd
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window[2].High < window[3].High && window[2].Low < window[3].Low &&
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// 4th has lower high and low than 3rd
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window[1].High < window[2].High && window[1].Low < window[2].Low &&
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// 5th closes inside the gap
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input.Close > window[3].Open && input.Close < window[4].Close
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)
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||
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(
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// when 1st is white:
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GetCandleColor(window[4]) == CandleColor.White &&
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// 2nd gaps up
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GetRealBodyGapUp(window[3], window[4]) &&
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// 3rd has higher high and low than 2nd
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window[2].High > window[3].High && window[2].Low > window[3].Low &&
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// 4th has higher high and low than 3rd
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window[1].High > window[2].High && window[1].Low > window[2].Low &&
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// 5th closes inside the gap
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input.Close < window[3].Open && input.Close > window[4].Close
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)
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)
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)
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value = (int)GetCandleColor(input);
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else
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value = 0m;
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// add the current range and subtract the first range: this is done after the pattern recognition
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// when avgPeriod is not 0, that means "compare with the previous candles" (it excludes the current candle)
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_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[4]) -
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GetCandleRange(CandleSettingType.BodyLong, window[4 + _bodyLongAveragePeriod]);
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return value;
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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_bodyLongPeriodTotal = 0m;
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base.Reset();
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}
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}
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}
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