chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,159 @@
|
||||
/*
|
||||
* 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.CandlestickPatterns
|
||||
{
|
||||
/// <summary>
|
||||
/// Evening Star candlestick pattern
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// Must have:
|
||||
/// - first candle: long white real body
|
||||
/// - second candle: star(short real body gapping up)
|
||||
/// - third candle: black real body that moves well within the first candle's real body
|
||||
/// The meaning of "short" and "long" is specified with SetCandleSettings
|
||||
/// The meaning of "moves well within" is specified with penetration and "moves" should mean the real body should
|
||||
/// not be short ("short" is specified with SetCandleSettings) - Greg Morris wants it to be long, someone else want
|
||||
/// it to be relatively long
|
||||
/// The returned value is negative(-1): evening star is always bearish;
|
||||
/// The user should consider that an evening star is significant when it appears in an uptrend,
|
||||
/// while this function does not consider the trend
|
||||
/// </remarks>
|
||||
public class EveningStar : CandlestickPattern
|
||||
{
|
||||
private readonly decimal _penetration;
|
||||
|
||||
private readonly int _bodyLongAveragePeriod;
|
||||
private readonly int _bodyShortAveragePeriod;
|
||||
|
||||
private decimal _bodyLongPeriodTotal;
|
||||
private decimal _bodyShortPeriodTotal;
|
||||
private decimal _bodyShortPeriodTotal2;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="EveningStar"/> class using the specified name.
|
||||
/// </summary>
|
||||
/// <param name="name">The name of this indicator</param>
|
||||
/// <param name="penetration">Percentage of penetration of a candle within another candle</param>
|
||||
public EveningStar(string name, decimal penetration = 0.3m)
|
||||
: base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 2 + 1)
|
||||
{
|
||||
_penetration = penetration;
|
||||
|
||||
_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
|
||||
_bodyShortAveragePeriod = CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="EveningStar"/> class.
|
||||
/// </summary>
|
||||
/// <param name="penetration">Percentage of penetration of a candle within another candle</param>
|
||||
public EveningStar(decimal penetration)
|
||||
: this("EVENINGSTAR", penetration)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="EveningStar"/> class.
|
||||
/// </summary>
|
||||
public EveningStar()
|
||||
: this("EVENINGSTAR")
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets a flag indicating when this indicator is ready and fully initialized
|
||||
/// </summary>
|
||||
public override bool IsReady
|
||||
{
|
||||
get { return Samples >= Period; }
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Computes the next value of this indicator from the given state
|
||||
/// </summary>
|
||||
/// <param name="window">The window of data held in this indicator</param>
|
||||
/// <param name="input">The input given to the indicator</param>
|
||||
/// <returns>A new value for this indicator</returns>
|
||||
protected override decimal ComputeNextValue(IReadOnlyWindow<IBaseDataBar> window, IBaseDataBar input)
|
||||
{
|
||||
if (!IsReady)
|
||||
{
|
||||
if (Samples >= Period - _bodyLongAveragePeriod - 2 && Samples < Period - 2)
|
||||
{
|
||||
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, input);
|
||||
}
|
||||
|
||||
if (Samples >= Period - _bodyShortAveragePeriod && Samples < Period)
|
||||
{
|
||||
_bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, window[1]);
|
||||
_bodyShortPeriodTotal2 += GetCandleRange(CandleSettingType.BodyShort, input);
|
||||
}
|
||||
|
||||
return 0m;
|
||||
}
|
||||
|
||||
decimal value;
|
||||
if (
|
||||
// 1st: long
|
||||
GetRealBody(window[2]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[2]) &&
|
||||
// white
|
||||
GetCandleColor(window[2]) == CandleColor.White &&
|
||||
// 2nd: short
|
||||
GetRealBody(window[1]) <= GetCandleAverage(CandleSettingType.BodyShort, _bodyShortPeriodTotal, window[1]) &&
|
||||
// gapping up
|
||||
GetRealBodyGapUp(window[1], window[2]) &&
|
||||
// 3rd: longer than short
|
||||
GetRealBody(input) > GetCandleAverage(CandleSettingType.BodyShort, _bodyShortPeriodTotal2, input) &&
|
||||
// black real body
|
||||
GetCandleColor(input) == CandleColor.Black &&
|
||||
// closing well within 1st rb
|
||||
input.Close < window[2].Close - GetRealBody(window[2]) * _penetration
|
||||
)
|
||||
value = -1m;
|
||||
else
|
||||
value = 0m;
|
||||
|
||||
// add the current range and subtract the first range: this is done after the pattern recognition
|
||||
// when avgPeriod is not 0, that means "compare with the previous candles" (it excludes the current candle)
|
||||
|
||||
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[2]) -
|
||||
GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod + 2]);
|
||||
|
||||
_bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, window[1]) -
|
||||
GetCandleRange(CandleSettingType.BodyShort, window[_bodyShortAveragePeriod + 1]);
|
||||
|
||||
_bodyShortPeriodTotal2 += GetCandleRange(CandleSettingType.BodyShort, input) -
|
||||
GetCandleRange(CandleSettingType.BodyShort, window[_bodyShortAveragePeriod]);
|
||||
|
||||
return value;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Resets this indicator to its initial state
|
||||
/// </summary>
|
||||
public override void Reset()
|
||||
{
|
||||
_bodyLongPeriodTotal = 0;
|
||||
_bodyShortPeriodTotal = 0;
|
||||
_bodyShortPeriodTotal2 = 0;
|
||||
base.Reset();
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user