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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*/
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using System;
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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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/// Mat Hold candlestick pattern
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first candle: long white candle
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/// - upside gap between the first and the second bodies
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/// - second candle: small black candle
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/// - third and fourth candles: falling small real body candlesticks(commonly black) that hold within the long
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/// white candle's body and are higher than the reaction days of the rising three methods
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/// - fifth candle: white candle that opens above the previous small candle's close and closes higher than the
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/// high of the highest reaction day
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/// The meaning of "short" and "long" is specified with SetCandleSettings;
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/// "hold within" means "a part of the real body must be within";
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/// penetration is the maximum percentage of the first white body the reaction days can penetrate(it is
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/// to specify how much the reaction days should be "higher than the reaction days of the rising three methods")
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/// The returned value is positive(+1): mat hold is always bullish
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/// </remarks>
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public class MatHold : CandlestickPattern
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{
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private readonly decimal _penetration;
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private readonly int _bodyShortAveragePeriod;
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private readonly int _bodyLongAveragePeriod;
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private decimal[] _bodyPeriodTotal = new decimal[5];
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/// <summary>
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/// Initializes a new instance of the <see cref="MatHold"/> 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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/// <param name="penetration">Percentage of penetration of a candle within another candle</param>
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public MatHold(string name, decimal penetration = 0.5m)
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: base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 4 + 1)
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{
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_penetration = penetration;
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_bodyShortAveragePeriod = CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod;
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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="MatHold"/> class.
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/// </summary>
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/// <param name="penetration">Percentage of penetration of a candle within another candle</param>
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public MatHold(decimal penetration)
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: this("MATHOLD", penetration)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="MatHold"/> class.
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/// </summary>
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public MatHold()
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: this("MATHOLD")
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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 - _bodyShortAveragePeriod)
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{
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_bodyPeriodTotal[3] += GetCandleRange(CandleSettingType.BodyShort, window[3]);
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_bodyPeriodTotal[2] += GetCandleRange(CandleSettingType.BodyShort, window[2]);
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_bodyPeriodTotal[1] += GetCandleRange(CandleSettingType.BodyShort, window[1]);
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}
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if (Samples > Period - _bodyLongAveragePeriod)
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{
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_bodyPeriodTotal[4] += 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, then 3 small
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GetRealBody(window[4]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyPeriodTotal[4], window[4]) &&
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GetRealBody(window[3]) < GetCandleAverage(CandleSettingType.BodyShort, _bodyPeriodTotal[3], window[3]) &&
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GetRealBody(window[2]) < GetCandleAverage(CandleSettingType.BodyShort, _bodyPeriodTotal[2], window[2]) &&
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GetRealBody(window[1]) < GetCandleAverage(CandleSettingType.BodyShort, _bodyPeriodTotal[1], window[1]) &&
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// white, black, 2 black or white, white
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GetCandleColor(window[4]) == CandleColor.White &&
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GetCandleColor(window[3]) == CandleColor.Black &&
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GetCandleColor(input) == CandleColor.White &&
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// upside gap 1st to 2nd
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GetRealBodyGapUp(window[3], window[4]) &&
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// 3rd to 4th hold within 1st: a part of the real body must be within 1st real body
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Math.Min(window[2].Open, window[2].Close) < window[4].Close &&
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Math.Min(window[1].Open, window[1].Close) < window[4].Close &&
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// reaction days penetrate first body less than optInPenetration percent
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Math.Min(window[2].Open, window[2].Close) > window[4].Close - GetRealBody(window[4]) * _penetration &&
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Math.Min(window[1].Open, window[1].Close) > window[4].Close - GetRealBody(window[4]) * _penetration &&
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// 2nd to 4th are falling
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Math.Max(window[2].Close, window[2].Open) < window[3].Open &&
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Math.Max(window[1].Close, window[1].Open) < Math.Max(window[2].Close, window[2].Open) &&
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// 5th opens above the prior close
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input.Open > window[1].Close &&
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// 5th closes above the highest high of the reaction days
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input.Close > Math.Max(Math.Max(window[3].High, window[2].High), window[1].High)
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)
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value = 1m;
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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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_bodyPeriodTotal[4] += GetCandleRange(CandleSettingType.BodyLong, window[4]) -
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GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod + 4]);
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for (var i = 3; i >= 1; i--)
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{
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_bodyPeriodTotal[i] += GetCandleRange(CandleSettingType.BodyShort, window[i]) -
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GetCandleRange(CandleSettingType.BodyShort, window[i + _bodyShortAveragePeriod]);
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}
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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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_bodyPeriodTotal = new decimal[5];
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base.Reset();
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}
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}
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}
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