wehub-resource-sync
128 lines
5.2 KiB
C#
128 lines
5.2 KiB
C#
/*
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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 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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/// Harami Cross 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 white (black) real body
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/// - second candle: doji totally engulfed by the first
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/// The meaning of "doji" and "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 a harami cross is significant when it appears in a downtrend if bullish or
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/// in an uptrend when bearish, while this function does not consider the trend
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/// </remarks>
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public class HaramiCross : CandlestickPattern
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{
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private readonly int _bodyLongAveragePeriod;
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private readonly int _bodyDojiAveragePeriod;
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private decimal _bodyLongPeriodTotal;
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private decimal _bodyDojiPeriodTotal;
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/// <summary>
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/// Initializes a new instance of the <see cref="HaramiCross"/> 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 HaramiCross(string name)
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: base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod) + 1 + 1)
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{
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_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
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_bodyDojiAveragePeriod = CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="HaramiCross"/> class.
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/// </summary>
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public HaramiCross()
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: this("HARAMICROSS")
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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 - 1 && Samples < Period - 1)
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{
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_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, input);
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}
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if (Samples >= Period - _bodyDojiAveragePeriod)
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{
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_bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input);
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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[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[1]) &&
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// 2nd: doji
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GetRealBody(input) <= GetCandleAverage(CandleSettingType.BodyDoji, _bodyDojiPeriodTotal, input) &&
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// engulfed by 1st
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Math.Max(input.Close, input.Open) < Math.Max(window[1].Close, window[1].Open) &&
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Math.Min(input.Close, input.Open) > Math.Min(window[1].Close, window[1].Open)
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)
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value = -(int)GetCandleColor(window[1]);
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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[1]) -
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GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod + 1]);
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_bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input) -
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GetCandleRange(CandleSettingType.BodyDoji, window[_bodyDojiAveragePeriod]);
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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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_bodyDojiPeriodTotal = 0m;
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base.Reset();
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}
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}
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}
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