wehub-resource-sync
132 lines
5.3 KiB
C#
132 lines
5.3 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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/// On-Neck 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 candle
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/// - second candle: white candle with open below previous day low and close equal to previous day low
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/// The meaning of "equal" is specified with SetCandleSettings
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/// The returned value is negative(-1): on-neck is always bearish
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/// The user should consider that on-neck is significant when it appears in a downtrend, while this function
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/// does not consider it
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/// </remarks>
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public class OnNeck : CandlestickPattern
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{
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private readonly int _equalAveragePeriod;
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private readonly int _bodyLongAveragePeriod;
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private decimal _equalPeriodTotal;
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private decimal _bodyLongPeriodTotal;
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/// <summary>
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/// Initializes a new instance of the <see cref="OnNeck"/> 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 OnNeck(string name)
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: base(name, Math.Max(CandleSettings.Get(CandleSettingType.Equal).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 1 + 1)
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{
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_equalAveragePeriod = CandleSettings.Get(CandleSettingType.Equal).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="OnNeck"/> class.
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/// </summary>
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public OnNeck()
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: this("ONNECK")
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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 - _equalAveragePeriod)
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{
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_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]);
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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[1]);
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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: black
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GetCandleColor(window[1]) == CandleColor.Black &&
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// long
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GetRealBody(window[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[1]) &&
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// 2nd: white
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GetCandleColor(input) == CandleColor.White &&
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// open below prior low
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input.Open < window[1].Low &&
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// close equal to prior low
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input.Close <= window[1].Low + GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1]) &&
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input.Close >= window[1].Low - GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1])
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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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_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]) -
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GetCandleRange(CandleSettingType.Equal, window[_equalAveragePeriod + 1]);
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_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[1]) -
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GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod + 1]);
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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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_equalPeriodTotal = 0m;
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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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