wehub-resource-sync
190 lines
9.2 KiB
C#
190 lines
9.2 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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*/
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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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/// Three Advancing White Soldiers candlestick pattern
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - three white candlesticks with consecutively higher closes
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/// - Greg Morris wants them to be long, Steve Nison doesn't; anyway they should not be short
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/// - each candle opens within or near the previous white real body
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/// - each candle must have no or very short upper shadow
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/// - to differentiate this pattern from advance block, each candle must not be far shorter than the prior candle
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/// The meanings of "not short", "very short shadow", "far" and "near" are specified with SetCandleSettings;
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/// here the 3 candles must be not short, if you want them to be long use SetCandleSettings on BodyShort;
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/// The returned value is positive (+1): advancing 3 white soldiers is always bullish;
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/// The user should consider that 3 white soldiers is significant when it appears in downtrend, while this function
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/// does not consider it
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/// </remarks>
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public class ThreeWhiteSoldiers : CandlestickPattern
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{
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private readonly int _shadowVeryShortAveragePeriod;
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private readonly int _nearAveragePeriod;
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private readonly int _farAveragePeriod;
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private readonly int _bodyShortAveragePeriod;
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private decimal[] _shadowVeryShortPeriodTotal = new decimal[3];
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private decimal[] _nearPeriodTotal = new decimal[3];
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private decimal[] _farPeriodTotal = new decimal[3];
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private decimal _bodyShortPeriodTotal;
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/// <summary>
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/// Initializes a new instance of the <see cref="ThreeWhiteSoldiers"/> 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 ThreeWhiteSoldiers(string name)
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: base(name, Math.Max(Math.Max(CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod),
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Math.Max(CandleSettings.Get(CandleSettingType.Far).AveragePeriod, CandleSettings.Get(CandleSettingType.Near).AveragePeriod)) + 2 + 1)
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{
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_shadowVeryShortAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod;
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_nearAveragePeriod = CandleSettings.Get(CandleSettingType.Near).AveragePeriod;
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_farAveragePeriod = CandleSettings.Get(CandleSettingType.Far).AveragePeriod;
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_bodyShortAveragePeriod = CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ThreeWhiteSoldiers"/> class.
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/// </summary>
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public ThreeWhiteSoldiers()
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: this("THREEWHITESOLDIERS")
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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 - _shadowVeryShortAveragePeriod)
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{
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_shadowVeryShortPeriodTotal[2] += GetCandleRange(CandleSettingType.ShadowVeryShort, window[2]);
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_shadowVeryShortPeriodTotal[1] += GetCandleRange(CandleSettingType.ShadowVeryShort, window[1]);
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_shadowVeryShortPeriodTotal[0] += GetCandleRange(CandleSettingType.ShadowVeryShort, input);
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}
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if (Samples >= Period - _nearAveragePeriod)
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{
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_nearPeriodTotal[2] += GetCandleRange(CandleSettingType.Near, window[2]);
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_nearPeriodTotal[1] += GetCandleRange(CandleSettingType.Near, window[1]);
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}
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if (Samples >= Period - _farAveragePeriod)
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{
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_farPeriodTotal[2] += GetCandleRange(CandleSettingType.Far, window[2]);
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_farPeriodTotal[1] += GetCandleRange(CandleSettingType.Far, window[1]);
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}
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if (Samples >= Period - _bodyShortAveragePeriod)
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{
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_bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, 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 white
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GetCandleColor(window[2]) == CandleColor.White &&
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// very short upper shadow
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GetUpperShadow(window[2]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[2], window[2]) &&
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// 2nd white
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GetCandleColor(window[1]) == CandleColor.White &&
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// very short upper shadow
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GetUpperShadow(window[1]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[1], window[1]) &&
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// 3rd white
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GetCandleColor(input) == CandleColor.White &&
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// very short upper shadow
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GetUpperShadow(input) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[0], input) &&
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// consecutive higher closes
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input.Close > window[1].Close && window[1].Close > window[2].Close &&
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// 2nd opens within/near 1st real body
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window[1].Open > window[2].Open &&
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window[1].Open <= window[2].Close + GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal[2], window[2]) &&
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// 3rd opens within/near 2nd real body
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input.Open > window[1].Open &&
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input.Open <= window[1].Close + GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal[1], window[1]) &&
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// 2nd not far shorter than 1st
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GetRealBody(window[1]) > GetRealBody(window[2]) - GetCandleAverage(CandleSettingType.Far, _farPeriodTotal[2], window[2]) &&
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// 3rd not far shorter than 2nd
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GetRealBody(input) > GetRealBody(window[1]) - GetCandleAverage(CandleSettingType.Far, _farPeriodTotal[1], window[1]) &&
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// not short real body
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GetRealBody(input) > GetCandleAverage(CandleSettingType.BodyShort, _bodyShortPeriodTotal, input)
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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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for (var i = 2; i >= 0; i--)
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{
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_shadowVeryShortPeriodTotal[i] += GetCandleRange(CandleSettingType.ShadowVeryShort, window[i]) -
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GetCandleRange(CandleSettingType.ShadowVeryShort, window[i + _shadowVeryShortAveragePeriod]);
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}
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for (var i = 2; i >= 1; i--)
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{
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_farPeriodTotal[i] += GetCandleRange(CandleSettingType.Far, window[i]) -
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GetCandleRange(CandleSettingType.Far, window[i + _farAveragePeriod]);
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}
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for (var i = 2; i >= 1; i--)
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{
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_nearPeriodTotal[i] += GetCandleRange(CandleSettingType.Near, window[i]) -
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GetCandleRange(CandleSettingType.Near, window[i + _nearAveragePeriod]);
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}
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_bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, input) -
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GetCandleRange(CandleSettingType.BodyShort, window[_bodyShortAveragePeriod]);
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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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_shadowVeryShortPeriodTotal = new decimal[3];
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_nearPeriodTotal = new decimal[3];
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_farPeriodTotal = new decimal[3];
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_bodyShortPeriodTotal = 0;
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base.Reset();
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}
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}
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}
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