wehub-resource-sync
138 lines
6.2 KiB
C#
138 lines
6.2 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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/// Concealed Baby Swallow candlestick pattern
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first candle: black marubozu (very short shadows)
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/// - second candle: black marubozu(very short shadows)
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/// - third candle: black candle that opens gapping down but has an upper shadow that extends into the prior body
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/// - fourth candle: black candle that completely engulfs the third candle, including the shadows
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/// The meanings of "very short shadow" are specified with SetCandleSettings;
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/// The returned value is positive(+1): concealing baby swallow is always bullish;
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/// The user should consider that concealing baby swallow is significant when it appears in downtrend, while
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/// this function does not consider it
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/// </remarks>
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public class ConcealedBabySwallow : CandlestickPattern
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{
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private readonly int _shadowVeryShortAveragePeriod;
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private decimal[] _shadowVeryShortPeriodTotal = new decimal[4];
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/// <summary>
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/// Initializes a new instance of the <see cref="ConcealedBabySwallow"/> 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 ConcealedBabySwallow(string name)
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: base(name, CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod + 3 + 1)
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{
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_shadowVeryShortAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ConcealedBabySwallow"/> class.
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/// </summary>
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public ConcealedBabySwallow()
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: this("CONCEALEDBABYSWALLOW")
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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[3] += GetCandleRange(CandleSettingType.ShadowVeryShort, window[3]);
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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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}
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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[3]) == CandleColor.Black &&
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// 2nd black
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GetCandleColor(window[2]) == CandleColor.Black &&
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// 3rd black
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GetCandleColor(window[1]) == CandleColor.Black &&
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// 4th black
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GetCandleColor(input) == CandleColor.Black &&
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// 1st: marubozu
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GetLowerShadow(window[3]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[3], window[3]) &&
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GetUpperShadow(window[3]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[3], window[3]) &&
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// 2nd: marubozu
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GetLowerShadow(window[2]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[2], window[2]) &&
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GetUpperShadow(window[2]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[2], window[2]) &&
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// 3rd: opens gapping down
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GetRealBodyGapDown(window[1], window[2]) &&
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// and has an upper shadow
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GetUpperShadow(window[1]) > GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[1], window[1]) &&
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// that extends into the prior body
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window[1].High > window[2].Close &&
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// 4th: engulfs the 3rd including the shadows
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input.High > window[1].High && input.Low < window[1].Low
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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 = 3; i >= 1; 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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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[4];
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base.Reset();
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}
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}
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}
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