wehub-resource-sync
199 lines
9.1 KiB
C#
199 lines
9.1 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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/// Hikkake Modified candlestick pattern
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first candle
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/// - second candle: candle with range less than first candle and close near the bottom(near the top)
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/// - third candle: lower high and higher low than 2nd
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/// - fourth candle: lower high and lower low(higher high and higher low) than 3rd
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/// The returned value for the hikkake bar is positive(+1) or negative(-1) meaning bullish or bearish hikkake
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/// Confirmation could come in the next 3 days with:
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/// - a day that closes higher than the high(lower than the low) of the 3rd candle
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/// The returned value for the confirmation bar is equal to 1 + the bullish hikkake result or -1 - the bearish hikkake result
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/// Note: if confirmation and a new hikkake come at the same bar, only the new hikkake is reported(the new hikkake
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/// overwrites the confirmation of the old hikkake);
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/// The user should consider that modified hikkake is a reversal pattern, while hikkake could be both a reversal
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/// or a continuation pattern, so bullish(bearish) modified hikkake is significant when appearing in a downtrend(uptrend)
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/// </remarks>
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public class HikkakeModified : CandlestickPattern
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{
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private readonly int _nearAveragePeriod;
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private decimal _nearPeriodTotal;
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private int _patternIndex;
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private int _patternResult;
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/// <summary>
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/// Initializes a new instance of the <see cref="HikkakeModified"/> 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 HikkakeModified(string name)
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: base(name, Math.Max(1, CandleSettings.Get(CandleSettingType.Near).AveragePeriod) + 5 + 1)
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{
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_nearAveragePeriod = CandleSettings.Get(CandleSettingType.Near).AveragePeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="HikkakeModified"/> class.
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/// </summary>
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public HikkakeModified()
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: this("HIKKAKEMODIFIED")
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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 - _nearAveragePeriod - 3 && Samples < Period - 3)
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{
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_nearPeriodTotal += GetCandleRange(CandleSettingType.Near, window[2]);
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}
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else if (Samples >= Period - 3)
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{
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// copy here the pattern recognition code below
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// 2nd: lower high and higher low than 1st
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if (window[2].High < window[3].High && window[2].Low > window[3].Low &&
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// 3rd: lower high and higher low than 2nd
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window[1].High < window[2].High && window[1].Low > window[2].Low &&
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// (bull) 4th: lower high and lower low
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((input.High < window[1].High && input.Low < window[1].Low &&
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// (bull) 2nd: close near the low
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window[2].Close <= window[2].Low + GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal, window[2])
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)
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||
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// (bear) 4th: higher high and higher low
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(input.High > window[1].High && input.Low > window[1].Low &&
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// (bull) 2nd: close near the top
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window[2].Close >= window[2].High - GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal, window[2])
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)
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)
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)
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{
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_patternResult = (input.High < window[1].High ? 1 : -1);
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_patternIndex = (int) Samples - 1;
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}
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else
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{
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// search for confirmation if modified hikkake was no more than 3 bars ago
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if (Samples <= _patternIndex + 4 &&
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// close higher than the high of 3rd
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((_patternResult > 0 && input.Close > window[(int) Samples - _patternIndex].High)
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||
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// close lower than the low of 3rd
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(_patternResult < 0 && input.Close < window[(int) Samples - _patternIndex].Low))
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)
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_patternIndex = 0;
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}
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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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_nearPeriodTotal += GetCandleRange(CandleSettingType.Near, window[2]) -
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GetCandleRange(CandleSettingType.Near, window[(int)Samples - 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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// 2nd: lower high and higher low than 1st
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if (window[2].High < window[3].High && window[2].Low > window[3].Low &&
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// 3rd: lower high and higher low than 2nd
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window[1].High < window[2].High && window[1].Low > window[2].Low &&
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// (bull) 4th: lower high and lower low
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((input.High < window[1].High && input.Low < window[1].Low &&
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// (bull) 2nd: close near the low
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window[2].Close <= window[2].Low + GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal, window[2])
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)
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||
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// (bear) 4th: higher high and higher low
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(input.High > window[1].High && input.Low > window[1].Low &&
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// (bull) 2nd: close near the top
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window[2].Close >= window[2].High - GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal, window[2])
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)
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)
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)
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{
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_patternResult = (input.High < window[1].High ? 1 : -1);
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_patternIndex = (int) Samples - 1;
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value = _patternResult;
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}
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else
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{
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// search for confirmation if modified hikkake was no more than 3 bars ago
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if (Samples <= _patternIndex + 4 &&
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// close higher than the high of 3rd
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((_patternResult > 0 && input.Close > window[(int)Samples - _patternIndex].High)
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||
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// close lower than the low of 3rd
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(_patternResult < 0 && input.Close < window[(int)Samples - _patternIndex].Low))
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)
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{
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value = _patternResult + (_patternResult > 0 ? 1 : -1);
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_patternIndex = 0;
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}
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else
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value = 0;
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}
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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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_nearPeriodTotal += GetCandleRange(CandleSettingType.Near, window[2]) -
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GetCandleRange(CandleSettingType.Near, window[_nearAveragePeriod + 5]);
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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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_nearPeriodTotal = 0;
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_patternIndex = 0;
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_patternResult = 0;
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base.Reset();
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}
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}
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}
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