Michael Handschuh
591f6b2127
Refactors existing consolidators, indicators, and helper methods to depend on IBaseData instead of BaseData. These updates also defines an IBaseDataBar to act as an abstraction point between TradeBar and QuoteBar.
223 lines
11 KiB
C#
223 lines
11 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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/// Advance Block 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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/// - each candle opens within or near the previous white real body
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/// - first candle: long white with no or very short upper shadow(a short shadow is accepted too for more flexibility)
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/// - second and third candles, or only third candle, show signs of weakening: progressively smaller white real bodies
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/// and/or relatively long upper shadows; see below for specific conditions
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/// The meanings of "long body", "short shadow", "far" and "near" are specified with SetCandleSettings;
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/// The returned value is negative(-1): advance block is always bearish;
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/// The user should consider that advance block is significant when it appears in uptrend, while this function
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/// does not consider it
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/// </remarks>
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public class AdvanceBlock : CandlestickPattern
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{
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private readonly int _shadowShortAveragePeriod;
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private readonly int _shadowLongAveragePeriod;
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private readonly int _nearAveragePeriod;
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private readonly int _farAveragePeriod;
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private readonly int _bodyLongAveragePeriod;
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private decimal[] _shadowShortPeriodTotal = new decimal[3];
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private decimal[] _shadowLongPeriodTotal = new decimal[2];
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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 _bodyLongPeriodTotal;
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/// <summary>
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/// Initializes a new instance of the <see cref="AdvanceBlock"/> 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 AdvanceBlock(string name)
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: base(name, Math.Max(Math.Max(Math.Max(CandleSettings.Get(CandleSettingType.ShadowLong).AveragePeriod, CandleSettings.Get(CandleSettingType.ShadowShort).AveragePeriod),
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Math.Max(CandleSettings.Get(CandleSettingType.Far).AveragePeriod, CandleSettings.Get(CandleSettingType.Near).AveragePeriod)),
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CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 2 + 1)
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{
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_shadowShortAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowShort).AveragePeriod;
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_shadowLongAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowLong).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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_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="AdvanceBlock"/> class.
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/// </summary>
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public AdvanceBlock()
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: this("ADVANCEBLOCK")
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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 - _shadowShortAveragePeriod)
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{
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_shadowShortPeriodTotal[2] += GetCandleRange(CandleSettingType.ShadowShort, window[2]);
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_shadowShortPeriodTotal[1] += GetCandleRange(CandleSettingType.ShadowShort, window[1]);
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_shadowShortPeriodTotal[0] += GetCandleRange(CandleSettingType.ShadowShort, input);
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}
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if (Samples >= Period - _shadowLongAveragePeriod)
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{
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_shadowLongPeriodTotal[1] += GetCandleRange(CandleSettingType.ShadowLong, window[1]);
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_shadowLongPeriodTotal[0] += GetCandleRange(CandleSettingType.ShadowLong, input);
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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[2]);
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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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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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// 2nd white
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GetCandleColor(window[1]) == CandleColor.White &&
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// 3rd white
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GetCandleColor(input) == CandleColor.White &&
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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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// 1st: long real body
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GetRealBody(window[2]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[2]) &&
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// 1st: short upper shadow
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GetUpperShadow(window[2]) < GetCandleAverage(CandleSettingType.ShadowShort, _shadowShortPeriodTotal[2], window[2]) &&
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(
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// ( 2 far smaller than 1 && 3 not longer than 2 )
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// advance blocked with the 2nd, 3rd must not carry on the advance
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(
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GetRealBody(window[1]) < GetRealBody(window[2]) - GetCandleAverage(CandleSettingType.Far, _farPeriodTotal[2], window[2]) &&
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GetRealBody(input) < GetRealBody(window[1]) + GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal[1], window[1])
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) ||
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// 3 far smaller than 2
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// advance blocked with the 3rd
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(
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GetRealBody(input) < GetRealBody(window[1]) - GetCandleAverage(CandleSettingType.Far, _farPeriodTotal[1], window[1])
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) ||
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// ( 3 smaller than 2 && 2 smaller than 1 && (3 or 2 not short upper shadow) )
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// advance blocked with progressively smaller real bodies and some upper shadows
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(
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GetRealBody(input) < GetRealBody(window[1]) &&
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GetRealBody(window[1]) < GetRealBody(window[2]) &&
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(
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GetUpperShadow(input) > GetCandleAverage(CandleSettingType.ShadowShort, _shadowShortPeriodTotal[0], input) ||
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GetUpperShadow(window[1]) > GetCandleAverage(CandleSettingType.ShadowShort, _shadowShortPeriodTotal[1], window[1])
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)
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) ||
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// ( 3 smaller than 2 && 3 long upper shadow )
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// advance blocked with 3rd candle's long upper shadow and smaller body
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(
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GetRealBody(input) < GetRealBody(window[1]) &&
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GetUpperShadow(input) > GetCandleAverage(CandleSettingType.ShadowLong, _shadowLongPeriodTotal[0], input)
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)
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)
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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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_shadowShortPeriodTotal[i] += GetCandleRange(CandleSettingType.ShadowShort, window[i]) -
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GetCandleRange(CandleSettingType.ShadowShort, window[i + _shadowShortAveragePeriod]);
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}
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for (var i = 1; i >= 0; i--)
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{
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_shadowLongPeriodTotal[i] += GetCandleRange(CandleSettingType.ShadowLong, window[i]) -
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GetCandleRange(CandleSettingType.ShadowLong, window[i + _shadowLongAveragePeriod]);
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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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_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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_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[2]) -
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GetCandleRange(CandleSettingType.BodyLong, window[2 + _bodyLongAveragePeriod]);
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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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_shadowShortPeriodTotal = new decimal[3];
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_shadowLongPeriodTotal = new decimal[2];
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_nearPeriodTotal = new decimal[3];
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_farPeriodTotal = new decimal[3];
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_bodyLongPeriodTotal = 0;
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base.Reset();
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}
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}
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}
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