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.
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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