/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using QuantConnect.Data.Market;
namespace QuantConnect.Indicators.CandlestickPatterns
{
///
/// Dark Cloud Cover candlestick pattern
///
///
/// Must have:
/// - first candle: long white candle
/// - second candle: black candle that opens above previous day high and closes within previous day real body;
/// Greg Morris wants the close to be below the midpoint of the previous real body
/// The meaning of "long" is specified with SetCandleSettings, the penetration of the first real body is specified
/// with optInPenetration
/// The returned value is negative(-1): dark cloud cover is always bearish
/// The user should consider that a dark cloud cover is significant when it appears in an uptrend, while
/// this function does not consider it
///
public class DarkCloudCover : CandlestickPattern
{
private readonly decimal _penetration;
private readonly int _bodyLongAveragePeriod;
private decimal _bodyLongPeriodTotal;
///
/// Initializes a new instance of the class using the specified name.
///
/// The name of this indicator
/// Percentage of penetration of a candle within another candle
public DarkCloudCover(string name, decimal penetration = 0.5m)
: base(name, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod + 1 + 1)
{
_penetration = penetration;
_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
}
///
/// Initializes a new instance of the class.
///
/// Percentage of penetration of a candle within another candle
public DarkCloudCover(decimal penetration)
: this("DARKCLOUDCOVER", penetration)
{
}
///
/// Initializes a new instance of the class.
///
public DarkCloudCover()
: this("DARKCLOUDCOVER")
{
}
///
/// Gets a flag indicating when this indicator is ready and fully initialized
///
public override bool IsReady
{
get { return Samples >= Period; }
}
///
/// Computes the next value of this indicator from the given state
///
/// The window of data held in this indicator
/// The input given to the indicator
/// A new value for this indicator
protected override decimal ComputeNextValue(IReadOnlyWindow window, IBaseDataBar input)
{
if (!IsReady)
{
if (Samples >= Period - _bodyLongAveragePeriod)
{
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[1]);
}
return 0m;
}
decimal value;
if (
// 1st: white
GetCandleColor(window[1]) == CandleColor.White &&
// long
GetRealBody(window[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[1]) &&
// 2nd: black
GetCandleColor(input) == CandleColor.Black &&
// open above prior high
input.Open > window[1].High &&
// close within prior body
input.Close > window[1].Open &&
input.Close < window[1].Close - GetRealBody(window[1]) * _penetration
)
value = -1m;
else
value = 0m;
// add the current range and subtract the first range: this is done after the pattern recognition
// when avgPeriod is not 0, that means "compare with the previous candles" (it excludes the current candle)
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[1]) -
GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod + 1]);
return value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
_bodyLongPeriodTotal = 0;
base.Reset();
}
}
}