/* * 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(); } } }