/* * 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 System; using QuantConnect.Data.Market; namespace QuantConnect.Indicators.CandlestickPatterns { /// /// Harami candlestick pattern indicator /// /// /// Must have: /// - first candle: long white (black) real body /// - second candle: short real body totally engulfed by the first /// The meaning of "short" and "long" is specified with SetCandleSettings /// The returned value is positive(+1) when bullish or negative(-1) when bearish; /// The user should consider that a harami is significant when it appears in a downtrend if bullish or /// in an uptrend when bearish, while this function does not consider the trend /// public class Harami : CandlestickPattern { private readonly int _bodyLongAveragePeriod; private readonly int _bodyShortAveragePeriod; private decimal _bodyLongPeriodTotal; private decimal _bodyShortPeriodTotal; /// /// Initializes a new instance of the class using the specified name. /// /// The name of this indicator public Harami(string name) : base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod) + 1 + 1) { _bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod; _bodyShortAveragePeriod = CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod; } /// /// Initializes a new instance of the class. /// public Harami() : this("HARAMI") { } /// /// 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 - 1 && Samples < Period - 1) { _bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, input); } if (Samples >= Period - _bodyShortAveragePeriod) { _bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, input); } return 0m; } decimal value; if ( // 1st: long GetRealBody(window[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[1]) && // 2nd: short GetRealBody(input) <= GetCandleAverage(CandleSettingType.BodyShort, _bodyShortPeriodTotal, input) && // engulfed by 1st Math.Max(input.Close, input.Open) < Math.Max(window[1].Close, window[1].Open) && Math.Min(input.Close, input.Open) > Math.Min(window[1].Close, window[1].Open) ) value = -(int)GetCandleColor(window[1]); 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]); _bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, input) - GetCandleRange(CandleSettingType.BodyShort, window[_bodyShortAveragePeriod]); return value; } /// /// Resets this indicator to its initial state /// public override void Reset() { _bodyLongPeriodTotal = 0m; _bodyShortPeriodTotal = 0m; base.Reset(); } } }