/*
* 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 Cross candlestick pattern indicator
///
///
/// Must have:
/// - first candle: long white (black) real body
/// - second candle: doji totally engulfed by the first
/// The meaning of "doji" 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 cross 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 HaramiCross : CandlestickPattern
{
private readonly int _bodyLongAveragePeriod;
private readonly int _bodyDojiAveragePeriod;
private decimal _bodyLongPeriodTotal;
private decimal _bodyDojiPeriodTotal;
///
/// Initializes a new instance of the class using the specified name.
///
/// The name of this indicator
public HaramiCross(string name)
: base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod) + 1 + 1)
{
_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
_bodyDojiAveragePeriod = CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod;
}
///
/// Initializes a new instance of the class.
///
public HaramiCross()
: this("HARAMICROSS")
{
}
///
/// 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 - _bodyDojiAveragePeriod)
{
_bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input);
}
return 0m;
}
decimal value;
if (
// 1st: long
GetRealBody(window[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[1]) &&
// 2nd: doji
GetRealBody(input) <= GetCandleAverage(CandleSettingType.BodyDoji, _bodyDojiPeriodTotal, 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]);
_bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input) -
GetCandleRange(CandleSettingType.BodyDoji, window[_bodyDojiAveragePeriod]);
return value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
_bodyLongPeriodTotal = 0m;
_bodyDojiPeriodTotal = 0m;
base.Reset();
}
}
}