/*
* 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
{
///
/// Kicking (bull/bear determined by the longer marubozu) candlestick pattern
///
///
/// Must have:
/// - first candle: marubozu
/// - second candle: opposite color marubozu
/// - gap between the two candles: upside gap if black then white, downside gap if white then black
/// The meaning of "long body" and "very short shadow" is specified with SetCandleSettings
/// The returned value is positive(+1) when bullish or negative(-1) when bearish; the longer of the two
/// marubozu determines the bullishness or bearishness of this pattern
///
public class KickingByLength : CandlestickPattern
{
private readonly int _shadowVeryShortAveragePeriod;
private readonly int _bodyLongAveragePeriod;
private decimal[] _shadowVeryShortPeriodTotal = new decimal[2];
private decimal[] _bodyLongPeriodTotal = new decimal[2];
///
/// Initializes a new instance of the class using the specified name.
///
/// The name of this indicator
public KickingByLength(string name)
: base(name, Math.Max(CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 1 + 1)
{
_shadowVeryShortAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod;
_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
}
///
/// Initializes a new instance of the class.
///
public KickingByLength()
: this("KICKINGBYLENGTH")
{
}
///
/// 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 - _shadowVeryShortAveragePeriod)
{
_shadowVeryShortPeriodTotal[1] += GetCandleRange(CandleSettingType.ShadowVeryShort, window[1]);
_shadowVeryShortPeriodTotal[0] += GetCandleRange(CandleSettingType.ShadowVeryShort, input);
}
if (Samples >= Period - _bodyLongAveragePeriod)
{
_bodyLongPeriodTotal[1] += GetCandleRange(CandleSettingType.BodyLong, window[1]);
_bodyLongPeriodTotal[0] += GetCandleRange(CandleSettingType.BodyLong, input);
}
return 0m;
}
decimal value;
if (
// opposite candles
(int)GetCandleColor(window[1]) == -(int)GetCandleColor(input) &&
// 1st marubozu
GetRealBody(window[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal[1], window[1]) &&
GetUpperShadow(window[1]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[1], window[1]) &&
GetLowerShadow(window[1]) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[1], window[1]) &&
// 2nd marubozu
GetRealBody(input) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal[0], input) &&
GetUpperShadow(input) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[0], input) &&
GetLowerShadow(input) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal[0], input) &&
// gap
(
(GetCandleColor(window[1]) == CandleColor.Black && GetCandleGapUp(input, window[1]))
||
(GetCandleColor(window[1]) == CandleColor.White && GetCandleGapDown(input, window[1]))
)
)
value = (int)GetCandleColor(GetRealBody(input) > GetRealBody(window[1]) ? input : 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)
for (var i = 1; i >= 0; i--)
{
_shadowVeryShortPeriodTotal[i] += GetCandleRange(CandleSettingType.ShadowVeryShort, window[i]) -
GetCandleRange(CandleSettingType.ShadowVeryShort, window[i + _shadowVeryShortAveragePeriod]);
_bodyLongPeriodTotal[i] += GetCandleRange(CandleSettingType.BodyLong, window[i]) -
GetCandleRange(CandleSettingType.BodyLong, window[i + _bodyLongAveragePeriod]);
}
return value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
_shadowVeryShortPeriodTotal = new decimal[2];
_bodyLongPeriodTotal = new decimal[2];
base.Reset();
}
}
}