/* * 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 { /// /// Morning Star candlestick pattern /// /// /// Must have: /// - first candle: long black real body /// - second candle: star(Short real body gapping down) /// - third candle: white real body that moves well within the first candle's real body /// The meaning of "short" and "long" is specified with SetCandleSettings /// The meaning of "moves well within" is specified with penetration and "moves" should mean the real body should /// not be short ("short" is specified with SetCandleSettings) - Greg Morris wants it to be long, someone else want /// it to be relatively long /// The returned value is positive(+1): morning star is always bullish; /// The user should consider that a morning star is significant when it appears in a downtrend, /// while this function does not consider the trend /// public class MorningStar : CandlestickPattern { private readonly decimal _penetration; private readonly int _bodyLongAveragePeriod; private readonly int _bodyShortAveragePeriod; private decimal _bodyLongPeriodTotal; private decimal _bodyShortPeriodTotal; private decimal _bodyShortPeriodTotal2; /// /// 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 MorningStar(string name, decimal penetration = 0.3m) : base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 2 + 1) { _penetration = penetration; _bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod; _bodyShortAveragePeriod = CandleSettings.Get(CandleSettingType.BodyShort).AveragePeriod; } /// /// Initializes a new instance of the class. /// /// Percentage of penetration of a candle within another candle public MorningStar(decimal penetration) : this("MORNINGSTAR", penetration) { } /// /// Initializes a new instance of the class. /// public MorningStar() : this("MORNINGSTAR") { } /// /// 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 - 2 && Samples < Period - 2) { _bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, input); } if (Samples >= Period - _bodyShortAveragePeriod - 1 && Samples < Period - 1) { _bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, input); _bodyShortPeriodTotal2 += GetCandleRange(CandleSettingType.BodyShort, window[1]); } return 0m; } decimal value; if ( // 1st: long GetRealBody(window[2]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[2]) && // black GetCandleColor(window[2]) == CandleColor.Black && // 2nd: short GetRealBody(window[1]) <= GetCandleAverage(CandleSettingType.BodyShort, _bodyShortPeriodTotal, window[1]) && // gapping down GetRealBodyGapDown(window[1], window[2]) && // 3rd: longer than short GetRealBody(input) > GetCandleAverage(CandleSettingType.BodyShort, _bodyShortPeriodTotal2, input) && // white real body GetCandleColor(input) == CandleColor.White && // closing well within 1st rb input.Close > window[2].Close + GetRealBody(window[2]) * _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[2]) - GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod + 2]); _bodyShortPeriodTotal += GetCandleRange(CandleSettingType.BodyShort, window[1]) - GetCandleRange(CandleSettingType.BodyShort, window[_bodyShortAveragePeriod + 1]); _bodyShortPeriodTotal2 += GetCandleRange(CandleSettingType.BodyShort, input) - GetCandleRange(CandleSettingType.BodyShort, window[_bodyShortAveragePeriod]); return value; } /// /// Resets this indicator to its initial state /// public override void Reset() { _bodyLongPeriodTotal = 0; _bodyShortPeriodTotal = 0; _bodyShortPeriodTotal2 = 0; base.Reset(); } } }