/*
* 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
{
///
/// On-Neck candlestick pattern indicator
///
///
/// Must have:
/// - first candle: long black candle
/// - second candle: white candle with open below previous day low and close equal to previous day low
/// The meaning of "equal" is specified with SetCandleSettings
/// The returned value is negative(-1): on-neck is always bearish
/// The user should consider that on-neck is significant when it appears in a downtrend, while this function
/// does not consider it
///
public class OnNeck : CandlestickPattern
{
private readonly int _equalAveragePeriod;
private readonly int _bodyLongAveragePeriod;
private decimal _equalPeriodTotal;
private decimal _bodyLongPeriodTotal;
///
/// Initializes a new instance of the class using the specified name.
///
/// The name of this indicator
public OnNeck(string name)
: base(name, Math.Max(CandleSettings.Get(CandleSettingType.Equal).AveragePeriod, CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod) + 1 + 1)
{
_equalAveragePeriod = CandleSettings.Get(CandleSettingType.Equal).AveragePeriod;
_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
}
///
/// Initializes a new instance of the class.
///
public OnNeck()
: this("ONNECK")
{
}
///
/// 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 - _equalAveragePeriod)
{
_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]);
}
if (Samples >= Period - _bodyLongAveragePeriod)
{
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[1]);
}
return 0m;
}
decimal value;
if (
// 1st: black
GetCandleColor(window[1]) == CandleColor.Black &&
// long
GetRealBody(window[1]) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, window[1]) &&
// 2nd: white
GetCandleColor(input) == CandleColor.White &&
// open below prior low
input.Open < window[1].Low &&
// close equal to prior low
input.Close <= window[1].Low + GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1]) &&
input.Close >= window[1].Low - GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1])
)
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)
_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]) -
GetCandleRange(CandleSettingType.Equal, window[_equalAveragePeriod + 1]);
_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()
{
_equalPeriodTotal = 0m;
_bodyLongPeriodTotal = 0m;
base.Reset();
}
}
}