/* * 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(); } } }