/* * 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 QuantConnect.Data.Market; namespace QuantConnect.Indicators.CandlestickPatterns { /// /// Stick Sandwich candlestick pattern indicator /// /// /// Must have: /// - first candle: black candle /// - second candle: white candle that trades only above the prior close(low > prior close) /// - third candle: black candle with the close equal to the first candle's close /// The meaning of "equal" is specified with SetCandleSettings /// The returned value is always positive(+1): stick sandwich is always bullish; /// The user should consider that stick sandwich is significant when coming in a downtrend, /// while this function does not consider it /// public class StickSandwich : CandlestickPattern { private readonly int _equalAveragePeriod; private decimal _equalPeriodTotal; /// /// Initializes a new instance of the class using the specified name. /// /// The name of this indicator public StickSandwich(string name) : base(name, CandleSettings.Get(CandleSettingType.Equal).AveragePeriod + 2 + 1) { _equalAveragePeriod = CandleSettings.Get(CandleSettingType.Equal).AveragePeriod; } /// /// Initializes a new instance of the class. /// public StickSandwich() : this("STICKSANDWICH") { } /// /// 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.BodyLong, window[2]); } return 0m; } decimal value; if ( // first black GetCandleColor(window[2]) == CandleColor.Black && // second white GetCandleColor(window[1]) == CandleColor.White && // third black GetCandleColor(input) == CandleColor.Black && // 2nd low > prior close window[1].Low > window[2].Close && // 1st and 3rd same close input.Close <= window[2].Close + GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[2]) && input.Close >= window[2].Close - GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[2]) ) 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[2]) - GetCandleRange(CandleSettingType.Equal, window[_equalAveragePeriod + 2]); return value; } /// /// Resets this indicator to its initial state /// public override void Reset() { _equalPeriodTotal = 0m; base.Reset(); } } }