/* * 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 { /// /// Takuri (Dragonfly Doji with very long lower shadow) candlestick pattern indicator /// /// /// Must have: /// - doji body /// - open and close at the high of the day = no or very short upper shadow /// - very long lower shadow /// The meaning of "doji", "very short" and "very long" is specified with SetCandleSettings /// The returned value is always positive(+1) but this does not mean it is bullish: takuri must be considered /// relatively to the trend /// public class Takuri : CandlestickPattern { private readonly int _bodyDojiAveragePeriod; private readonly int _shadowVeryShortAveragePeriod; private readonly int _shadowVeryLongAveragePeriod; private decimal _bodyDojiPeriodTotal; private decimal _shadowVeryShortPeriodTotal; private decimal _shadowVeryLongPeriodTotal; /// /// Initializes a new instance of the class using the specified name. /// /// The name of this indicator public Takuri(string name) : base(name, Math.Max(Math.Max(CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod, CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod), CandleSettings.Get(CandleSettingType.ShadowVeryLong).AveragePeriod) + 1) { _bodyDojiAveragePeriod = CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod; _shadowVeryShortAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod; _shadowVeryLongAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowVeryLong).AveragePeriod; } /// /// Initializes a new instance of the class. /// public Takuri() : this("TAKURI") { } /// /// 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 - _bodyDojiAveragePeriod) { _bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input); } if (Samples >= Period - _shadowVeryShortAveragePeriod) { _shadowVeryShortPeriodTotal += GetCandleRange(CandleSettingType.ShadowVeryShort, input); } if (Samples >= Period - _shadowVeryLongAveragePeriod) { _shadowVeryLongPeriodTotal += GetCandleRange(CandleSettingType.ShadowVeryLong, input); } return 0m; } decimal value; if (GetRealBody(input) <= GetCandleAverage(CandleSettingType.BodyDoji, _bodyDojiPeriodTotal, input) && GetUpperShadow(input) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal, input) && GetLowerShadow(input) > GetCandleAverage(CandleSettingType.ShadowVeryLong, _shadowVeryLongPeriodTotal, input) ) 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) _bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input) - GetCandleRange(CandleSettingType.BodyDoji, window[_bodyDojiAveragePeriod]); _shadowVeryShortPeriodTotal += GetCandleRange(CandleSettingType.ShadowVeryShort, input) - GetCandleRange(CandleSettingType.ShadowVeryShort, window[_shadowVeryShortAveragePeriod]); _shadowVeryLongPeriodTotal += GetCandleRange(CandleSettingType.ShadowVeryLong, input) - GetCandleRange(CandleSettingType.ShadowVeryLong, window[_shadowVeryLongAveragePeriod]); return value; } /// /// Resets this indicator to its initial state /// public override void Reset() { _bodyDojiPeriodTotal = 0m; _shadowVeryShortPeriodTotal = 0m; _shadowVeryLongPeriodTotal = 0m; base.Reset(); } } }