/* * 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 { /// /// Tristar candlestick pattern indicator /// /// /// Must have: /// - 3 consecutive doji days /// - the second doji is a star /// The meaning of "doji" is specified with SetCandleSettings /// The returned value is positive(+1) when bullish or negative(-1) when bearish /// public class Tristar : CandlestickPattern { private readonly int _bodyDojiAveragePeriod; private decimal _bodyDojiPeriodTotal; /// /// Initializes a new instance of the class using the specified name. /// /// The name of this indicator public Tristar(string name) : base(name, CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod + 2 + 1) { _bodyDojiAveragePeriod = CandleSettings.Get(CandleSettingType.BodyDoji).AveragePeriod; } /// /// Initializes a new instance of the class. /// public Tristar() : this("TRISTAR") { } /// /// 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 - 2 && Samples < Period - 2) { _bodyDojiPeriodTotal += GetCandleRange(CandleSettingType.BodyDoji, input); } return 0m; } decimal value; if ( // 1st: doji GetRealBody(window[2]) <= GetCandleAverage(CandleSettingType.BodyDoji, _bodyDojiPeriodTotal, window[2]) && // 2nd: doji GetRealBody(window[1]) <= GetCandleAverage(CandleSettingType.BodyDoji, _bodyDojiPeriodTotal, window[2]) && // 3rd: doji GetRealBody(input) <= GetCandleAverage(CandleSettingType.BodyDoji, _bodyDojiPeriodTotal, window[2])) { value = 0; if ( // 2nd gaps up GetRealBodyGapUp(window[1], window[2]) && // 3rd is not higher than 2nd Math.Max(input.Open, input.Close) < Math.Max(window[1].Open, window[1].Close) ) value = -1m; if ( // 2nd gaps down GetRealBodyGapDown(window[1], window[2]) && // 3rd is not lower than 2nd Math.Min(input.Open, input.Close) > Math.Min(window[1].Open, window[1].Close) ) 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, window[2]) - GetCandleRange(CandleSettingType.BodyDoji, window[_bodyDojiAveragePeriod + 2]); return value; } /// /// Resets this indicator to its initial state /// public override void Reset() { _bodyDojiPeriodTotal = 0m; base.Reset(); } } }