/// <summary>True if a break-out to the 'high' side is detected</summary>
private bool IsBreakOutInternal(Monic trend, List <Peak> peaks, bool high)
{
// A break-out is when the latest candle is significantly above the upper trend line
// or below the lower trend line and showing signs of going further. Also, the preceding candles
// must be below the trend line.
// No trend, no break-out
if (trend == null)
{
return(false);
}
// The latest candle must be in the break-out direction
var sign = high ? +1 : -1;
var latest = Instrument.Latest;
if (latest.Sign != sign)
{
return(false);
}
// The price must be beyond the trend by a significant amount
var price_threshold = trend.F(0.0) + sign * Instrument.MCS;
if (Math.Sign(latest.Close - price_threshold) != sign)
{
return(false);
}
// Only the latest few candles can be beyond the trend line
// and all must be in the direction of the break out.
if (peaks[0].Index < -2)
{
// Allow the last two candles to be part of the break out
foreach (var c in Instrument.CandleRange(peaks[0].Index, -2))
{
// If more than half the candle is beyond the trend line, not a breakout
var ratio = sign * Instrument.Compare(c, trend, false);
if (ratio > 0)
{
return(false);
}
}
}
return(true);
}