protected virtual bool CheckAcrossFrames(List <Frame> acrossFrames, AboveBelowDMA trueFor)
{
foreach (Frame frame in acrossFrames)
{
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
double acrossHeight;
double barHeight = frame.Bar.highMid - frame.Bar.lowMid;
if (trueFor == AboveBelowDMA.Above)
{
acrossHeight = displaced3x3.Value.Value - frame.Bar.lowMid;
}
else
{
acrossHeight = frame.Bar.highMid - displaced3x3.Value.Value;
}
if ((acrossHeight / barHeight) > _acrossFramesCoefficient)
{
return(false);
}
}
return(true);
}
/// <summary>
/// Determines if a list of leaderSides are equal to a specified value.
/// </summary>
/// <param name="leaderSides">The list of AboveBelowDMA values to examine.</param>
/// <param name="trueFor">The AboveBelowDMA side all leaderSides should equal.</param>
/// <returns>True if all leader values equal the truefor value.
/// False all leader values do not equal the truefor value.</returns>
protected virtual bool CheckLeaders(List <AboveBelowDMA> leaderSides, AboveBelowDMA trueFor)
{
bool result = false;
result = leaderSides.TrueForAll(x => x == trueFor);
return(result);
}
/*
* upThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
*
* downThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
* above or below the 3x3?
*/
#endregion
/// <summary>
/// Searches the chart for a thrust pattern.
/// </summary>
/// <param name="chart">Chart object containing at least 20 frames</param>
/// <returns>A tradeable thrust object, if found.</returns>
protected override Thrust DetectThrust()
{
Thrust thrust = null;
if (_chart.Frames.Count >= 20)
{
Frame frame;
bool upThrustFound = false, downThrustFound = false;
short above3x3Count = 0, above3x3Links = 0, below3x3Count = 0, below3x3Links = 0, across3x3Count = 0;
Func <short> sequentialAbove3x3Count = () => { return(above3x3Links > 0 ? (short)(above3x3Links + 1) : (short)0); };
Func <short> sequentialBelow3x3Count = () => { return(below3x3Links > 0 ? (short)(below3x3Links + 1) : (short)0); };
AboveBelowDMA previousCandleSide = AboveBelowDMA.Unknown, currentCandleSide = AboveBelowDMA.Unknown;
List <AboveBelowDMA> leaderSides = new List <AboveBelowDMA>();
// only need to sniff 20 frames to find thrust
// if not in 20 frames, whatever thrust exists has yielded to a consolidation period .. no good
short loopCount = 0;
while (loopCount < 20)
{
loopCount++;
int i = _chart.Frames.Count - loopCount;
frame = _chart.Frames[i];
IPriceBar candle = frame.Bar;
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (candle.lowMid >= displaced3x3.Value)
{
above3x3Count++;
if (previousCandleSide == AboveBelowDMA.Above)
{
above3x3Links++;
}
currentCandleSide = previousCandleSide = AboveBelowDMA.Above;
}
else if (candle.highMid <= displaced3x3.Value)
{
below3x3Count++;
if (previousCandleSide == AboveBelowDMA.Below)
{
below3x3Links++;
}
currentCandleSide = previousCandleSide = AboveBelowDMA.Below;
}
else
{
across3x3Count++;
currentCandleSide = previousCandleSide = AboveBelowDMA.Across;
}
// save the first 3 bar sides
if (leaderSides.Count < 3)
{
leaderSides.Add(currentCandleSide);
}
// start thrust parsing once 10 bars have been examined
if (loopCount > 9)
{
upThrustFound = sequentialAbove3x3Count() >= 6 && sequentialBelow3x3Count() <= 3 &&
CheckLeaders(leaderSides, AboveBelowDMA.Above) && !Displaced3x3HasDoubleDip(i, EPatternDirection.Up);
downThrustFound = sequentialBelow3x3Count() >= 6 && sequentialAbove3x3Count() <= 3 &&
CheckLeaders(leaderSides, AboveBelowDMA.Below) && !Displaced3x3HasDoubleDip(i, EPatternDirection.Down);
if (upThrustFound || downThrustFound)
{
EPatternDirection direction = upThrustFound ? EPatternDirection.Up : EPatternDirection.Down;
Frame reactionFrame = FindReactionFrame(frame, i, direction);
if (reactionFrame != null)
{
int checkAcrossIndex = GetCheckAcrossIndex(reactionFrame, direction);
AboveBelowDMA checkAcrossSide = upThrustFound ? AboveBelowDMA.Above : AboveBelowDMA.Below;
if (CheckAcrossFrames(checkAcrossIndex, checkAcrossSide))
{
thrust = BuildThrust(reactionFrame, direction);
}
}
break;
}
}
}
}
return(thrust);
}
/*
* upThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
*
* downThrust
* traverse >= 10 bars
* >= 7 bars have low bid above the 3x3
* >= 5 consecutive bars must have low bid above the 3x3
* sequence may not start with > 3 bars with low bid below 3x3
* if (any of?) top 3 bars of sequence have low bid below 3x3 then lowest low bid of those below the 3x3 must be > .386 ask price
* thrust range must be >= (.06 x thrust ReactionPrice)
* MACD histogram value of all thrust frames must be > 0
* above or below the 3x3?
*/
#endregion
/// <summary>
/// Searches the chart for a thrust pattern.
/// </summary>
/// <param name="chart">Chart object containing at least 20 frames</param>
/// <returns>A tradeable thrust object, if found.</returns>
protected override Thrust DetectThrust()
{
Thrust thrust = null;
if (_chart.Frames.Count >= 20)
{
Frame frame;
bool upThrustFound = false, downThrustFound = false;
short above3x3Count = 0, below3x3Count = 0, across3x3Count = 0;
AboveBelowDMA currentCandleSide = AboveBelowDMA.Unknown;
List <AboveBelowDMA> leaderSides = new List <AboveBelowDMA>();
List <Frame> acrossFrames = new List <Frame>();
// only need to sniff 20 frames to find thrust
// if not in 20 frames, whatever thrust exists has yielded to a consolidation period .. no good
for (int loopCount = 1; true; loopCount++)
{
int i = _chart.Frames.Count - loopCount;
frame = _chart.Frames[i];
IPriceBar candle = frame.Bar;
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (candle.lowMid >= displaced3x3.Value)
{
above3x3Count++;
currentCandleSide = AboveBelowDMA.Above;
}
else if (candle.highMid <= displaced3x3.Value)
{
below3x3Count++;
currentCandleSide = AboveBelowDMA.Below;
}
else
{
across3x3Count++;
currentCandleSide = AboveBelowDMA.Across;
acrossFrames.Add(frame);
}
// save the first 3 bar sides
if (leaderSides.Count < 3)
{
leaderSides.Add(currentCandleSide);
}
// start thrust parsing once 10 bars have been examined
if (loopCount == 7)
{
upThrustFound = above3x3Count >= 5 && below3x3Count == 0 && CheckLeaders(leaderSides, AboveBelowDMA.Above) && CheckAcrossFrames(acrossFrames, AboveBelowDMA.Above);
downThrustFound = below3x3Count >= 5 && above3x3Count == 0 && CheckLeaders(leaderSides, AboveBelowDMA.Below) && CheckAcrossFrames(acrossFrames, AboveBelowDMA.Below);
if (upThrustFound || downThrustFound)
{
EPatternDirection direction = upThrustFound ? EPatternDirection.Up : EPatternDirection.Down;
Frame reactionFrame = FindReactionFrame(frame, i, direction);
if (reactionFrame != null)
{
int checkAcrossIndex = GetCheckAcrossIndex(reactionFrame, direction);
AboveBelowDMA checkAcrossSide = upThrustFound ? AboveBelowDMA.Above : AboveBelowDMA.Below;
if (CheckAcrossFrames(checkAcrossIndex, checkAcrossSide))
{
thrust = BuildThrust(reactionFrame, direction);
}
}
}
break;
}
}
}
return(thrust);
}
/// <summary>
/// Checks each frame price bar after the startIndex frame price bar to discover those that cross the 3x3.
/// If a bar crosses the 3x3, no more than 0.382*[bar length] may be across the 3x3.
/// </summary>
/// <param name="reactionIndex"></param>
/// <param name="trueFor"></param>
/// <returns></returns>
protected virtual bool CheckAcrossFrames(int startIndex, AboveBelowDMA trueFor)
{
IEnumerable <Frame> afterReactionFrames = _chart.Frames.Skip(startIndex + 1);
return(CheckAcrossFrames(afterReactionFrames.ToList(), trueFor));
}
