/// <summary>
/// Determines if the thrust displaced 3x3 is sufficiently smooth.
/// </summary>
/// <param name="frameIndex">The _chart index of the first frame of the newly discovered thrust.</param>
/// <param name="direction">The direction of the thrust.</param>
/// <returns>True if the thrust 3x3 has 2 or more dips. False if the thrust 3x3 has less than 2 dips.</returns>
protected virtual bool Displaced3x3HasDoubleDip(int frameIndex, EPatternDirection direction)
{
bool result = false;
List <Frame> thrustFrames = _chart.Frames.Skip(frameIndex).ToList();
bool doubleDipFound = false;
for (int i = 0; (i + 2) < thrustFrames.Count; i++)
{
Frame frameA = thrustFrames[i], frameB = thrustFrames[i + 1], frameC = thrustFrames[i + 2];
IIndicator displaced3x3A = frameA.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
IIndicator displaced3x3B = frameB.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
IIndicator displaced3x3C = frameC.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (direction == EPatternDirection.Up)
{
doubleDipFound = displaced3x3A.Value > displaced3x3B.Value && displaced3x3B.Value > displaced3x3C.Value;
}
else
{
doubleDipFound = displaced3x3A.Value < displaced3x3B.Value && displaced3x3B.Value < displaced3x3C.Value;
}
if (doubleDipFound)
{
return(true);
}
}
return(result);
}
/// <summary>
/// Composes a thrust object
/// </summary>
/// <param name="reactionFrame">Reaction frame of the thrust</param>
/// <param name="direction">Direction of the thrust</param>
/// <returns></returns>
protected virtual Thrust BuildThrust(Frame reactionFrame, EPatternDirection direction)
{
// create the thrust
Thrust thrust = new Thrust()
{
Direction = direction,
Instrument = _chart.Instrument,
Granularity = _chart.Granularity,
SignalTime = reactionFrame.Bar.time,
SignalPrice = direction == EPatternDirection.Up ? reactionFrame.Bar.lowMid : reactionFrame.Bar.highMid,
Side = direction == EPatternDirection.Up ? MACC.Constants.SignalSide.Buy : MACC.Constants.SignalSide.Sell
};
return(thrust);
}
protected virtual int GetCheckAcrossIndex(Frame reactionFrame, EPatternDirection direction)
{
int checkAcrossIndex = _chart.Frames.IndexOf(reactionFrame);
while (checkAcrossIndex < _chart.Frames.Count)
{
Frame frame = _chart.Frames[checkAcrossIndex];
IIndicator displaced3x3 = frame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage && k.ParentOrdinal == 0);
if (direction == EPatternDirection.Up && frame.Bar.lowMid >= displaced3x3.Value)
{
break;
}
else if (direction == EPatternDirection.Down && frame.Bar.highMid <= displaced3x3.Value)
{
break;
}
checkAcrossIndex++;
}
return(checkAcrossIndex);
}
/*
* 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);
}
public Pattern()
{
_direction = EPatternDirection.None;
}
/// <summary>
/// Finds the reaction frame of a detected thrust
/// </summary>
/// <param name="pilotFrame">Frame at which a valid thrust was confirmed</param>
/// <param name="frameIndex">The _chart index of the pilot frame</param>
/// <param name="direction">The direction of the confirmed thrust</param>
/// <returns>The reaction frame of the thrust</returns>
protected virtual Frame FindReactionFrame(Frame pilotFrame, int frameIndex, EPatternDirection direction)
{
#region reaction frame logic
/// for up thrust
/// tentative rxn frame is the one with lowBid < 3x3 and 2 preceding candles has a higher chained lowBid
/// do a forward search of the chart bars to confirm the rxn frame has lowest lowBid
/// the confirmed reaction frame is the one with the lowest lowBid
/// for down thrust
/// tentative rxn frame is the one with highBid > 3x3 and 2 preceding candles has a lower chained highBid
/// do a forward search of the chart bars to confirm the rxn frame has highest highBid
/// the confirmed reaction frame is the one with the highest highBid
/// do not sweat the breakouts from consolidation (see type G in notes)
/// these should yield deeper rxn at worst meaning a missed trade
/// the timekill of the trade will mop these up
#endregion
// find reaction candle
Frame horizonFrame = pilotFrame;
IPriceBar horizonCandle = horizonFrame.Bar;
bool horizonFrameConfirmed = false;
while (!horizonFrameConfirmed)
{
Frame precedingFrame = _chart.Frames[frameIndex - 1];
IPriceBar precedingCandle01 = _chart.Frames[frameIndex - 1].Bar;
IPriceBar precedingCandle02 = _chart.Frames[frameIndex - 2].Bar;
IIndicator horizon3x3 = horizonFrame.Indicators.First(k => k.Type == IndicatorType.DisplacedMovingAverage);
if (direction == EPatternDirection.Up)
{
if (horizonCandle.lowMid < horizon3x3.Value &&
precedingCandle01.lowMid > horizonCandle.lowMid &&
precedingCandle02.lowMid > precedingCandle01.lowMid)
{
horizonFrameConfirmed = true;
}
}
if (direction == EPatternDirection.Down)
{
if (horizonCandle.highMid > horizon3x3.Value &&
precedingCandle01.highMid < horizonCandle.highMid &&
precedingCandle02.highMid < precedingCandle01.highMid)
{
horizonFrameConfirmed = true;
}
}
if (!horizonFrameConfirmed)
{
horizonFrame = precedingFrame;
horizonCandle = precedingCandle01;
frameIndex--;
}
}
// forward search to confirm rxn frame
Frame reactionFrame = horizonFrame;
for (int i = frameIndex; i < _chart.Frames.Count; i++)
{
Frame currentFrame = _chart.Frames[i];
if (direction == EPatternDirection.Up)
{
if (currentFrame.Bar.lowMid <= reactionFrame.Bar.lowMid)
{
reactionFrame = currentFrame;
}
}
else
{
if (currentFrame.Bar.highMid >= reactionFrame.Bar.highMid)
{
reactionFrame = currentFrame;
}
}
}
return(reactionFrame);
}
