/// <summary>Look for predictions with each new data element</summary>
protected override void UpdateFeatureValues(DataEventArgs args)
{
// Require at least 3 candles
if (Instrument.Count < 3)
{
return;
}
Features.Clear();
// Find the approximate candle size
var msc = Instrument.MedianCandleSize(-100, 0);
// Get the last few candles
// Make decisions based on 'B', the last closed candle.
var A = Instrument[0]; var a_type = A.Type(msc);
var B = Instrument[-1]; var b_type = A.Type(msc);
var C = Instrument[-2]; var c_type = A.Type(msc);
// The age of 'A' (normalised)
var a_age = Instrument.AgeOf(A, clamped: true);
// Measure the strength of the trend leading up to 'B' (but not including)
var preceding_trend = Instrument.MeasureTrend(-5, -1);
// Opposing trend
var opposing_trend =
!c_type.IsIndecision() && !b_type.IsIndecision() && // Bodies are a reasonable size
(C.Sign >= 0) != (B.Sign >= 0); // Opposite sign
// Engulfing: A trend, ending with a reasonable sized body,
// followed by a bigger body in the opposite direction.
if ((opposing_trend) && // Opposing trend directions
(c_type.IsTrend() && b_type.IsTrend()) && // Both trend-ish candles
(B.BodyLength > 1.20 * C.BodyLength) && // B is bigger than 120% C
(Math.Abs(B.Open - C.Close) < 0.05 * B.TotalLength) && // B.Open is fairly close to C.Close
(Math.Abs(preceding_trend) > 0.8) && // There was a trend leading into B
(Math.Sign(preceding_trend) != B.Sign)) // The trend was the opposite of B
{
Features.Add(new Feature("CandlePattern", B.Sign, Str.Build(
"Engulfing: A trend, ending with a reasonable sized body, followed by a bigger body in the opposite direction.\n",
" C:{0} B:{1} A:{2}\n".Fmt(c_type, b_type, a_type),
" Preceding trend: {0}\n".Fmt(preceding_trend),
"")));
return;
}
// Trend, indecision, trend:
if ((b_type.IsIndecision()) && // A hammer, spinning top, or doji
(Math.Abs(preceding_trend) > 0.8)) // A trend leading into the indecision
{
// This could be a continuation or a reversal. Need to look at 'A' to decide
if (!a_type.IsIndecision()) // If A is not an indecision candle as well
{
// Use the indecision candle total length to decide established trend.
// Measure relative to B.BodyCentre.
// The stronger the indication, the least old 'A' has to be
var dist = Math.Abs(A.Close - B.BodyCentre);
var frac = Maths.Frac(B.TotalLength, dist, B.TotalLength * 2.0);
if (a_age >= 1.0 - Maths.Frac(0.0, dist, 1.0))
{
var reversal = Math.Sign(preceding_trend) != A.Sign;
Features.Add(new Feature("CandlePattern", A.Sign, Str.Build(
"Hammer, Spinning top, or doji: and a trend leading into the indecision\n",
" C:{0} B:{1} A:{2}\n".Fmt(c_type, b_type, a_type),
" Preceding trend: {0}\n".Fmt(preceding_trend),
"")));
return;
}
}
}
//// Tweezers
//if ((C.Type == Candle.EType.MarubozuWeakening && B.Type == Candle.EType.MarubozuStrengthening) &&
// (Math.Abs(preceding_trend) > 0.8))
//{
// Forecast = B.Sign > 0 ? TradeType.Buy : TradeType.Sell;
// Comments = Str.Build(
// "Tweezers pattern",
// " C:{0} B:{1} A:{2}\n".Fmt(c_type, b_type, a_type),
// " Preceding trend: {0}\n".Fmt(preceding_trend),
// "");
// return;
//}
//// Continuing trend
//if ((Math.Abs(preceding_trend) > 0.8) && // Preceding trend
// (B.IsTrend && B.Sign == Math.Sign(preceding_trend)))
//{
// Forecast = B.Sign > 0 ? TradeType.Buy: TradeType.Sell;
// Comments = "Continuing trend";
// return;
//}
//// Consolidation
//if ((Math.Abs(preceding_trend) < 0.5) &&
// !B.IsIndecision &&
// !B.IsTrend)
//{
// Forecast = null;
// Comments = "Consolidation, no trend";
// return;
//}
// no idea
Features.Add(new Feature("CandlePattern", 0.0));
}