Candlestick examples?

This is kind of embarressing, but I can't seem to figure out how to initalize a candle stick indictator.. any help?

@Scott,
candlestick pattern indicators are quite simple to use:

1. define a variable for the indicator in your algorithm class:

2. create an instance of the indicator in your Initialize method using one of the CandleStickPattern helper methods:

3. in your OnData, test the value of the indicator value:
- if the value is 0, no pattern found at the current bar
- if the value is +1, bullish pattern found at the current bar
- if the value is -1, bearish pattern found at the current bar

Note that some patterns are only bullish, some are only bearish and some are both.

I attached a simple example algorithm for you

Hope this helps

Thank you so much, I was making a bit of a foolish error. Your example helped me a lo, it was just what i was looking for.

@Stefano, Hi!

I followed your example above and wrote an almost identical algorithm for SPY with Closing Marubozu Candlestick pattern. I used the provided data (local Lean data). It worked and performed about 20 trades for the period of 2014 (I set this period of time).

However, when I adjusted the algorithm to receive custom data directly from Yahoo.com with Quandl Wrapper (as recommended in  How Do I Import Yahoo Data? in QuantConnect University) I encountered the following problem:

The data is not getting through in OnData method past: if (_pattern == 1) or if (_pattern == -1). It is getting through OnData, but is somehow blocked by == . If I replace it by anything else, the algorithm finds 1st Closing Marubozu pattern on 01/17/2014. So the patterns are definitely there, plus we know that they are there from my earlier algorithm that I ran on Lean data.

Please, recommend the solution. Thanks in advance.

@Boris, to use Quandl data, the easiest way is to prefix the symbol (YAHOO/INDEX_SPY) and use a custom class derived from the base Quandl class.
The problem with your algorithm was that deriving from BaseData all OHLC values were the same, so no patterns could be found.

Here is the revised algorithm:

@Stefano

Thanks for the above help. However, I still want to find a way to be able to use the custom data. I was going to start to try by importing first Yahoo data with Quandl data, and then evetually to import my data with link to Dropbox (as in CustomDataNIFTYAlgorithm.cs).

Also, please, explain how is that all OHLC values were the same in my original algorithm and how to fix it. Thanks in advance.

@Boris,

when I mentioned that OHLC values were the same, I didn't mean the instances of your BaseData-derived class, but the inputs to the candlestick patterns, which are generated internally by a consolidator (in your case a BaseDataConsolidator, which only has a BaseData type as input, instead of a TradeBar). What happens is that the pattern class receives an input TradeBar with all OHLC values equal.

The solution is to derive your class from TradeBar, so a TradeBarConsolidator will be used and the candlestick pattern will get the correct input (TradeBar), as in the attached backtest:

@Stefano,

Thanks again for your help. Your above algorithm worked really well and provided me with a few lessons to learn now. I just wanted to mention that in order to run it on Visual Studio, I needed to add

for TradeBar to work.

Let me study your code and see if I have any further questions. Thank you.

@Stefano,

I have now studied your algorithm. Thank you again for providing it. I just have a couple of questions. What is the necessity for EndTime and Period methods inside of

when we already have TradeBar.Open and TraderBar.Close values from the 'try' block of 'BaseData Reader'. Plus algorithm seems to able to run without these 2 methods.

Looking forward to your response. Thanks in advance.

Time and EndTime are properties defined in the BaseData class and represent the start and end time of the bar, Period is defined in the TradeBar class and represents the time span between the start and the end of the bar (the default is one minute).
If we don't override them, the custom CloseMar bars will be timestamped incorrectly as one minute bars instead of daily bars.

Thanks for your help. I might have some more questions later.

@Stefano,

I used your latest algorithm from above and substituted the www.Quandl.com... in GetSource with link to www.Dropbox.com... with my daily ES data for 2015 (as in CustomDataNiftyAlgorithm.cs). There is no AdjustedClose in this data, so I had to make appropriate (I hope) changes. I ran this algorithm, again looking for Closing Marubozu patterns. But I got nothing. I did not work. Maybe you can review and critique my work please. As always, thanks in advance.

First, please checkout the data format. You are trying to parse datetime with the "yyyy-MM-dd" while the your first column has a "yyyyMMdd" string:

Do you really need to override EndTime and Period? After I removed that from the code, the data flew are expected, the indicator was calculated and there were 18 trades.

I have discovered the problem myself, after multiple tries.

In DateTime.ParseExact's format portion I originally put in "yyyy-MM-dd". As soon as I changed it to "yyyyMMdd", it worked. See the algorithm and backtest. Even though the financial results were poor, but that wasn't the goal at this time. I just need first to get the parts moving correctly.

Thanks again.

@Alexandre,

I posted my last comment before I knew you posted yours. Maybe we even posted them almost at the same time. I changed the date range a little bit too. Anyway, thank you for confirming that date format was incorrect.

Concerning overriding EndTime and Period, I followed the recommendation by Stefano Raggi (see his earlier comments on this thread). I also earlier discovered, that by removing them from the code, the number of trades does not change and financial results do not change, just like you said. However, if we remove  override EndTime and Period from the code, each line in the log (and each corresponding trade) are registered 24 hrs earlier. Please see 'Logs' and 'Trades' after running a backtest on QuantConnect. So the dilemma for me now: which one represents the actual time of events?

Looking forward to your response.

When we define the Period and EndTime, the results, in terms of date/time, are more accurate.

What you are saying is that we should be overriding EndTime and Period?

I want to present one more algorithm I just created and ran. It calls intraday 5-min ES data, also looking for Closing Marubozu. On 2016/01/04 it makes 2 trades. However, the time logged and the trade is at 9:56 instead of 9:55, and 10:16 instead of 10:15. The time is Chicago time. The data is every 5 minutes, for example 9:55, 10:00, 10:05; not 9:56, 10:01 or 10:06. I did not include override EndTime and Period in this last algorithm.

What seems to be the reason for this 1-min discrepancy? Thank you in advance.

Period for a bar tells LEAN when to send the bar to the algorithm. If the bar starts in Jan 1 2001 and has a 1 year period; it won't be released until Jan 1 2002. If you don't specify the period it will be released immediately in 2001. This would mean you could "look ahead" into the future and isn't desirable.

EndTime is calculated with Time+Period; custom data defaults to a 1 minute period.

All data has a period; even instantaneous point data has a period of 0s.

Thanks Jared!

Let me see how I should use your suggestion and I will get back to you.