Custom Timeframes for Candlestick Patterns.

Hi Samwel,

Interesting. There is either no engulfing pattern in EURUSD between 2016/1/30 and 2020/1/30, or the indicator is buggy. Look at the backtest, from modifying your code a bit. I'm waiting for two engulfing patterns but there are none. I don't think it is the pattern which is buggy. I will include another backtest for SPY.

Fred

Here is the backtest for SPY, which trades, without waiting for 2 in a row (which is a rare event at day resolution).

Forgot to mention that for the EURUSD one. Lower your resolution maybe, to hour/consolidated minutes.

Fred

Here is my code for Engulfing Candlestick Pattern on 15 minute Quote Bar consolidated EURUSD.

from QuantConnect.Indicators.CandlestickPatterns import Engulfing

# ------------------------------------
FOREX = 'EURUSD'; BAR = 15; LEV = 1.0;
# ------------------------------------

class CandlestickPattern(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2016, 6, 24)
        self.SetEndDate(2021, 11, 30)
        self.SetCash(1000000)
        res = Resolution.Minute
        self.forex = self.AddForex("EURUSD", res, Market.Oanda).Symbol 
        self.SetWarmUp(4*BAR, res)
        self.pattern = Engulfing()
        consolidator = QuoteBarConsolidator(timedelta(BAR))
        consolidator.DataConsolidated += self.consolidation_handler
        self.SubscriptionManager.AddConsolidator(self.forex, consolidator)
        self.RegisterIndicator(self.forex, self.pattern, consolidator)


    def consolidation_handler(self, sender, consolidated):
        if self.IsWarmingUp  or not self.pattern.IsReady: return
    
        pattern = self.pattern.Current.Value
        
        self.Plot(self.forex, 'Engulfing', self.pattern.Current.Value)
        
        if pattern == 1:
            self.SetHoldings(self.forex, LEV)
            
        elif pattern == -1:
             self.Liquidate(self.forex) 

Unfortunately for some reason it dose not generate any signals. 

But if I switch to 15 minute equity Trade Bar consolidated the same code recognizes
Engulfing Candlestick Pattern.