Candle indicators

CHANGELOG.md

@@ -1,6 +1,8 @@
 Changelog for `ta4j`, roughly following [keepachangelog.com](http://keepachangelog.com/en/1.0.0/) from version 0.9 onwards.
 
 ## 0.16 (unreleased)
+- **Implemented trend reversal candles**
+- **Fixed NaN in DXIndicator, MinusDIIndicator, PlusDIIndicator if there is no trend**
 
 ### Breaking
 - **Upgraded to Java 11**

ta4j-core/src/main/java/org/ta4j/core/indicators/adx/ADXIndicator.java

@@ -35,7 +35,7 @@
  * Part of the Directional Movement System.
  *
  * @see <a href=
- *      "https://www.investopedia.com/terms/a/adx.asp">https://www.investopedia.com/terms/a/adx.asp</a>
+ *      "https://www.investopedia.com/articles/trading/07/adx-trend-indicator.asp">https://www.investopedia.com/articles/trading/07/adx-trend-indicator.asp</a>
  */
 public class ADXIndicator extends CachedIndicator<Num> {
 

ta4j-core/src/main/java/org/ta4j/core/indicators/adx/DXIndicator.java

@@ -57,10 +57,11 @@ public DXIndicator(BarSeries series, int barCount) {
     protected Num calculate(int index) {
         Num pdiValue = plusDIIndicator.getValue(index);
         Num mdiValue = minusDIIndicator.getValue(index);
-        if (pdiValue.plus(mdiValue).equals(zero())) {
+        final var sum = pdiValue.plus(mdiValue);
+        if (sum.equals(zero())) {
             return zero();
         }
-        return pdiValue.minus(mdiValue).abs().dividedBy(pdiValue.plus(mdiValue)).multipliedBy(hundred());
+        return pdiValue.minus(mdiValue).abs().dividedBy(sum).multipliedBy(hundred());
     }
 
     @Override

ta4j-core/src/main/java/org/ta4j/core/indicators/adx/MinusDIIndicator.java

@@ -63,7 +63,11 @@ public MinusDIIndicator(BarSeries series, int barCount) {
 
     @Override
     protected Num calculate(int index) {
-        return avgMinusDMIndicator.getValue(index).dividedBy(atrIndicator.getValue(index)).multipliedBy(hundred());
+        final var atrIndicatorValue = atrIndicator.getValue(index);
+        if (atrIndicatorValue.equals(zero())) {
+            return zero();
+        }
+        return avgMinusDMIndicator.getValue(index).dividedBy(atrIndicatorValue).multipliedBy(hundred());
     }
 
     @Override

ta4j-core/src/main/java/org/ta4j/core/indicators/adx/MinusDMIndicator.java

@@ -58,7 +58,7 @@ protected Num calculate(int index) {
         if (downMove.isGreaterThan(upMove) && downMove.isGreaterThan(zero())) {
             return downMove;
         } else {
-            return numOf(0);
+            return zero();
         }
     }
 

ta4j-core/src/main/java/org/ta4j/core/indicators/adx/PlusDIIndicator.java

@@ -63,7 +63,11 @@ public PlusDIIndicator(BarSeries series, int barCount) {
 
     @Override
     protected Num calculate(int index) {
-        return avgPlusDMIndicator.getValue(index).dividedBy(atrIndicator.getValue(index)).multipliedBy(numOf(100));
+        final var atrIndicatorValue = atrIndicator.getValue(index);
+        if (atrIndicatorValue.equals(zero())) {
+            return zero();
+        }
+        return avgPlusDMIndicator.getValue(index).dividedBy(atrIndicatorValue).multipliedBy(numOf(100));
     }
 
     @Override

ta4j-core/src/main/java/org/ta4j/core/indicators/candles/HammerIndicator.java

@@ -0,0 +1,79 @@
+/**
+ * The MIT License (MIT)
+ *
+ * Copyright (c) 2017-2023 Ta4j Organization & respective
+ * authors (see AUTHORS)
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining a copy of
+ * this software and associated documentation files (the "Software"), to deal in
+ * the Software without restriction, including without limitation the rights to
+ * use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
+ * the Software, and to permit persons to whom the Software is furnished to do so,
+ * subject to the following conditions:
+ *
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+ *
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+ * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
+ * FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
+ * COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
+ * IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
+ * CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+ */
+package org.ta4j.core.indicators.candles;
+
+import org.ta4j.core.BarSeries;
+import org.ta4j.core.indicators.CachedIndicator;
+import org.ta4j.core.indicators.trend.DownTrendIndicator;
+
+/**
+ * Hammer candle indicator.
+ *
+ * @see <a href="https://www.investopedia.com/terms/h/hammer.asp">
+ *      https://www.investopedia.com/terms/h/hammer.asp</a>
+ */
+public class HammerIndicator extends CachedIndicator<Boolean> {
+
+    private static final double BODY_LENGTH_TO_BOTTOM_WICK_COEFFICIENT = 2d;
+    private static final double BODY_LENGTH_TO_UPPER_WICK_COEFFICIENT = 1d;
+
+    private final RealBodyIndicator realBodyIndicator;
+    private final DownTrendIndicator trendIndicator;
+
+    /**
+     * Constructor.
+     *
+     * @param series the bar series
+     */
+    public HammerIndicator(final BarSeries series) {
+        super(series);
+        this.realBodyIndicator = new RealBodyIndicator(series);
+        this.trendIndicator = new DownTrendIndicator(series);
+    }
+
+    @Override
+    protected Boolean calculate(final int index) {
+        final var bar = getBarSeries().getBar(index);
+        final var openPrice = bar.getOpenPrice();
+        final var closePrice = bar.getClosePrice();
+        final var lowPrice = bar.getLowPrice();
+        final var highPrice = bar.getHighPrice();
+
+        final var bodyHeight = this.realBodyIndicator.getValue(index).abs();
+
+        final var upperBodyBoundary = openPrice.max(closePrice);
+        final var bottomBodyBoundary = openPrice.min(closePrice);
+        final var bottomWickHeight = bottomBodyBoundary.minus(lowPrice);
+        final var upperWickHeight = highPrice.minus(upperBodyBoundary);
+
+        return bottomWickHeight.dividedBy(bodyHeight).isGreaterThan(numOf(BODY_LENGTH_TO_BOTTOM_WICK_COEFFICIENT))
+                && upperWickHeight.dividedBy(bodyHeight).isLessThanOrEqual(numOf(BODY_LENGTH_TO_UPPER_WICK_COEFFICIENT))
+                && this.trendIndicator.getValue(index);
+    }
+
+    @Override
+    public int getUnstableBars() {
+        return 0;
+    }
+}

ta4j-core/src/main/java/org/ta4j/core/indicators/candles/HangingManIndicator.java

@@ -0,0 +1,79 @@
+/**
+ * The MIT License (MIT)
+ *
+ * Copyright (c) 2017-2023 Ta4j Organization & respective
+ * authors (see AUTHORS)
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining a copy of
+ * this software and associated documentation files (the "Software"), to deal in
+ * the Software without restriction, including without limitation the rights to
+ * use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
+ * the Software, and to permit persons to whom the Software is furnished to do so,
+ * subject to the following conditions:
+ *
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+ *
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+ * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
+ * FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
+ * COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
+ * IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
+ * CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+ */
+package org.ta4j.core.indicators.candles;
+
+import org.ta4j.core.BarSeries;
+import org.ta4j.core.indicators.CachedIndicator;
+import org.ta4j.core.indicators.trend.UpTrendIndicator;
+
+/**
+ * Hanging man candle indicator.
+ *
+ * @see <a href="https://www.investopedia.com/terms/h/hangingman.asp">
+ *      https://www.investopedia.com/terms/h/hangingman.asp</a>
+ */
+public class HangingManIndicator extends CachedIndicator<Boolean> {
+
+    private static final double BODY_LENGTH_TO_BOTTOM_WICK_COEFFICIENT = 2d;
+    private static final double BODY_LENGTH_TO_UPPER_WICK_COEFFICIENT = 1d;
+
+    private final RealBodyIndicator realBodyIndicator;
+    private final UpTrendIndicator trendIndicator;
+
+    /**
+     * Constructor.
+     *
+     * @param series the bar series
+     */
+    public HangingManIndicator(final BarSeries series) {
+        super(series);
+        this.realBodyIndicator = new RealBodyIndicator(series);
+        this.trendIndicator = new UpTrendIndicator(series);
+    }
+
+    @Override
+    protected Boolean calculate(final int index) {
+        final var bar = getBarSeries().getBar(index);
+        final var openPrice = bar.getOpenPrice();
+        final var closePrice = bar.getClosePrice();
+        final var lowPrice = bar.getLowPrice();
+        final var highPrice = bar.getHighPrice();
+
+        final var bodyHeight = this.realBodyIndicator.getValue(index).abs();
+
+        final var upperBodyBoundary = openPrice.max(closePrice);
+        final var bottomBodyBoundary = openPrice.min(closePrice);
+        final var bottomWickHeight = bottomBodyBoundary.minus(lowPrice);
+        final var upperWickHeight = highPrice.minus(upperBodyBoundary);
+
+        return bottomWickHeight.dividedBy(bodyHeight).isGreaterThan(numOf(BODY_LENGTH_TO_BOTTOM_WICK_COEFFICIENT))
+                && upperWickHeight.dividedBy(bodyHeight).isLessThanOrEqual(numOf(BODY_LENGTH_TO_UPPER_WICK_COEFFICIENT))
+                && this.trendIndicator.getValue(index);
+    }
+
+    @Override
+    public int getUnstableBars() {
+        return 0;
+    }
+}

ta4j-core/src/main/java/org/ta4j/core/indicators/candles/InvertedHammerIndicator.java

@@ -0,0 +1,77 @@
+/**
+ * The MIT License (MIT)
+ *
+ * Copyright (c) 2017-2023 Ta4j Organization & respective
+ * authors (see AUTHORS)
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining a copy of
+ * this software and associated documentation files (the "Software"), to deal in
+ * the Software without restriction, including without limitation the rights to
+ * use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
+ * the Software, and to permit persons to whom the Software is furnished to do so,
+ * subject to the following conditions:
+ *
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+ *
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+ * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
+ * FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
+ * COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
+ * IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
+ * CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+ */
+package org.ta4j.core.indicators.candles;
+
+import org.ta4j.core.BarSeries;
+import org.ta4j.core.indicators.CachedIndicator;
+import org.ta4j.core.indicators.trend.DownTrendIndicator;
+
+/**
+ * Inverted hammer candle indicator.
+ */
+public class InvertedHammerIndicator extends CachedIndicator<Boolean> {
+
+    private static final double BODY_LENGTH_TO_BOTTOM_WICK_COEFFICIENT = 2d;
+    private static final double BODY_LENGTH_TO_UPPER_WICK_COEFFICIENT = 1d;
+
+    private final RealBodyIndicator realBodyIndicator;
+    private final DownTrendIndicator trendIndicator;
+
+    /**
+     * Constructor.
+     *
+     * @param series the bar series
+     */
+    public InvertedHammerIndicator(final BarSeries series) {
+        super(series);
+        this.realBodyIndicator = new RealBodyIndicator(series);
+        this.trendIndicator = new DownTrendIndicator(series);
+    }
+
+    @Override
+    protected Boolean calculate(final int index) {
+        final var bar = getBarSeries().getBar(index);
+        final var openPrice = bar.getOpenPrice();
+        final var closePrice = bar.getClosePrice();
+        final var lowPrice = bar.getLowPrice();
+        final var highPrice = bar.getHighPrice();
+
+        final var bodyHeight = this.realBodyIndicator.getValue(index).abs();
+
+        final var upperBodyBoundary = openPrice.max(closePrice);
+        final var bottomBodyBoundary = openPrice.min(closePrice);
+        final var bottomWickHeight = bottomBodyBoundary.minus(lowPrice);
+        final var upperWickHeight = highPrice.minus(upperBodyBoundary);
+
+        return upperWickHeight.dividedBy(bodyHeight).isGreaterThan(numOf(BODY_LENGTH_TO_BOTTOM_WICK_COEFFICIENT))
+                && bottomWickHeight.dividedBy(bodyHeight)
+                        .isLessThanOrEqual(numOf(BODY_LENGTH_TO_UPPER_WICK_COEFFICIENT))
+                && this.trendIndicator.getValue(index);
+    }
+
+    @Override
+    public int getUnstableBars() {
+        return 0;
+    }
+}

ta4j-core/src/main/java/org/ta4j/core/indicators/trend/DownTrendIndicator.java

@@ -0,0 +1,60 @@
+/**
+ * The MIT License (MIT)
+ *
+ * Copyright (c) 2017-2023 Ta4j Organization & respective
+ * authors (see AUTHORS)
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining a copy of
+ * this software and associated documentation files (the "Software"), to deal in
+ * the Software without restriction, including without limitation the rights to
+ * use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
+ * the Software, and to permit persons to whom the Software is furnished to do so,
+ * subject to the following conditions:
+ *
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+ *
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+ * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
+ * FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
+ * COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
+ * IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
+ * CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+ */
+package org.ta4j.core.indicators.trend;
+
+import org.ta4j.core.BarSeries;
+import org.ta4j.core.indicators.AbstractIndicator;
+import org.ta4j.core.indicators.adx.ADXIndicator;
+import org.ta4j.core.indicators.adx.MinusDIIndicator;
+import org.ta4j.core.indicators.adx.PlusDIIndicator;
+
+public class DownTrendIndicator extends AbstractIndicator<Boolean> {
+
+    private static final int UNSTABLE_BARS = 5;
+
+    private final ADXIndicator directionStrengthIndicator;
+    private final MinusDIIndicator minusDIIndicator;
+    private final PlusDIIndicator plusDIIndicator;
+
+    public DownTrendIndicator(final BarSeries series) {
+        super(series);
+        this.directionStrengthIndicator = new ADXIndicator(series, UNSTABLE_BARS);
+        this.minusDIIndicator = new MinusDIIndicator(series, UNSTABLE_BARS);
+        this.plusDIIndicator = new PlusDIIndicator(series, UNSTABLE_BARS);
+    }
+
+    @Override
+    public Boolean getValue(final int index) {
+        // calculate trend excluding this bar
+        final var previousIndex = index - 1;
+        return this.directionStrengthIndicator.getValue(index).isGreaterThan(numOf(25))
+                && this.minusDIIndicator.getValue(previousIndex)
+                        .isGreaterThan(this.plusDIIndicator.getValue(previousIndex));
+    }
+
+    @Override
+    public int getUnstableBars() {
+        return UNSTABLE_BARS;
+    }
+}