feat: implement TD Sequential candlestick indicator (#6620)

Algorithm.CSharp/TdSequentialExampleAlgorithm.cs

@@ -0,0 +1,130 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demonstrates the usage of the Tom DeMark (TD) Sequential indicator.
+    /// This algorithm uses the TdSequential indicator to identify potential
+    /// trend exhaustion points and generates buy/sell signals based on
+    /// completed setups and countdowns.
+    /// </summary>
+    /// <remarks>
+    /// Trading Strategy:
+    /// - Buy when a Buy Setup completes (9 consecutive closes &lt; close 4 bars ago)
+    ///   and the countdown phase begins.
+    /// - Sell when a Sell Setup completes (9 consecutive closes &gt; close 4 bars ago)
+    ///   and the countdown phase begins.
+    /// - Strong Buy signal: Buy Countdown completes (13 countdown bars)
+    /// - Strong Sell signal: Sell Countdown completes (13 countdown bars)
+    ///
+    /// The indicator tracks:
+    ///   - SetupCount: Number of consecutive qualifying bars (1-9)
+    ///   - CountdownCount: Number of qualifying countdown bars (1-13)
+    ///   - IsSetupComplete: True when 9-bar setup is complete
+    ///   - IsCountdownComplete: True when 13-bar countdown is complete
+    ///   - Signal: Current directional signal (None/Buy/Sell)
+    ///   - SupportPrice: Lowest low during the last completed Sell Setup
+    ///   - ResistancePrice: Highest high during the last completed Buy Setup
+    /// </remarks>
+    public class TdSequentialExampleAlgorithm : QCAlgorithm
+    {
+        private TdSequential _tdSequential;
+
+        public override void Initialize()
+        {
+            SetStartDate(2023, 1, 1);
+            SetEndDate(2023, 12, 31);
+            SetCash(100000);
+
+            // Add a security and create the TD Sequential indicator
+            var spy = AddEquity("SPY", Resolution.Daily).Symbol;
+            _tdSequential = new TdSequential("SPY_TDSEQ");
+
+            // Register the indicator for automatic updates with daily data
+            RegisterIndicator(spy, _tdSequential, Resolution.Daily);
+
+            // Enable automatic indicator warm-up to have the indicator ready
+            // after the algorithm starts
+            EnableAutomaticIndicatorWarmUp = true;
+
+            // Log the indicator setup
+            Debug($"TD Sequential indicator initialized. WarmUp: {_tdSequential.WarmUpPeriod} bars");
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Ensure the indicator is ready before trading
+            if (!_tdSequential.IsReady)
+            {
+                return;
+            }
+
+            var currentPhase = (TdSequentialPhase)_tdSequential.Current.Value;
+
+            // Plot the indicator values for visualization
+            Plot("TD Sequential", "Phase", (int)currentPhase);
+            Plot("TD Sequential", "SetupCount", _tdSequential.SetupCount);
+            Plot("TD Sequential", "CountdownCount", _tdSequential.CountdownCount);
+            Plot("TD Sequential", "Signal", (int)_tdSequential.Signal);
+
+            // Trading logic based on TD Sequential signals
+
+            // Buy Setup completed — potential bullish reversal
+            if (_tdSequential.IsSetupComplete && _tdSequential.Signal == TdSequentialSignal.Buy)
+            {
+                if (!Portfolio.Invested)
+                {
+                    SetHoldings("SPY", 0.5m);
+                    Debug($"BUY: Setup complete. SetupCount={_tdSequential.SetupCount}, " +
+                          $"ResistancePrice={_tdSequential.ResistancePrice}");
+                }
+            }
+
+            // Sell Setup completed — potential bearish reversal
+            if (_tdSequential.IsSetupComplete && _tdSequential.Signal == TdSequentialSignal.Sell)
+            {
+                if (Portfolio.Invested)
+                {
+                    Liquidate("SPY");
+                    Debug($"SELL: Setup complete. SetupCount={_tdSequential.SetupCount}, " +
+                          $"SupportPrice={_tdSequential.SupportPrice}");
+                }
+            }
+
+            // Countdown completed — trend exhaustion confirmed
+            if (_tdSequential.IsCountdownComplete)
+            {
+                Debug($"COUNTDOWN COMPLETED: CountdownCount={_tdSequential.CountdownCount}");
+                Plot("TD Sequential", "CountdownCompleted", 1);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Log final indicator state
+            Log($"Final TD Sequential State:");
+            Log($"  Phase: {(TdSequentialPhase)_tdSequential.Current.Value}");
+            Log($"  SetupCount: {_tdSequential.SetupCount}");
+            Log($"  CountdownCount: {_tdSequential.CountdownCount}");
+            Log($"  Signal: {_tdSequential.Signal}");
+            Log($"  SupportPrice: {_tdSequential.SupportPrice}");
+            Log($"  ResistancePrice: {_tdSequential.ResistancePrice}");
+        }
+    }
+}