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Strategie Elder Impulse

Strategie basierend auf Elders Impulssystem

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 106%. Sie funktioniert am besten am Aktienmarkt.

Elder Impulse kombiniert die EMA-Richtung mit der Farbe des MACD-Histogramms. Grüne Balken oberhalb der EMA signalisieren Long-Positionen, rote Balken darunter Short-Positionen, und neutrale Balken signalisieren Ausstiege.

Durch die Kombination von Trendrichtung und Momentum hält dieser Ansatz Trader auf der richtigen Seite starker Bewegungen. Ausstiege sind unkompliziert und basieren auf dem Farbwechsel des Histogramms oder der Umkehr der EMA-Steigung.

Details

  • Einstiegskriterien: Signale basierend auf MACD.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Gegensätzliches Signal oder Stop.
  • Stops: Ja.
  • Standardwerte:
    • EmaPeriod = 13
    • MacdFastPeriod = 12
    • MacdSlowPeriod = 26
    • MacdSignalPeriod = 9
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filter:
    • Kategorie: Trend
    • Richtung: Beide
    • Indikatoren: MACD
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: Intraday (5m)
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Elder's Impulse System.
/// Uses EMA direction and MACD histogram to determine impulse.
/// Green (bullish): EMA rising + MACD histogram rising -> buy
/// Red (bearish): EMA falling + MACD histogram falling -> sell
/// </summary>
public class ElderImpulseStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevHistogram;
	private bool _hasPrevValues;
	private int _prevImpulse; // 1=green, -1=red, 0=neutral
	private int _cooldown;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="ElderImpulseStrategy"/>.
	/// </summary>
	public ElderImpulseStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 13)
			.SetDisplay("EMA Period", "Period for EMA calculation", "Indicators")
			.SetOptimize(8, 21, 3);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevEma = default;
		_prevHistogram = default;
		_hasPrevValues = default;
		_prevImpulse = default;
		_cooldown = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var macdSignal = new MovingAverageConvergenceDivergenceSignal();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ema, macdSignal, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawIndicator(area, macdSignal);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue emaValue, IIndicatorValue macdValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (emaValue.IsEmpty)
			return;

		var emaDec = emaValue.GetValue<decimal>();
		if (emaDec == 0)
			return;

		var macdTyped = (IMovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		var histogram = macd - signal;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevEma = emaDec;
			_prevHistogram = histogram;
			return;
		}

		var emaRising = emaDec > _prevEma;
		var histogramRising = histogram > _prevHistogram;

		// Determine current impulse
		int impulse;
		if (emaRising && histogramRising)
			impulse = 1;  // Green bar
		else if (!emaRising && !histogramRising && emaDec != _prevEma)
			impulse = -1; // Red bar
		else
			impulse = 0;  // Neutral (blue bar)

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevEma = emaDec;
			_prevHistogram = histogram;
			_prevImpulse = impulse;
			return;
		}

		// Trade only on impulse change
		if (impulse == 1 && _prevImpulse != 1 && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_cooldown = 65;
		}
		else if (impulse == -1 && _prevImpulse != -1 && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_cooldown = 65;
		}

		_prevEma = emaDec;
		_prevHistogram = histogram;
		_prevImpulse = impulse;
	}
}