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Mittagsumkehr-Strategie

Die Mittagsumkehr sucht nach Wendepunkten, die gegen Mittag auftreten, wenn Morgendliche Trends oft erschöpft sind. Die Liquidität trocknet typischerweise in der Mitte der Sitzung aus, was zu Umkehrungen führt, wenn Trader Positionen glattstellen.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 121%. Sie funktioniert am besten im Kryptomarkt.

Das System überwacht eine Momentumverschiebung gegen Mittag und tritt entgegen der Morgenrichtung ein.

Ein prozentualer Stop kontrolliert das Risiko, und Positionen werden geschlossen, wenn sich die Umkehr bis zum Nachmittag nicht entwickelt.

Details

  • Einstiegskriterien: Indikatorsignal
  • Long/Short: Beide
  • Ausstiegskriterien: Stop-Loss oder entgegengesetztes Signal
  • Stops: Ja, prozentbasiert
  • Standardwerte:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filter:
    • Kategorie: Intraday
    • Richtung: Beide
    • Indikatoren: Price Action
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday
    • 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>
/// Implementation of Midday Reversal trading strategy.
/// Trades on price reversals that occur around midday, using MA for trend confirmation.
/// </summary>
public class MiddayReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _ma;

	private decimal _prevClose;
	private decimal _prevPrevClose;
	private int _cooldown;

	/// <summary>
	/// Moving average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

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

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="MiddayReversalStrategy"/>.
	/// </summary>
	public MiddayReversalStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Moving average period", "Strategy");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy", "Strategy");

		_cooldownBars = Param(nameof(CooldownBars), 30)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ma = default;
		_prevClose = 0;
		_prevPrevClose = 0;
		_cooldown = 0;
	}

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

		_ma = new SimpleMovingAverage { Length = MaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ma, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal maValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var hour = candle.OpenTime.Hour;

		if (_prevClose == 0)
		{
			_prevClose = close;
			return;
		}

		if (_prevPrevClose == 0)
		{
			_prevPrevClose = _prevClose;
			_prevClose = close;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevPrevClose = _prevClose;
			_prevClose = close;
			return;
		}

		// Midday zone: hours 11-14
		var isMidday = hour >= 11 && hour <= 14;

		var isBullishCandle = close > candle.OpenPrice;
		var isBearishCandle = close < candle.OpenPrice;
		var wasPriceDecreasing = _prevClose < _prevPrevClose;
		var wasPriceIncreasing = _prevClose > _prevPrevClose;

		// Buy at midday reversal: previous decline then bullish candle
		if (isMidday && wasPriceDecreasing && isBullishCandle && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Sell short at midday reversal: previous increase then bearish candle
		else if (isMidday && wasPriceIncreasing && isBearishCandle && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit on MA cross
		if (Position > 0 && close < maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && close > maValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevPrevClose = _prevClose;
		_prevClose = close;
	}
}