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Mittagspausen-Fade-Strategie

Die Mittagspausen-Fade-Strategie zielt auf Umkehrungen ab, die sich während der ruhigen Mittagszeit entwickeln. Nach der Morgensitzung pausieren oder korrigieren Trends häufig, wenn das Volumen zur Mittagszeit abnimmt.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 127%. Sie funktioniert am besten am Aktienmarkt.

Die Strategie handelt gegen die Morgenbewegung gegen Mittag, tritt entgegen der vorherrschenden Richtung ein und schließt die Position, bevor das Volumen zurückkehrt.

Ein prozentualer Stop steuert das Risiko, falls der Trend wieder aufgenommen wird statt abzuflauen.

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>
/// Strategy that trades on the price movement fade during the lunch break.
/// Fades the prior trend around midday, with MA confirmation and cooldown.
/// </summary>
public class LunchBreakFadeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _ma;

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

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

	/// <summary>
	/// Moving average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.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="LunchBreakFadeStrategy"/>.
	/// </summary>
	public LunchBreakFadeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Moving average period", "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;
		}

		// Lunch zone: hours 11-14
		var isLunchTime = hour >= 11 && hour <= 14;

		if (isLunchTime)
		{
			var priorUptrend = _prevClose > _prevPrevClose;
			var priorDowntrend = _prevClose < _prevPrevClose;
			var currentBearish = close < candle.OpenPrice;
			var currentBullish = close > candle.OpenPrice;

			// Fade uptrend at lunch: short
			if (priorUptrend && currentBearish && Position == 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			// Fade downtrend at lunch: long
			else if (priorDowntrend && currentBullish && Position == 0)
			{
				BuyMarket();
				_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;
	}
}