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Ichimoku-Wolkenbreiten-Ausbruch-Strategie

Die Ichimoku-Wolkenbreiten-Ausbruch-Strategie beobachtet den Ichimoku auf starke Expansionen. Wenn die Werte über ihren durchschnittlichen Bereich hinausspringen, beginnt der Kurs oft eine neue Bewegung.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 64%. Am besten funktioniert sie auf dem Forex-Markt.

Eine Position wird eröffnet, sobald der Indikator ein Band durchbricht, das aus aktuellen Daten und einem Abweichungsmultiplikator abgeleitet wird. Long- und Short-Trades sind mit einem Stop möglich.

Dieses System eignet sich für Momentum-Trader, die frühe Ausbrüche suchen. Trades werden geschlossen, wenn der Ichimoku zur Mitte zurückkehrt. Die Standardwerte beginnen mit TenkanPeriod = 9.

Details

  • Einstiegskriterien: Indikator überschreitet den Durchschnitt um den Abweichungsmultiplikator.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Indikator kehrt zum Durchschnitt zurück.
  • Stops: Ja.
  • Standardwerte:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • AvgPeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLoss = 2.0m
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: Ichimoku
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Kurzfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that trades on Ichimoku Cloud width breakouts.
/// When Ichimoku Cloud width increases significantly above its average, 
/// it enters position in the direction determined by price location relative to the cloud.
/// </summary>
public class IchimokuWidthBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;
	
	private Ichimoku _ichimoku;
	private SimpleMovingAverage _widthAverage;

	/// <summary>
	/// Tenkan-sen period for Ichimoku.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}
	
	/// <summary>
	/// Kijun-sen period for Ichimoku.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}
	
	/// <summary>
	/// Senkou Span B period for Ichimoku.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}
	
	/// <summary>
	/// Period for width average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}
	
	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="IchimokuWidthBreakoutStrategy"/>.
	/// </summary>
	public IchimokuWidthBreakoutStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Period for Tenkan-sen line", "Indicators")
			
			.SetOptimize(5, 20, 1);
			
		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Period for Kijun-sen line", "Indicators")
			
			.SetOptimize(20, 40, 2);
			
		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Period for Senkou Span B line", "Indicators")
			
			.SetOptimize(40, 80, 4);
			
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for cloud width average calculation", "Indicators")
			
			.SetOptimize(10, 50, 5);
		
		_multiplier = Param(nameof(Multiplier), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout detection", "Indicators")

			.SetOptimize(1.0m, 3.0m, 0.5m);
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage", "Risk Management")
			
			.SetOptimize(1.0m, 5.0m, 0.5m);
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		

		// Create indicators
		_ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};
		
		_widthAverage = new SMA { Length = AvgPeriod };
		
		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind Ichimoku to the candle subscription
		subscription
			.BindEx(_ichimoku, ProcessIchimoku)
			.Start();
			
		// Enable stop loss protection
		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(StopLoss, UnitTypes.Percent)
		);
		
		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ichimoku);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessIchimoku(ICandleMessage candle, IIndicatorValue ichimokuValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		
		if (!ichimokuValue.IsFinal)
			return;

		// Get current Ichimoku values
		// The structure of values depends on the implementation, this is just an example
		var ichimokuTyped = (IchimokuValue)ichimokuValue;
		
		if (ichimokuTyped.Tenkan is not decimal tenkan)
			return;

		if (ichimokuTyped.Kijun is not decimal kijun)
			return;

		if (ichimokuTyped.SenkouA is not decimal senkouSpanA)
			return;

		if (ichimokuTyped.SenkouB is not decimal senkouSpanB)
			return;

		// Calculate Cloud width (absolute difference between Senkou lines)
		var width = Math.Abs(senkouSpanA - senkouSpanB);
		
		// Process width through average
		var widthAvgValue = _widthAverage.Process(new DecimalIndicatorValue(_widthAverage, width, candle.ServerTime) { IsFinal = true });
		var avgWidth = widthAvgValue.ToDecimal();
		
		// Skip if indicators are not formed yet
		if (!_ichimoku.IsFormed || !_widthAverage.IsFormed)
		{
			return;
		}

		// Cloud width breakout detection
		if (width > avgWidth * Multiplier && Position == 0)
		{
			// Determine trade direction based on price relative to cloud
			var upperCloud = Math.Max(senkouSpanA, senkouSpanB);
			var lowerCloud = Math.Min(senkouSpanA, senkouSpanB);

			var bullish = candle.ClosePrice > upperCloud;
			var bearish = candle.ClosePrice < lowerCloud;

			if (bullish)
			{
				BuyMarket();
			}
			else if (bearish)
			{
				SellMarket();
			}
		}
	}
}