Deutsch DE
Auf GitHub ansehen

Pin Bar Magic-Strategie

Erkennt bullische und bärische Pin Bars innerhalb eines Trends, der durch ein Trio von gleitenden Durchschnitten definiert wird. Aufträge werden an den Kerzenextremen platziert und nach einigen Kerzen storniert, wenn sie nicht ausgeführt werden. Die Positionsgröße wird aus einem prozentualen Eigenkapitalrisiko und dem ATR-basierten Stop-Abstand berechnet.

Die Methode zielt darauf ab, scharfe Umkehrungen an bedeutenden Unterstützungs- oder Widerstandsniveaus zu erfassen. Positionen werden beendet, wenn die schnelle und mittlere EMA in die entgegengesetzte Richtung kreuzen, was eine Trendschwäche signalisiert.

Details

  • Einstiegskriterien:
    • Long: Schnelle EMA > Mittlere EMA > Langsame SMA, bullischer Pin Bar, der eine der Durchschnitte durchsticht.
    • Short: Schnelle EMA < Mittlere EMA < Langsame SMA, bärischer Pin Bar, der eine der Durchschnitte durchsticht.
  • Ausstiegskriterien:
    • Schnelle EMA kreuzt die mittlere EMA in die entgegengesetzte Richtung.
  • Indikatoren:
    • Langsame SMA (Periode 50)
    • Mittlere EMA (18) und schnelle EMA (6)
    • ATR (Länge 14)
  • Stops: Positionsrisiko = EquityRisk% des Kontos mit Stop bei ATR * Multiplikator.
  • Standardwerte:
    • EquityRisk = 3
    • AtrMultiplier = 0.5
    • SlowSmaLength = 50
    • MediumEmaLength = 18
    • FastEmaLength = 6
    • AtrLength = 14
    • CancelEntryBars = 3
  • Filter:
    • Kursaktions-Umkehr
    • Funktioniert standardmäßig auf 1-Stunden-Kerzen
    • Indikatoren: EMA, SMA, ATR
    • Stops: Ja
    • Komplexität: Hoch
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Pin Bar Magic Strategy.
/// Detects pin bar candlestick patterns at EMA/SMA levels in trending markets.
/// Buys on bullish pin bars piercing moving averages in uptrend.
/// Sells on bearish pin bars piercing moving averages in downtrend.
/// </summary>
public class PinBarMagicStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _slowSmaLength;
	private readonly StrategyParam<int> _mediumEmaLength;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _slowSma;
	private ExponentialMovingAverage _mediumEma;
	private ExponentialMovingAverage _fastEma;

	private int _cooldownRemaining;

	public PinBarMagicStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_slowSmaLength = Param(nameof(SlowSmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow SMA Period", "Slow SMA period", "Indicators");

		_mediumEmaLength = Param(nameof(MediumEmaLength), 18)
			.SetGreaterThanZero()
			.SetDisplay("Medium EMA Period", "Medium EMA period", "Indicators");

		_fastEmaLength = Param(nameof(FastEmaLength), 6)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Period", "Fast EMA period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	public int SlowSmaLength
	{
		get => _slowSmaLength.Value;
		set => _slowSmaLength.Value = value;
	}

	public int MediumEmaLength
	{
		get => _mediumEmaLength.Value;
		set => _mediumEmaLength.Value = value;
	}

	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_slowSma = null;
		_mediumEma = null;
		_fastEma = null;
		_cooldownRemaining = 0;
	}

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

		_slowSma = new SimpleMovingAverage { Length = SlowSmaLength };
		_mediumEma = new ExponentialMovingAverage { Length = MediumEmaLength };
		_fastEma = new ExponentialMovingAverage { Length = FastEmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_slowSma, _mediumEma, _fastEma, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal slowSma, decimal mediumEma, decimal fastEma)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_slowSma.IsFormed || !_mediumEma.IsFormed || !_fastEma.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		// Check pin bar patterns
		var candleRange = candle.HighPrice - candle.LowPrice;
		if (candleRange == 0)
			return;

		var bullishPinBar = false;
		var bearishPinBar = false;

		if (candle.ClosePrice > candle.OpenPrice)
		{
			var lowerWick = candle.OpenPrice - candle.LowPrice;
			bullishPinBar = lowerWick > 0.60m * candleRange;

			var upperWick = candle.HighPrice - candle.ClosePrice;
			bearishPinBar = upperWick > 0.60m * candleRange;
		}
		else
		{
			var lowerWick = candle.ClosePrice - candle.LowPrice;
			bullishPinBar = lowerWick > 0.60m * candleRange;

			var upperWick = candle.HighPrice - candle.OpenPrice;
			bearishPinBar = upperWick > 0.60m * candleRange;
		}

		// Trend conditions - EMA fan
		var fanUpTrend = fastEma > mediumEma && mediumEma > slowSma;
		var fanDnTrend = fastEma < mediumEma && mediumEma < slowSma;

		// Piercing conditions - candle wick pierces through an MA level
		var bullPierce = (candle.LowPrice < fastEma && candle.ClosePrice > fastEma) ||
						 (candle.LowPrice < mediumEma && candle.ClosePrice > mediumEma) ||
						 (candle.LowPrice < slowSma && candle.ClosePrice > slowSma);

		var bearPierce = (candle.HighPrice > fastEma && candle.ClosePrice < fastEma) ||
						 (candle.HighPrice > mediumEma && candle.ClosePrice < mediumEma) ||
						 (candle.HighPrice > slowSma && candle.ClosePrice < slowSma);

		// Buy: uptrend + bullish pin bar + pierce
		if (fanUpTrend && bullishPinBar && bullPierce && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: downtrend + bearish pin bar + pierce
		else if (fanDnTrend && bearishPinBar && bearPierce && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: trend reversal (fast crosses below medium)
		else if (Position > 0 && fastEma < mediumEma)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: trend reversal (fast crosses above medium)
		else if (Position < 0 && fastEma > mediumEma)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
	}
}