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Durchschnittliche-Kraft-Strategie

Die Durchschnittliche-Kraft-Strategie verwendet einen Oszillator, der misst, wo der Schluss innerhalb des höchsten Hochs und niedrigsten Tiefs eines Beobachtungszeitraums liegt, und glättet das Ergebnis mit einem gleitenden Durchschnitt. Positive Werte signalisieren Aufwärtsdruck, während negative Werte Abwärtskraft anzeigen.

Die Strategie geht long, wenn der geglättete Average Force-Wert über null liegt, und short, wenn er unter null liegt.

Details

  • Einstiegskriterien:
    • Average Force > 0 → Kaufen.
    • Average Force < 0 → Verkaufen.
  • Long/Short: Sowohl Long- als auch Short-Positionen.
  • Ausstiegskriterien:
    • Position kehrt um, wenn Average Force die Nulllinie in die entgegengesetzte Richtung kreuzt.
  • Stops: Keine.
  • Standardwerte:
    • Period = 18
    • Smooth = 6
  • Filter:
    • Kategorie: Momentum
    • Richtung: Beide
    • Indikatoren: Highest, Lowest, SMA
    • Stops: Nein
    • Komplexität: Niedrig
    • Zeitrahmen: Beliebig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Niedrig
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>
/// Average Force strategy.
/// The raw force is the position of the close inside the highest high and lowest low of the last Period candles, centred on zero
/// ((close - lowest) / (highest - lowest) - 0.5), and the Average Force is its SMA over Smooth candles. A positive Average
/// Force holds a long and a negative one holds a short, so the position reverses whenever it crosses zero.
/// </summary>
public class AverageForceStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<int> _smooth;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _forceAverage;

	/// <summary>
	/// Lookback of the highest high and lowest low.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

	/// <summary>
	/// SMA period of the force.
	/// </summary>
	public int Smooth
	{
		get => _smooth.Value;
		set => _smooth.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AverageForceStrategy()
	{
		_period = Param(nameof(Period), 18)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Lookback of the highest high and lowest low", "Indicator");

		_smooth = Param(nameof(Smooth), 6)
			.SetGreaterThanZero()
			.SetDisplay("Smooth", "SMA period of the force", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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();
		_forceAverage = null;
	}

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

		var highest = new Highest { Length = Period };
		var lowest = new Lowest { Length = Period };
		_forceAverage = new SimpleMovingAverage { Length = Smooth };

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

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

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

		var range = highest - lowest;
		var force = range > 0m ? (candle.ClosePrice - lowest) / range - 0.5m : 0m;
		var averageForce = _forceAverage.Process(force, candle.ServerTime, true).ToDecimal();

		if (!_forceAverage.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (averageForce > 0m && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (averageForce < 0m && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}