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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.
/// Uses EMA crossover as trend signal with cooldown between trades.
/// </summary>
public class AverageForceStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private int _barIndex;
	private int _lastTradeBar;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AverageForceStrategy()
	{
		_fastLength = Param(nameof(FastLength), 18)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowLength = Param(nameof(SlowLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 350)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowLength };

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

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		var crossUp = _prevFast > 0 && _prevFast <= _prevSlow && fastValue > slowValue;
		var crossDown = _prevFast > 0 && _prevFast >= _prevSlow && fastValue < slowValue;

		if (crossUp && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (crossDown && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevFast = fastValue;
		_prevSlow = slowValue;
	}
}