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Strategie zur IBS-Umkehr im durchschnittlichen Hoch-Tief-Bereich

Diese Strategie sucht nach Mean Reversion, nachdem der Preis unterhalb einer dynamischen Schwelle geblieben ist, die aus der durchschnittlichen Hoch-Tief-Spanne abgeleitet wird. Sie berechnet den gleitenden Durchschnitt der Balkenspanne, das höchste Hoch und das niedrigste Tief über den Beobachtungszeitraum. Eine Kaufschwelle wird als höchstes Hoch minus 2,5-facher Durchschnittsspanne definiert. Wenn der Preis für eine bestimmte Anzahl von Balken unter diesem Niveau bleibt und die intrabarbezeichnete Stärke (IBS) innerhalb des Handelsfensters unter einem bestimmten Limit liegt, wird eine Long-Position eröffnet. Die Position wird geschlossen, wenn der Schlusskurs das Hoch des vorherigen Balkens überschreitet.

Details

  • Einstiegskriterien:
    • Der Preis ist BarsBelowThreshold Balken lang unter der Kaufschwelle geblieben.
    • IBS < IbsBuyThreshold.
    • Zeit zwischen StartTime und EndTime.
  • Long/Short: Nur Long.
  • Ausstiegskriterien:
    • Schlusskurs überschreitet das Hoch des vorherigen Balkens.
  • Stops: Keine.
  • Standardwerte:
    • Length = 20
    • BarsBelowThreshold = 2
    • IbsBuyThreshold = 0.2
  • Filter:
    • Kategorie: Mean Reversion
    • Richtung: Long
    • Indikatoren: SMA, Highest, Lowest
    • 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 high-low range IBS reversal strategy.
/// The buy threshold is the highest high of the last Length candles minus 2.5 times the SMA of the candle range over Length
/// candles. When the close has stayed below that threshold for BarsBelowThreshold consecutive candles and the internal bar
/// strength (close - low) / (high - low) is below IbsBuyThreshold, a long opens, provided the candle lies between StartTime and
/// EndTime. The long closes when a close exceeds the previous candle's high. Long only.
/// </summary>
public class AverageHighLowRangeIbsReversalStrategy : Strategy
{
	private const decimal _rangeMultiplier = 2.5m;

	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<int> _barsBelowThreshold;
	private readonly StrategyParam<decimal> _ibsBuyThreshold;
	private readonly StrategyParam<DateTime> _startTime;
	private readonly StrategyParam<DateTime> _endTime;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _rangeAverage;
	private int _barsBelow;
	private decimal? _prevHigh;

	/// <summary>
	/// Lookback of the range average and the highest high.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Consecutive closes below the threshold required for an entry.
	/// </summary>
	public int BarsBelowThreshold
	{
		get => _barsBelowThreshold.Value;
		set => _barsBelowThreshold.Value = value;
	}

	/// <summary>
	/// Maximum internal bar strength for an entry.
	/// </summary>
	public decimal IbsBuyThreshold
	{
		get => _ibsBuyThreshold.Value;
		set => _ibsBuyThreshold.Value = value;
	}

	/// <summary>
	/// Start of the trading window.
	/// </summary>
	public DateTime StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// End of the trading window.
	/// </summary>
	public DateTime EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AverageHighLowRangeIbsReversalStrategy()
	{
		_length = Param(nameof(Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Lookback of the range average and the highest high", "Indicators");

		_barsBelowThreshold = Param(nameof(BarsBelowThreshold), 2)
			.SetGreaterThanZero()
			.SetDisplay("Bars Below Threshold", "Consecutive closes below the threshold required for an entry", "Signals");

		_ibsBuyThreshold = Param(nameof(IbsBuyThreshold), 0.2m)
			.SetDisplay("IBS Buy Threshold", "Maximum internal bar strength for an entry", "Signals");

		_startTime = Param(nameof(StartTime), new DateTime(2000, 1, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("Start Time", "Start of the trading window", "Time");

		_endTime = Param(nameof(EndTime), new DateTime(2100, 1, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("End Time", "End of the trading window", "Time");

		_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();
		_rangeAverage = null;
		_barsBelow = 0;
		_prevHigh = null;
	}

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

		_barsBelow = 0;
		_prevHigh = null;

		var highest = new Highest { Length = Length };
		_rangeAverage = new SimpleMovingAverage { Length = Length };

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

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

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

		var range = candle.HighPrice - candle.LowPrice;
		var averageRange = _rangeAverage.Process(range, candle.ServerTime, true).ToDecimal();

		var prevHigh = _prevHigh;
		_prevHigh = candle.HighPrice;

		if (!_rangeAverage.IsFormed)
			return;

		var close = candle.ClosePrice;
		var threshold = highest - _rangeMultiplier * averageRange;
		_barsBelow = close < threshold ? _barsBelow + 1 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (prevHigh is decimal ph && close > ph)
				SellMarket(Position);

			return;
		}

		var ibs = range > 0m ? (close - candle.LowPrice) / range : 0.5m;
		var inWindow = candle.OpenTime >= StartTime && candle.OpenTime <= EndTime;

		if (Position == 0 && inWindow && _barsBelow >= BarsBelowThreshold && ibs < IbsBuyThreshold)
			BuyMarket(Volume);
	}
}