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Balance-of-Power-Strategie

Die Balance-of-Power-Strategie bewertet die Stärke von Bullen gegenüber Bären innerhalb jeder Kerze, indem der Schluss mit der Handelsspanne verglichen wird. Wenn dieser Wert über einen positiven Schwellenwert steigt, signalisiert dies starken Kaufdruck.

Die Strategie eröffnet eine Long-Position, wenn der Balance of Power den definierten Threshold nach oben kreuzt, und schließt sie, wenn er unter den negativen Schwellenwert fällt.

Details

  • Einstiegskriterien:
    • Balance of Power kreuzt über Threshold.
  • Long/Short: Nur Long.
  • Ausstiegskriterien:
    • Balance of Power kreuzt unter -Threshold.
  • Stops: Keine.
  • Standardwerte:
    • Threshold = 0.8
  • Filter:
    • Kategorie: Momentum
    • Richtung: Long
    • Indikatoren: Balance of Power
    • Stops: Keine
    • Komplexität: Niedrig
    • Zeitrahmen: Beliebig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// Balance of Power strategy.
/// Long only: buys when Balance of Power crosses above Threshold and closes the long when it crosses below -Threshold.
/// </summary>
public class BalanceOfPowerStrategy : Strategy
{
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevBop;

	/// <summary>
	/// Balance of Power level whose upward cross opens a long.
	/// </summary>
	public decimal Threshold
	{
		get => _threshold.Value;
		set => _threshold.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BalanceOfPowerStrategy()
	{
		_threshold = Param(nameof(Threshold), 0.8m)
			.SetNotNegative()
			.SetDisplay("Threshold", "Balance of Power level whose upward cross opens a long", "Indicators");

		_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();
		_prevBop = null;
	}

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

		_prevBop = null;

		var bop = new BalanceOfPower();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bop, ProcessCandle)
			.Start();

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
				DrawIndicator(oscillators, bop);
		}
	}

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

		// A candle without range has no Balance of Power value.
		if (!bopValue.IsFormed || bopValue.IsEmpty)
			return;

		var bop = bopValue.GetValue<decimal>();
		var prev = _prevBop;
		_prevBop = bop;

		if (prev is not decimal prevBop)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position == 0 && prevBop <= Threshold && bop > Threshold)
			BuyMarket(Volume);
		else if (Position > 0 && prevBop >= -Threshold && bop < -Threshold)
			SellMarket(Position);
	}
}