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Bullische Umkehrstab-Strategie

Implementierung der Strategie - Bullischer Umkehrstab. Geht long, wenn ein bullischer Umkehrstab unterhalb der Alligator-Linien gebildet wird und der Preis über das Stabhoch ausbricht. Optionale Filter können Awesome Oscillator und Market Facilitation Index Squat-Bars aktivieren.

Das Setup sucht nach einem neuen Tief, das in der oberen Hälfte der Kerze schließt, während sich der Trend bullisch wendet. Die Bestätigung kommt, wenn der Preis das Stabhoch überschreitet.

Details

  • Einstiegskriterien:
    • Long: bullish reversal bar && close > confirmation level
  • Long/Short: Nur Long
  • Ausstiegskriterien:
    • Stop-Loss am Stabtief oder wenn Trend nach unten dreht
  • Stops: Stabtief gespeichert in _stopLoss
  • Standardwerte:
    • EnableAo = false
    • EnableMfi = false
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Long
    • Indikatoren: Alligator, Awesome Oscillator, Market Facilitation Index
    • Stops: Ja
    • Komplexität: Fortgeschritten
    • Zeitrahmen: Kurzfristig
    • 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>
/// Confirms a bullish reversal below the shifted Alligator with a later close above its high.
/// Optional AO and MFI squat filters qualify the setup; its low protects the long position.
/// </summary>
public class BullishReversalBarStrategy : Strategy
{
	private readonly StrategyParam<bool> _enableAo;
	private readonly StrategyParam<bool> _enableMfi;
	private readonly StrategyParam<DataType> _candleType;
	private Alligator _alligator;
	private AwesomeOscillator _ao;
	private MarketFacilitationIndex _mfi;
	private decimal? _previousLow, _previousLips, _previousAo, _previousMfi;
	private decimal _previousVolume;
	private (decimal High, decimal Low)? _pending;
	private decimal _stopLoss;
	private bool _exitPending;

	public bool EnableAo { get => _enableAo.Value; set => _enableAo.Value = value; }
	public bool EnableMfi { get => _enableMfi.Value; set => _enableMfi.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BullishReversalBarStrategy()
	{
		_enableAo = Param(nameof(EnableAo), false);
		_enableMfi = Param(nameof(EnableMfi), false);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
		_alligator = null;
		_ao = null;
		_mfi = null;
	}

	private void ResetState()
	{
		_previousLow = _previousLips = _previousAo = _previousMfi = null;
		_previousVolume = _stopLoss = 0m;
		_pending = null;
		_exitPending = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ResetState();
		_alligator = new Alligator();
		_ao = EnableAo ? new AwesomeOscillator() : null;
		_mfi = EnableMfi ? new MarketFacilitationIndex() : null;
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(_alligator, (candle, value) => ProcessCandle(candle, (IAlligatorValue)value), true).Start();
		var quotes = new Subscription(DataType.Level1, Security);
		quotes.MarketData.BuildField = Level1Fields.BestBidPrice;
		SubscribeLevel1(quotes).Bind(ProcessQuote).Start();

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

	private static decimal? ProcessFilter(IIndicator indicator, ICandleMessage candle)
	{
		if (indicator == null)
			return null;
		var value = indicator.Process(new CandleIndicatorValue(indicator, candle));
		return indicator.IsFormed && !value.IsEmpty ? value.GetValue<decimal>() : null;
	}

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

		var previousLow = _previousLow;
		var previousLips = _previousLips;
		var previousAo = _previousAo;
		var previousMfi = _previousMfi;
		var previousVolume = _previousVolume;
		var ao = ProcessFilter(_ao, candle);
		var mfi = ProcessFilter(_mfi, candle);
		_previousLow = candle.LowPrice;
		_previousLips = value.Lips;
		_previousAo = ao;
		_previousMfi = mfi;
		_previousVolume = candle.TotalVolume;

		if (value.Jaw is not decimal jaw || value.Teeth is not decimal teeth || value.Lips is not decimal lips
			|| !IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0m)
		{
			if (candle.LowPrice <= _stopLoss || lips < previousLips)
				CloseLong();
			return;
		}
		if (Position != 0m)
			return;
		_exitPending = false;

		// A setup is invalidated before confirmation if its low has already been touched.
		if (_pending is { } invalidated && candle.LowPrice <= invalidated.Low)
			_pending = null;
		if (_pending is { } confirmation && candle.ClosePrice > confirmation.High)
		{
			_stopLoss = confirmation.Low;
			_pending = null;
			BuyMarket();
			return;
		}

		var median = (candle.HighPrice + candle.LowPrice) / 2m;
		var reversal = candle.LowPrice < previousLow && candle.ClosePrice > median
			&& candle.HighPrice < Math.Min(jaw, Math.Min(teeth, lips)) && lips > previousLips;
		var aoFilter = !EnableAo || ao is decimal a && previousAo is decimal pa && a > pa;
		var squat = !EnableMfi || mfi is decimal m && previousMfi is decimal pm && m < pm && candle.TotalVolume > previousVolume;
		if (reversal && aoFilter && squat)
			_pending = (candle.HighPrice, candle.LowPrice);
	}

	private void ProcessQuote(Level1ChangeMessage message)
	{
		if (Position == 0m)
		{
			_exitPending = false;
			return;
		}
		if (Position > 0m && _stopLoss > 0m
			&& message.TryGetDecimal(Level1Fields.BestBidPrice) is decimal bid && bid <= _stopLoss)
			CloseLong();
	}

	private void CloseLong()
	{
		if (_exitPending || Position <= 0m)
			return;
		_exitPending = true;
		SellMarket(Position);
	}
}