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Engulfing-Candlestick-Strategie

Diese Strategie handelt ein ausgewähltes Engulfing-Muster. Wählen Sie entweder bullisches oder bearisches Engulfing und eine Handelsseite, die beim Auftreten des Musters eröffnet wird. Die Position wird für eine festgelegte Anzahl von Bars gehalten, bevor sie geschlossen wird.

Details

  • Einstiegskriterien: Ausgewähltes Engulfing-Muster (bullisch oder bearisch).
  • Long/Short: Konfigurierbarer Long oder Short.
  • Ausstiegskriterien: Position wird nach der angegebenen Anzahl von Bars geschlossen.
  • Stops: Nein.
  • Standardwerte:
    • CandleType = 15 Minuten
    • HoldPeriods = 17
    • Pattern = Bullish
    • Side = Long
  • Filter:
    • Kategorie: Muster
    • Richtung: Beide
    • Indikatoren: Candlestick
    • Stops: Nein
    • Komplexität: Anfänger
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// Trades the selected candle-body engulfing pattern and exits after HoldPeriods bars.
/// </summary>
public class EngulfingCandlestickStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _holdPeriods;
	private readonly StrategyParam<string> _pattern;
	private readonly StrategyParam<Sides> _side;
	private decimal? _previousOpen;
	private decimal _previousClose;
	private int _barsHeld;
	private Order _pendingOrder;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int HoldPeriods { get => _holdPeriods.Value; set => _holdPeriods.Value = value; }
	public string Pattern { get => _pattern.Value; set => _pattern.Value = value; }
	public Sides Side { get => _side.Value; set => _side.Value = value; }

	public EngulfingCandlestickStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_holdPeriods = Param(nameof(HoldPeriods), 17)
			.SetGreaterThanZero()
			.SetDisplay("Hold Periods", "Bars to hold the position", "Trading");
		_pattern = Param(nameof(Pattern), "Bullish")
			.SetDisplay("Pattern", "Bullish or Bearish engulfing", "Trading");
		_side = Param(nameof(Side), Sides.Buy)
			.SetDisplay("Side", "Buy for long, Sell for short", "Trading");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousOpen = null;
		_previousClose = 0m;
		_barsHeld = 0;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		if (Pattern != "Bullish" && Pattern != "Bearish")
			throw new ArgumentOutOfRangeException(nameof(Pattern), Pattern, "Choose Bullish or Bearish.");
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

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

		var bullish = _previousOpen is decimal open && _previousClose < open
			&& candle.ClosePrice > candle.OpenPrice && candle.OpenPrice <= _previousClose && candle.ClosePrice >= open;
		var bearish = _previousOpen is decimal previousOpen && _previousClose > previousOpen
			&& candle.ClosePrice < candle.OpenPrice && candle.OpenPrice >= _previousClose && candle.ClosePrice <= previousOpen;

		if (Position != 0)
			_barsHeld++;

		if (_pendingOrder?.State is OrderStates.Done or OrderStates.Failed)
			_pendingOrder = null;

		if (_pendingOrder is null && IsFormedAndOnlineAndAllowTrading())
		{
			if (Position != 0 && _barsHeld >= HoldPeriods)
				_pendingOrder = Position > 0 ? SellMarket(Position) : BuyMarket(-Position);
			else if (Position == 0 && (Pattern == "Bullish" ? bullish : bearish))
			{
				_pendingOrder = Side == Sides.Buy ? BuyMarket() : SellMarket();
				_barsHeld = 0;
			}
		}

		_previousOpen = candle.OpenPrice;
		_previousClose = candle.ClosePrice;
	}
}