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Grid Tendence V1-Strategie

Grid-Handelsstrategie, die Positionen basierend auf prozentualen Gewinnschritten erneut öffnet oder umkehrt.

Sie startet Long, und wenn der Gewinn den angegebenen Prozentsatz erreicht, wird sie geschlossen und in dieselbe Richtung erneut eröffnet. Wenn der Verlust den Prozentsatz erreicht, wird sie geschlossen und in die entgegengesetzte Richtung eröffnet.

Details

  • Einstiegskriterien: Immer im Markt, beginnend Long. Erneut öffnen oder umkehren, wenn Gewinn oder Verlust Percent erreicht.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Gewinn- oder Verlustschwelle.
  • Stops: Nein.
  • Standardwerte:
    • Percent = 1.0
    • CandleType = TimeSpan.FromMinutes(1)
  • Filter:
    • Kategorie: Grid
    • Richtung: Beide
    • Indikatoren: Keine
    • Stops: Nein
    • Komplexität: Grundlegend
    • Zeitrahmen: Intraday (1m)
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Grid Tendence V1 strategy.
/// Always in the market, starting long. When the open position gains Percent percent from its entry price it is closed and
/// reopened in the same direction; when it loses Percent percent it is closed and a position in the opposite direction is opened.
/// </summary>
public class GridTendenceV1Strategy : Strategy
{
	private readonly StrategyParam<decimal> _percent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;

	/// <summary>
	/// Profit or loss percent that triggers a reopen or a reversal.
	/// </summary>
	public decimal Percent
	{
		get => _percent.Value;
		set => _percent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public GridTendenceV1Strategy()
	{
		_percent = Param(nameof(Percent), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Percent", "Profit or loss percent that reopens or reverses the position", "Trading");

		_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();
		_entryPrice = 0m;
	}

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

		_entryPrice = 0m;

		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;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		if (Position == 0)
		{
			// The first entry is always long.
			BuyMarket(Volume);
			_entryPrice = close;
			return;
		}

		if (_entryPrice <= 0m)
		{
			_entryPrice = close;
			return;
		}

		var change = (close - _entryPrice) / _entryPrice * 100m;
		var profit = Position > 0 ? change : -change;

		if (profit >= Percent)
		{
			if (Position > 0)
			{
				SellMarket(Position);
				BuyMarket(Volume);
			}
			else
			{
				BuyMarket(-Position);
				SellMarket(Volume);
			}

			_entryPrice = close;
		}
		else if (profit <= -Percent)
		{
			if (Position > 0)
				SellMarket(Volume + Math.Abs(Position));
			else
				BuyMarket(Volume + Math.Abs(Position));

			_entryPrice = close;
		}
	}
}