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IBS Internal Bar Strength-Strategie

IBS Internal Bar Strength ist eine Mean-Reversion-Strategie, die den Schlusskurs der vorherigen Kerze innerhalb ihrer Range nutzt, um überkaufte oder überverkaufte Bedingungen zu erkennen. Ein optionaler EMA-Filter richtet die Trades an der Trendrichtung aus, und Einstiege werden nur erlaubt, wenn sich der Preis um einen Mindestprozentsatz vom letzten Einstieg entfernt. Positionen werden geschlossen, wenn der IBS den entgegengesetzten Schwellenwert kreuzt oder die maximale Haltedauer erreicht wird.

Details

  • Daten: Kurskerzen.
  • Einstiegskriterien:
    • Long: IBS unterhalb des Einstiegs-Schwellenwerts, EMA-Bedingung erfüllt und Richtung erlaubt.
    • Short: IBS oberhalb des Ausstiegs-Schwellenwerts, EMA-Bedingung erfüllt und Richtung erlaubt.
  • Ausstiegskriterien: IBS kreuzt den entgegengesetzten Schwellenwert oder Handelsdauerlimit.
  • Stops: Zeitbasierter Ausstieg.
  • Standardwerte:
    • IbsEntryThreshold = 0.09
    • IbsExitThreshold = 0.985
    • EmaPeriod = 220
    • MinEntryPct = 0
    • MaxTradeDuration = 14
  • Filter:
    • Kategorie: Mean Reversion
    • Richtung: Long & Short
    • Indikatoren: IBS, EMA
    • Komplexität: Niedrig
    • Risikolevel: Mittel
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Previous-bar IBS mean reversion with optional EMA alignment, spaced additions,
/// full-basket opposite-threshold exits and a maximum holding period in finished bars.
/// </summary>
public class IbsInternalBarStrengthStrategy : Strategy
{
	private readonly StrategyParam<decimal> _ibsEntryThreshold;
	private readonly StrategyParam<decimal> _ibsExitThreshold;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<bool> _useEmaFilter;
	private readonly StrategyParam<bool> _allowLong;
	private readonly StrategyParam<bool> _allowShort;
	private readonly StrategyParam<decimal> _minEntryPct;
	private readonly StrategyParam<int> _maxTradeDuration;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousIbs;
	private decimal _previousClose;
	private decimal _previousEma;
	private bool _previousEmaReady;
	private decimal _lastEntryPrice;
	private int _barCount;
	private int _firstEntryBar;

	public decimal IbsEntryThreshold { get => _ibsEntryThreshold.Value; set => _ibsEntryThreshold.Value = value; }
	public decimal IbsExitThreshold { get => _ibsExitThreshold.Value; set => _ibsExitThreshold.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public bool UseEmaFilter { get => _useEmaFilter.Value; set => _useEmaFilter.Value = value; }
	public bool AllowLong { get => _allowLong.Value; set => _allowLong.Value = value; }
	public bool AllowShort { get => _allowShort.Value; set => _allowShort.Value = value; }
	public decimal MinEntryPct { get => _minEntryPct.Value; set => _minEntryPct.Value = value; }
	public int MaxTradeDuration { get => _maxTradeDuration.Value; set => _maxTradeDuration.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public IbsInternalBarStrengthStrategy()
	{
		_ibsEntryThreshold = Param(nameof(IbsEntryThreshold), 0.09m).SetRange(0m, 1m);
		_ibsExitThreshold = Param(nameof(IbsExitThreshold), 0.985m).SetRange(0m, 1m);
		_emaPeriod = Param(nameof(EmaPeriod), 220).SetGreaterThanZero();
		_useEmaFilter = Param(nameof(UseEmaFilter), true);
		_allowLong = Param(nameof(AllowLong), true);
		_allowShort = Param(nameof(AllowShort), true);
		_minEntryPct = Param(nameof(MinEntryPct), 0m).SetNotNegative();
		_maxTradeDuration = Param(nameof(MaxTradeDuration), 14).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame());
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		if (IbsEntryThreshold >= IbsExitThreshold)
			throw new InvalidOperationException("IbsEntryThreshold must be below IbsExitThreshold.");

		ResetState();
		// A disabled filter must not impose a 220-bar warm-up on the IBS signal.
		var ema = new ExponentialMovingAverage { Length = UseEmaFilter ? EmaPeriod : 1 };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, (candle, value) => ProcessCandle(candle, value, ema.IsFormed)).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			if (UseEmaFilter)
				DrawIndicator(area, ema);
			DrawOwnTrades(area);
		}
	}

	private void ResetState()
	{
		_previousIbs = null;
		_previousClose = _previousEma = _lastEntryPrice = 0m;
		_previousEmaReady = false;
		_barCount = _firstEntryBar = 0;
	}

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

		var ibs = _previousIbs;
		var previousClose = _previousClose;
		var previousEma = _previousEma;
		var filterReady = _previousEmaReady;
		var range = candle.HighPrice - candle.LowPrice;
		_previousIbs = range == 0m ? 0.5m : (candle.ClosePrice - candle.LowPrice) / range;
		_previousClose = candle.ClosePrice;
		_previousEma = emaValue;
		_previousEmaReady = emaReady;
		_barCount++;

		if (ibs is null || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0m)
		{
			var oppositeThreshold = Position > 0m ? ibs > IbsExitThreshold : ibs < IbsEntryThreshold;
			if (oppositeThreshold || _barCount - _firstEntryBar >= MaxTradeDuration)
			{
				if (Position > 0m)
					SellMarket(Math.Abs(Position));
				else
					BuyMarket(Math.Abs(Position));
				_lastEntryPrice = 0m;
				_firstEntryBar = 0;
				return;
			}
		}

		if (UseEmaFilter && !filterReady)
			return;

		if (Position != 0m && _lastEntryPrice > 0m
			&& 100m * Math.Abs(candle.ClosePrice - _lastEntryPrice) / _lastEntryPrice < MinEntryPct)
			return;

		var buy = AllowLong && Position >= 0m && ibs < IbsEntryThreshold
			&& (!UseEmaFilter || previousClose > previousEma);
		var sell = AllowShort && Position <= 0m && ibs > IbsExitThreshold
			&& (!UseEmaFilter || previousClose < previousEma);
		if (!buy && !sell)
			return;

		// Added entries do not extend the lifetime of the existing basket.
		if (Position == 0m)
			_firstEntryBar = _barCount;
		_lastEntryPrice = candle.ClosePrice;
		if (buy)
			BuyMarket();
		else
			SellMarket();
	}
}