Deutsch DE
Auf GitHub ansehen

Liquidity Engulfment Strategy

This strategy detects bullish and bearish engulfing patterns that occur after price touches recent liquidity highs or lows. Trades are filtered by mode and include fixed stop loss and optional take profit defined in pips.

Details

  • Entry Conditions:
    • Long: Bullish engulfing after lower liquidity touch.
    • Short: Bearish engulfing after upper liquidity touch.
  • Exit Conditions: Opposite signal, stop loss or take profit.
  • Long/Short: Configurable (both by default).
  • Indicators: Highest, Lowest.
  • Stops: StopLossPips and optional TakeProfitPips.
  • Default Values:
    • CandleType = 1 minute
    • UpperLookback = 10
    • LowerLookback = 10
    • StopLossPips = 10
    • TakeProfitPips = 20
    • Mode = Both
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>
/// Liquidity and Engulfment combination strategy.
/// </summary>
public class LiquidityEngulfmentStrategy : Strategy
{
	private readonly StrategyParam<int> _upperLookback;
	private readonly StrategyParam<int> _lowerLookback;
	private readonly StrategyParam<DataType> _candleType;

	public int UpperLookback { get => _upperLookback.Value; set => _upperLookback.Value = value; }
	public int LowerLookback { get => _lowerLookback.Value; set => _lowerLookback.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LiquidityEngulfmentStrategy()
	{
		_upperLookback = Param(nameof(UpperLookback), 14).SetGreaterThanZero().SetDisplay("Upper Lookback", "Upper liquidity", "Indicators");
		_lowerLookback = Param(nameof(LowerLookback), 14).SetGreaterThanZero().SetDisplay("Lower Lookback", "Lower liquidity", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame()).SetDisplay("Candle Type", "Type of candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

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

		var highest = new Highest { Length = UpperLookback };
		var lowest = new Lowest { Length = LowerLookback };

		var sub = SubscribeCandles(CandleType);
		sub.Bind(highest, lowest, Process).Start();

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

	private void Process(ICandleMessage candle, decimal highestVal, decimal lowestVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (highestVal == 0m || lowestVal == 0m)
			return;

		var bull = candle.ClosePrice > candle.OpenPrice;
		var bear = candle.ClosePrice < candle.OpenPrice;
		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var range = candle.HighPrice - candle.LowPrice;

		// Engulfing candle: body is large relative to range
		var engulfing = range > 0 && body / range > 0.6m;

		// Bullish: price touched lower liquidity zone and engulfing bullish candle
		var bullSignal = bull && engulfing && candle.LowPrice <= lowestVal;
		// Bearish: price touched upper liquidity zone and engulfing bearish candle
		var bearSignal = bear && engulfing && candle.HighPrice >= highestVal;

		if (bearSignal && Position >= 0)
			SellMarket();
		else if (bullSignal && Position <= 0)
			BuyMarket();
	}
}