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Strategie Market EKG

Die Market EKG-Strategie vergleicht die OHLC-Werte der vorherigen Kerze mit den Durchschnittswerten zweier älterer Kerzen. Sie kauft, wenn der Durchschnitt der beiden älteren Schlusskurse über dem letzten Schlusskurs liegt, und verkauft, wenn er darunter liegt.

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;

public class MarketEKGStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _deviationThresholdPercent;
	private readonly StrategyParam<int> _cooldownBars;

	private ICandleMessage _prev1;
	private ICandleMessage _prev2;
	private ICandleMessage _prev3;
	private int _barsFromSignal;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal DeviationThresholdPercent { get => _deviationThresholdPercent.Value; set => _deviationThresholdPercent.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public MarketEKGStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
		_deviationThresholdPercent = Param(nameof(DeviationThresholdPercent), 0.15m);
		_cooldownBars = Param(nameof(CooldownBars), 16);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prev1 = null;
		_prev2 = null;
		_prev3 = null;
		_barsFromSignal = CooldownBars;
	}

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

		_prev1 = null;
		_prev2 = null;
		_prev3 = null;
		_barsFromSignal = CooldownBars;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
	}

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

		if (_prev1 != null && _prev2 != null && _prev3 != null)
		{
			var avgClose = (_prev3.ClosePrice + _prev2.ClosePrice) / 2m;
			var diffClose = avgClose - _prev1.ClosePrice;
			var basePrice = _prev1.ClosePrice;
			var diffPercent = basePrice == 0m ? 0m : Math.Abs(diffClose) / basePrice * 100m;
			_barsFromSignal++;
			var canSignal = _barsFromSignal >= CooldownBars;

			if (canSignal && diffClose > 0 && diffPercent >= DeviationThresholdPercent && Position <= 0)
			{
				BuyMarket();
				_barsFromSignal = 0;
			}
			else if (canSignal && diffClose < 0 && diffPercent >= DeviationThresholdPercent && Position >= 0)
			{
				SellMarket();
				_barsFromSignal = 0;
			}
		}

		_prev3 = _prev2;
		_prev2 = _prev1;
		_prev1 = candle;
	}
}