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Martin-Strategie - Verlustfreier Ausstieg V3

Diese Martingale-Mittelungsstrategie fügt einer Long-Position hinzu, wenn der Preis um einen konfigurierten Prozentsatz vom ersten Einstieg fällt. Jede neue Order erhöht den Geldbetrag durch einen Multiplikator und passt den Durchschnittspreis an. Die Position wird geschlossen, wenn das Kerzenhoch den Durchschnittspreis plus den Take-Profit-Prozentsatz erreicht, um Ausstiege nur im Gewinn zu gewährleisten.

Details

  • Einstiegskriterien:
    • Long: Flat → kaufen für Initial Cash
    • Hinzufügen: Price <= EntryPrice * (1 - PriceStep% * orderCount) && orderCount < MaxOrders
  • Long/Short: Nur Long
  • Ausstiegskriterien:
    • High >= AvgPrice * (1 + TakeProfit%)
  • Stops: Nein
  • Standardwerte:
    • Initial Cash = 100
    • Max Orders = 20
    • Price Step % = 1.5
    • Take Profit % = 1
    • Increase Factor = 1.05
  • Filter:
    • Kategorie: Mittelung nach unten
    • Richtung: Nur Long
    • Indikatoren: Keine
    • Stops: Nein
    • Komplexität: Niedrig
    • Zeitrahmen: Beliebig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Hoch
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 MartinNoLossExitV3Strategy : Strategy
{
	private readonly StrategyParam<decimal> _priceStepPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _increaseFactor;
	private readonly StrategyParam<int> _maxOrders;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;

	private ExponentialMovingAverage _ema;
	private decimal _entryPrice;
	private decimal _totalCost;
	private decimal _totalQty;
	private decimal _lastCash;
	private int _orderCount;
	private bool _inPosition;

	public decimal PriceStepPercent { get => _priceStepPercent.Value; set => _priceStepPercent.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public decimal IncreaseFactor { get => _increaseFactor.Value; set => _increaseFactor.Value = value; }
	public int MaxOrders { get => _maxOrders.Value; set => _maxOrders.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MartinNoLossExitV3Strategy()
	{
		_priceStepPercent = Param(nameof(PriceStepPercent), 2.5m);
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2.5m);
		_increaseFactor = Param(nameof(IncreaseFactor), 1.10m);
		_maxOrders = Param(nameof(MaxOrders), 8);
		_emaLength = Param(nameof(EmaLength), 50);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ema = null;
		_entryPrice = 0m;
		_totalCost = 0m;
		_totalQty = 0m;
		_lastCash = 0m;
		_orderCount = 0;
		_inPosition = false;
	}

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

		_entryPrice = 0m;
		_totalCost = 0m;
		_totalQty = 0m;
		_lastCash = 0m;
		_orderCount = 0;
		_inPosition = false;
		_ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

		if (!_ema.IsFormed)
			return;

		var initialCash = 100m;

		if (_inPosition)
		{
			var avgPrice = _totalQty > 0m ? _totalCost / _totalQty : 0m;
			var takeProfitPrice = avgPrice * (1 + TakeProfitPercent / 100m);

			if (candle.HighPrice >= takeProfitPrice && Position > 0)
			{
				SellMarket();
				_inPosition = false;
				_entryPrice = 0m;
				_totalCost = 0m;
				_totalQty = 0m;
				_lastCash = 0m;
				_orderCount = 0;
				return;
			}

			var nextEntryPrice = _entryPrice * (1 - PriceStepPercent / 100m * _orderCount);
			if (_orderCount < MaxOrders && candle.ClosePrice <= nextEntryPrice)
			{
				BuyMarket();
				var newCash = _lastCash * IncreaseFactor;
				_totalCost += newCash;
				_totalQty += newCash / candle.ClosePrice;
				_lastCash = newCash;
				_orderCount++;
			}
		}
		else
		{
			if (candle.ClosePrice > ema)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_totalCost = initialCash;
				_totalQty = initialCash / candle.ClosePrice;
				_lastCash = initialCash;
				_orderCount = 1;
				_inPosition = true;
			}
		}
	}
}