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Megabar Ausbruch (Range & Volumen & RSI)

Megabar Breakout erkennt große Kerzen, die durch hohes Volumen und RSI-Bestätigung gestützt werden. Die Strategie geht bei bullischen Megabars long und bei bärischen short.

Sie multipliziert den durchschnittlichen Range und das Volumen, um Megabars zu finden. Der gleitende Durchschnitt des RSI filtert die Trades.

Details

  • Einstiegskriterien: Kerzenkörper und Volumen übersteigen ihre gleitenden Durchschnitte um die angegebenen Multiplikatoren. RSI MA über dem Long-Schwellenwert für Käufe und unter dem Short-Schwellenwert für Verkäufe.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Stop-Loss oder Take-Profit.
  • Stops: Ja.
  • Standardwerte:
    • CandleType = TimeSpan.FromMinutes(5)
    • VolumeAveragePeriod = 20
    • VolumeMultiplier = 3
    • RangeAveragePeriod = 20
    • RangeMultiplier = 4
    • RsiPeriod = 14
    • RsiMaPeriod = 14
    • LongRsiThreshold = 50
    • ShortRsiThreshold = 70
    • TakeProfit = 400
    • StopLoss = 300
    • FilterTradeHours = false
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: Volumen, Range, RSI
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Linq;
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 MegabarBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;
	private readonly List<decimal> _volumes = new();
	private readonly List<decimal> _ranges = new();
	private int _barsFromSignal;

	public int AvgPeriod { get => _avgPeriod.Value; set => _avgPeriod.Value = value; }
	public decimal Multiplier { get => _multiplier.Value; set => _multiplier.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MegabarBreakoutStrategy()
	{
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Rolling average period", "General");
		_multiplier = Param(nameof(Multiplier), 1.8m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Volume and range multiplier", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 8)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi = null;
		_volumes.Clear();
		_ranges.Clear();
		_barsFromSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		StartProtection(null, null);

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_volumes.Clear();
		_ranges.Clear();
		_barsFromSignal = SignalCooldownBars;

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var vol = candle.TotalVolume;
		var range = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		_volumes.Add(vol);
		_ranges.Add(range);
		if (_volumes.Count > AvgPeriod) _volumes.RemoveAt(0);
		if (_ranges.Count > AvgPeriod) _ranges.RemoveAt(0);

		if (!_rsi.IsFormed || _volumes.Count < AvgPeriod)
			return;

		var avgVol = _volumes.Average();
		var avgRange = _ranges.Average();

		var volumeOk = vol > avgVol * Multiplier;
		var rangeOk = range > avgRange * Multiplier;
		_barsFromSignal++;

		if (_barsFromSignal >= SignalCooldownBars && candle.ClosePrice > candle.OpenPrice && volumeOk && rangeOk && rsiValue > 52m && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (_barsFromSignal >= SignalCooldownBars && candle.ClosePrice < candle.OpenPrice && volumeOk && rangeOk && rsiValue < 48m && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}
	}
}