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PercentX Trendfolge-Strategie

Strategie abgeleitet von PercentX Trend Follower von Trendoscope.

Die Strategie normalisiert den Preisabstand von einem ausgewählten Band (Keltner oder Bollinger) und handelt, wenn dieser Oszillator dynamische Extrembereiche kreuzt. ATR wird für die Stop-Platzierung verwendet.

Details

  • Einstiegskriterien: Oszillator kreuzt oberhalb des oberen Bereichs für Long, unterhalb des unteren Bereichs für Short.
  • Long/Short: Beide.
  • Ausstiegskriterien: ATR-basierter Stop.
  • Stops: Initialer ATR-Stop.
  • Standardwerte:
    • BandType = Keltner
    • MaLength = 40
    • LoopbackPeriod = 80
    • OuterLoopback = 80
    • UseInitialStop = true
    • AtrLength = 14
    • TrendMultiplier = 1
    • ReverseMultiplier = 3
    • CandleType = TimeSpan.FromMinutes(5)
  • Filter:
    • Kategorie: Trend
    • Richtung: Beide
    • Indikatoren: BollingerBands, KeltnerChannels, ATR, Highest, Lowest
    • Stops: ATR
    • Komplexität: Mittel
    • Zeitrahmen: Intraday (5m)
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// Percent-X trend follower using Bollinger Bands oscillator with ATR stops.
/// </summary>
public class PercentXTrendFollowerStrategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _reverseMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	public int MaLength { get => _maLength.Value; set => _maLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal ReverseMultiplier { get => _reverseMultiplier.Value; set => _reverseMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public PercentXTrendFollowerStrategy()
	{
		_maLength = Param(nameof(MaLength), 40);
		_atrLength = Param(nameof(AtrLength), 14);
		_reverseMultiplier = Param(nameof(ReverseMultiplier), 3m);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
	}

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

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = MaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(600);

		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(fast, slow, atr, (candle, fVal, sVal, atrVal) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (!fast.IsFormed || !slow.IsFormed || !atr.IsFormed)
				return;

			var f = fVal.IsFormed ? fVal.ToDecimal() : 0m;
			var s = sVal.IsFormed ? sVal.ToDecimal() : 0m;

			if (!init)
			{
				prevF = f;
				prevS = s;
				init = true;
				return;
			}

			if (candle.OpenTime - lastSignal >= cooldown)
			{
				if (prevF <= prevS && f > s && Position <= 0)
				{
					BuyMarket();
					lastSignal = candle.OpenTime;
				}
				else if (prevF >= prevS && f < s && Position >= 0)
				{
					SellMarket();
					lastSignal = candle.OpenTime;
				}
			}

			prevF = f;
			prevS = s;
		}).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fast);
			DrawIndicator(area, slow);
			DrawOwnTrades(area);
		}
	}
}