Deutsch DE
Auf GitHub ansehen

Volume EA-Strategie

Überblick

Diese Strategie handelt auf Basis von Volumenspitzen und dem Commodity Channel Index (CCI). Sie eröffnet Positionen zu Beginn einer neuen Stunde, wenn das Volumen der vorherigen Kerze das der Kerze davor um einen konfigurierbaren Faktor übertrifft. CCI-Werte müssen in bestimmte Bänder fallen, um das Signal zu bestätigen.

Regeln

  • Es ist immer nur eine Position gleichzeitig offen.
  • Zu Beginn jeder Stunde:
    • Long-Einstieg wenn:
      • Die vorherige Kerze bullisch ist.
      • Vorheriges Volumen > voriges Volumen × Factor.
      • CCI liegt zwischen CciLevel1 und CciLevel2.
    • Short-Einstieg wenn:
      • Die vorherige Kerze bärisch ist.
      • Vorheriges Volumen > voriges Volumen × Factor.
      • CCI liegt zwischen CciLevel4 und CciLevel3.
  • Ein Trailing-Stop von TrailingStop Preisschritten schützt Gewinne.
  • Alle Positionen werden geschlossen, wenn die Stunde gleich 23 ist.

Parameter

  • Factor – Volumen-Multiplikator-Schwellenwert.
  • TrailingStop – Trailing-Distanz in Preisschritten.
  • CciLevel1 / CciLevel2 – CCI-Grenzen für Long-Trades.
  • CciLevel3 / CciLevel4 – CCI-Grenzen für Short-Trades.
  • CandleType – Kerzen-Zeitrahmen für Berechnungen.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on volume spikes and CCI ranges.
/// </summary>
public class VolumeEaStrategy : Strategy
{
	private readonly StrategyParam<decimal> _factor;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<decimal> _cciLevel1;
	private readonly StrategyParam<decimal> _cciLevel2;
	private readonly StrategyParam<decimal> _cciLevel3;
	private readonly StrategyParam<decimal> _cciLevel4;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevVolume;
	private decimal _prevPrevVolume;
	private decimal _prevOpen;
	private decimal _prevClose;
	private decimal _longStop;
	private decimal _shortStop;

	/// <summary>
	/// Volume multiplier threshold.
	/// </summary>
	public decimal Factor
	{
		get => _factor.Value;
		set => _factor.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price steps.
	/// </summary>
	public decimal TrailingStop
	{
		get => _trailingStop.Value;
		set => _trailingStop.Value = value;
	}

	/// <summary>
	/// Lower CCI level for long trades.
	/// </summary>
	public decimal CciLevel1
	{
		get => _cciLevel1.Value;
		set => _cciLevel1.Value = value;
	}

	/// <summary>
	/// Upper CCI level for long trades.
	/// </summary>
	public decimal CciLevel2
	{
		get => _cciLevel2.Value;
		set => _cciLevel2.Value = value;
	}

	/// <summary>
	/// Upper CCI level for short trades.
	/// </summary>
	public decimal CciLevel3
	{
		get => _cciLevel3.Value;
		set => _cciLevel3.Value = value;
	}

	/// <summary>
	/// Lower CCI level for short trades.
	/// </summary>
	public decimal CciLevel4
	{
		get => _cciLevel4.Value;
		set => _cciLevel4.Value = value;
	}

	/// <summary>
	/// Candle type for processing.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public VolumeEaStrategy()
	{
		_factor = Param(nameof(Factor), 1.55m)
			.SetGreaterThanZero()
			.SetDisplay("Factor", "Volume multiplier", "Trading");

		_trailingStop = Param(nameof(TrailingStop), 350m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Stop", "Trailing distance in steps", "Risk");

		_cciLevel1 = Param(nameof(CciLevel1), 50m)
			.SetDisplay("CCI Level1", "Lower CCI for buys", "Trading");

		_cciLevel2 = Param(nameof(CciLevel2), 190m)
			.SetDisplay("CCI Level2", "Upper CCI for buys", "Trading");

		_cciLevel3 = Param(nameof(CciLevel3), -50m)
			.SetDisplay("CCI Level3", "Upper CCI for sells", "Trading");

		_cciLevel4 = Param(nameof(CciLevel4), -190m)
			.SetDisplay("CCI Level4", "Lower CCI for sells", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevVolume = 0;
		_prevPrevVolume = 0;
		_prevOpen = 0;
		_prevClose = 0;
		_longStop = 0;
		_shortStop = 0;
	}

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

		var cci = new CommodityChannelIndex { Length = 14 };

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

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

	}

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

		var currentVolume = candle.TotalVolume;

		{
			var trailDist = TrailingStop;
			var volumeOk = _prevVolume > _prevPrevVolume * Factor;

			if (volumeOk)
			{
				if (_prevClose > _prevOpen && cciValue > CciLevel1 && cciValue < CciLevel2 && Position <= 0)
				{
					if (Position < 0) BuyMarket();
					BuyMarket();
					_longStop = candle.ClosePrice - trailDist;
					_shortStop = 0m;
				}
				else if (_prevClose < _prevOpen && cciValue < CciLevel3 && cciValue > CciLevel4 && Position >= 0)
				{
					if (Position > 0) SellMarket();
					SellMarket();
					_shortStop = candle.ClosePrice + trailDist;
					_longStop = 0m;
				}
			}

			if (Position > 0)
			{
				var candidate = candle.ClosePrice - trailDist;
				if (candidate > _longStop)
					_longStop = candidate;

				if (candle.ClosePrice <= _longStop)
				{
					SellMarket();
					_longStop = 0m;
				}
			}
			else if (Position < 0)
			{
				var candidate = candle.ClosePrice + trailDist;
				if (_shortStop == 0m || candidate < _shortStop)
					_shortStop = candidate;

				if (candle.ClosePrice >= _shortStop)
				{
					BuyMarket();
					_shortStop = 0m;
				}
			}
		}

		_prevPrevVolume = _prevVolume;
		_prevVolume = currentVolume;
		_prevOpen = candle.OpenPrice;
		_prevClose = candle.ClosePrice;
	}
}