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Rampok Scalp-Strategie

Scalping-System, das handelt, wenn der Preis die gleitenden Durchschnittshüllen durchbricht. Die Strategie geht Long, wenn der Preis das untere Band nach oben kreuzt, und Short, wenn der Preis das obere Band nach unten kreuzt. Positionen werden durch optionale Take-Profit-, Stop-Loss- und Trailing-Stop-Parameter geschützt.

Details

  • Einstiegskriterien:
    • Kauf: vorheriger Schlusskurs unter dem unteren Band und aktueller Schlusskurs darüber.
    • Verkauf: vorheriger Schlusskurs über dem oberen Band und aktueller Schlusskurs darunter.
  • Long/Short: Beide.
  • Ausstiegskriterien:
    • Take-Profit, Stop-Loss oder Trailing-Stop.
  • Stops: Konfigurierbares SL/TP und Trailing.
  • Filter: keine.
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>
/// Envelope based scalping strategy.
/// Enters when price crosses moving average bands and exits with trailing stop.
/// </summary>
public class RampokScalpStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _deviation;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _prevClose;
	private decimal _entryPrice;
	private decimal _highestPrice;
	private decimal _lowestPrice;
	private bool _hasPrev;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public decimal Deviation { get => _deviation.Value; set => _deviation.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RampokScalpStrategy()
	{
		_period = Param(nameof(Period), 15)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Moving average period", "General");

		_deviation = Param(nameof(Deviation), 0.07m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation", "Envelope deviation percent", "General");

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpper = 0;
		_prevLower = 0;
		_prevClose = 0;
		_entryPrice = 0;
		_highestPrice = 0;
		_lowestPrice = 0;
		_hasPrev = false;
	}

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

		var sma = new SimpleMovingAverage { Length = Period };
		SubscribeCandles(CandleType).Bind(sma, ProcessCandle).Start();
	}

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

		var upper = smaValue * (1 + Deviation);
		var lower = smaValue * (1 - Deviation);
		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevUpper = upper;
			_prevLower = lower;
			_prevClose = close;
			_hasPrev = true;
			return;
		}

		if (Position == 0)
		{
			if (_prevClose < _prevLower && close > lower)
			{
				BuyMarket();
				_entryPrice = close;
				_highestPrice = close;
			}
			else if (_prevClose > _prevUpper && close < upper)
			{
				SellMarket();
				_entryPrice = close;
				_lowestPrice = close;
			}
		}
		else if (Position > 0)
		{
			_highestPrice = Math.Max(_highestPrice, candle.HighPrice);
			// Exit at upper band or trailing
			if (close >= upper)
				SellMarket();
		}
		else if (Position < 0)
		{
			_lowestPrice = Math.Min(_lowestPrice, candle.LowPrice);
			// Exit at lower band or trailing
			if (close <= lower)
				BuyMarket();
		}

		_prevUpper = upper;
		_prevLower = lower;
		_prevClose = close;
	}
}