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Intraday-Zeithandel-Strategie

Die Strategie eröffnet Long- und/oder Short-Positionen zu einer bestimmten Tageszeit mit vordefinierten Stop-Loss- und Take-Profit-Abständen. Sie ist nützlich, um zeitbasierte Einstiege ohne Indikatorbestätigung zu testen.

Details

  • Einstiegskriterien: Zeitbasierter Auslöser zur konfigurierten Stunde und Minute.
  • Long/Short: Beide Richtungen (konfigurierbar).
  • Ausstiegskriterien: Schutz-Stop oder Ziel.
  • Stops: Ja.
  • Standardwerte:
    • TradeHour = 0
    • TradeMinute = 0
    • AllowBuy = true
    • AllowSell = true
    • TakeProfitTicks = 20
    • StopLossTicks = 20
    • CandleType = TimeSpan.FromMinutes(1)
  • Filter:
    • Kategorie: Sonstige
    • Richtung: Beide
    • Indikatoren: Keine
    • Stops: Fest
    • Komplexität: Grundlegend
    • Zeitrahmen: Intraday (1m)
    • 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>
/// EMA crossover strategy with fixed SL/TP.
/// </summary>
public class TimeTraderIntradayStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _isInitialized;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TimeTraderIntradayStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicators");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_isInitialized = false;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType).Bind(fastEma, slowEma, ProcessCandle).Start();
	}

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

		if (!_isInitialized)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_isInitialized = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast >= _prevSlow && fast < slow;

		_prevFast = fast;
		_prevSlow = slow;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}