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Kloss-Strategie

Die Kloss-Strategie kombiniert einen gewichteten gleitenden Durchschnitt (WMA), den Commodity Channel Index (CCI) und den Stochastischen Oszillator. Alle Indikatoren werden auf verschobenen historischen Werten ausgewertet, sodass Signale auf dem vergangenen Marktkontext basieren können. Eine Long-Position wird eröffnet, wenn der CCI unter eine negative Schwelle fällt, die Hauptlinie des Stochastischen Oszillators unter eine Abweichung vom neutralen 50-Niveau fällt und der verschobene Preis über dem verschobenen WMA liegt. Eine Short-Position wird bei umgekehrten Bedingungen eröffnet. Das optionale Umkehrschließen beendet eine bestehende Position, wenn das entgegengesetzte Signal erscheint. Stop-Loss und Take-Profit werden in Punkten vom Einstiegspreis festgelegt.

Details

  • Einstiegskriterien:
    • Long: Verschobener CCI unter -CciDiffer, verschobener Stochastik unter 50 - StochDiffer, und verschobener Preis über dem verschobenen WMA.
    • Short: Verschobener CCI über CciDiffer, verschobener Stochastik über 50 + StochDiffer, und verschobener Preis unter dem verschobenen WMA.
  • Long/Short: Beide.
  • Ausstiegskriterien:
    • Umkehrsignal, wenn RevClose aktiviert ist, oder Stop-Loss / Take-Profit-Niveaus.
  • Stops: Absoluter Stop-Loss und Take-Profit in Punkten.
  • Filter:
    • Indikator- und Preisverschiebungen über CommonShift ermöglichen die Signalgenerierung aus vergangenen Balken.
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>
/// Strategy that combines Weighted Moving Average, CCI and Stochastic oscillator.
/// </summary>
public class KlossStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciLevel;
	private readonly StrategyParam<decimal> _stochLevel;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private int _previousSignal;
	private int _cooldownRemaining;

	/// <summary>Moving Average period.</summary>
	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	/// <summary>CCI calculation period.</summary>
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	/// <summary>CCI level for signals.</summary>
	public decimal CciLevel { get => _cciLevel.Value; set => _cciLevel.Value = value; }
	/// <summary>Stochastic level offset from 50.</summary>
	public decimal StochLevel { get => _stochLevel.Value; set => _stochLevel.Value = value; }
	/// <summary>Stop loss in price steps.</summary>
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	/// <summary>Take profit in price steps.</summary>
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	/// <summary>Candle type used for calculations.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	/// <summary>Completed candles to wait after a position change.</summary>
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	/// <summary>
	/// Initialize <see cref="KlossStrategy"/>.
	/// </summary>
	public KlossStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Length of weighted MA", "Indicators")
			.SetOptimize(5, 50, 5);

		_cciPeriod = Param(nameof(CciPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Length of CCI", "Indicators")
			.SetOptimize(5, 30, 5);

		_cciLevel = Param(nameof(CciLevel), 50m)
			.SetGreaterThanZero()
			.SetDisplay("CCI Level", "Distance from zero to trigger signal", "Indicators")
			.SetOptimize(50m, 200m, 10m);

		_stochLevel = Param(nameof(StochLevel), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Level", "Distance from 50 to trigger", "Indicators")
			.SetOptimize(5m, 40m, 5m);

		_stopLoss = Param(nameof(StopLoss), 550m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop loss in price steps", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 550m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit in price steps", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles for calculations", "General");

		_cooldownBars = Param(nameof(CooldownBars), 3)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousSignal = 0;
		_cooldownRemaining = 0;
	}

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

		var ma = new WeightedMovingAverage { Length = MaPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var stoch = new StochasticOscillator();
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(ma, cci, stoch, ProcessCandle).Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue maValue, IIndicatorValue cciValue, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished || !maValue.IsFinal || !cciValue.IsFinal || !stochValue.IsFinal)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var ma = maValue.ToDecimal();
		var cci = cciValue.ToDecimal();
		var stoch = (StochasticOscillatorValue)stochValue;
		if (stoch.K is not decimal stochK || stoch.D is not decimal stochD)
			return;

		var price = candle.ClosePrice;
		var buySignal = cci < -CciLevel && stochK < 50m - StochLevel && stochD < 50m - StochLevel && price > ma;
		var sellSignal = cci > CciLevel && stochK > 50m + StochLevel && stochD > 50m + StochLevel && price < ma;
		var currentSignal = buySignal ? 1 : sellSignal ? -1 : 0;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (currentSignal > 0 && _previousSignal <= 0)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (currentSignal < 0 && _previousSignal >= 0)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}

		if (currentSignal != 0)
			_previousSignal = currentSignal;
	}
}