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Zufälliger Trailing-Stop-Strategie

Die Zufälliger Trailing-Stop-Strategie eröffnet zufällige Trades mit einem durch einen einfachen gleitenden Durchschnitt bestimmten Bias und verwaltet diese mit einem Trailing Stop.

Details

  • Einstiegskriterien: zufällige Richtung mit SMA-Bias
  • Long/Short: Beide
  • Ausstiegskriterien: Trailing Stop
  • Stops: Ja
  • Standardwerte:
    • MinStopLevel = 0.00036
    • TrailingStep = 0.00001
    • SleepMinutes = 5
    • SmaPeriod = 100
    • Volume = 0.1
  • Filter:
    • Kategorie: Experimentell
    • Richtung: Beide
    • Indikatoren: SMA
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: 1m
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Hoch
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>
/// Random entry strategy with trailing stop management.
/// Biases trade direction using SMA trend filter.
/// </summary>
public class RandomTrailingStopStrategy : Strategy
{
	private readonly StrategyParam<decimal> _minStopLevel;
	private readonly StrategyParam<decimal> _trailingStep;
	private readonly StrategyParam<int> _sleepBars;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<int> _randomSeed;
	private readonly StrategyParam<DataType> _candleType;

	private int _barsSinceLastTrade;
	private decimal? _stopPrice;
	private Random _random;

	public decimal MinStopLevel { get => _minStopLevel.Value; set => _minStopLevel.Value = value; }
	public decimal TrailingStep { get => _trailingStep.Value; set => _trailingStep.Value = value; }
	public int SleepBars { get => _sleepBars.Value; set => _sleepBars.Value = value; }
	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }
	public int RandomSeed { get => _randomSeed.Value; set => _randomSeed.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RandomTrailingStopStrategy()
	{
		_minStopLevel = Param(nameof(MinStopLevel), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Min Stop %", "Minimal stop distance percent", "Trading");

		_trailingStep = Param(nameof(TrailingStep), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Step %", "Trailing stop adjustment step percent", "Trading");

		_sleepBars = Param(nameof(SleepBars), 20)
			.SetGreaterThanZero()
			.SetDisplay("Sleep Bars", "Pause before next trade in bars", "General");

		_smaPeriod = Param(nameof(SmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Simple moving average period", "Indicators");

		_randomSeed = Param(nameof(RandomSeed), 42)
			.SetDisplay("Random Seed", "Seed for reproducible entry directions", "General");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_barsSinceLastTrade = 0;
		_stopPrice = null;
		_random = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_random = new Random(RandomSeed);

		var sma = new SimpleMovingAverage { Length = SmaPeriod };
		var subscription = SubscribeCandles(CandleType);

		subscription.Bind(sma, ProcessCandle).Start();

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

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

		_barsSinceLastTrade++;

		if (Position == 0)
		{
			if (_barsSinceLastTrade < SleepBars)
				return;

			_stopPrice = null;

			var side = GetRandomSide(candle, smaValue);

			if (side == Sides.Buy)
				BuyMarket();
			else
				SellMarket();

			_barsSinceLastTrade = 0;
			return;
		}

		var stopDist = candle.ClosePrice * MinStopLevel / 100m;
		var trailDist = candle.ClosePrice * TrailingStep / 100m;

		if (_stopPrice == null)
		{
			if (Position > 0)
				_stopPrice = candle.ClosePrice - stopDist;
			else
				_stopPrice = candle.ClosePrice + stopDist;

			return;
		}

		var isLong = Position > 0;
		var (stopHit, nextStop) = EvaluateTrailingStop(
			isLong,
			_stopPrice.Value,
			candle.ClosePrice,
			candle.LowPrice,
			candle.HighPrice,
			stopDist,
			trailDist);

		if (stopHit)
		{
			if (isLong)
				SellMarket();
			else
				BuyMarket();

			_barsSinceLastTrade = 0;
			return;
		}

		_stopPrice = nextStop;
	}

	internal static (bool stopHit, decimal nextStop) EvaluateTrailingStop(
		bool isLong,
		decimal currentStop,
		decimal closePrice,
		decimal lowPrice,
		decimal highPrice,
		decimal stopDistance,
		decimal trailingDistance)
	{
		// A level derived from this candle becomes active on the next candle.
		if (isLong ? lowPrice <= currentStop : highPrice >= currentStop)
			return (true, currentStop);

		var candidate = isLong ? closePrice - stopDistance : closePrice + stopDistance;
		var improvement = isLong ? candidate - currentStop : currentStop - candidate;

		return (false, improvement >= trailingDistance ? candidate : currentStop);
	}

	private Sides GetRandomSide(ICandleMessage candle, decimal smaValue)
	{
		_random ??= new Random(RandomSeed);
		var rnd = _random.Next(5);
		if (candle.ClosePrice > smaValue)
			return rnd == 0 ? Sides.Sell : Sides.Buy;
		else
			return rnd == 1 ? Sides.Buy : Sides.Sell;
	}
}