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Syndicate-Trader-Strategie

Diese Strategie ist eine StockSharp-Übersetzung des originalen MetaTrader-Skripts Syndicate_Trader_v_1_04.mq4 aus dem Ordner MQL/12351.

Sie handelt auf der Grundlage einer Kreuzung zwischen schnellen und langsamen exponentiellen gleitenden Durchschnitten mit einer Volumspitzen-Bestätigung. Optionale Sitzungsfilter beschränken den Handel auf bestimmte Stunden. Einfache Take-Profit- und Stop-Loss-Niveaus steuern das Risiko.

Details

  • Einstiegskriterien:
    • Long: Schnelle EMA kreuzt über langsame EMA und das Volumen überschreitet den gleitenden Volumsdurchschnitt multipliziert mit einem konfigurierbaren Faktor.
    • Short: Schnelle EMA kreuzt unter langsame EMA mit derselben Volumsbestätigung.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien:
    • Entgegengesetzte Kreuzung.
    • Stop-Loss oder Take-Profit erreicht.
    • Außerhalb des erlaubten Sitzungsfensters.
  • Stops: Fester Stop-Loss und Take-Profit in Preispunkten.
  • Filter:
    • Volumsspitzen-Filter.
    • Optionaler Sitzungszeit-Filter.

Parameter

Name Beschreibung
FastEmaLength Periode der schnellen EMA.
SlowEmaLength Periode der langsamen EMA.
VolumeMaLength Periode für die Volumsmittelung.
VolumeMultiplier Multiplikator, der auf das durchschnittliche Volumen angewendet wird, um eine Spitze zu definieren.
TakeProfitPoints Take-Profit in Preispunkten.
StopLossPoints Stop-Loss in Preispunkten.
UseSessionFilter Sitzungsfilter aktivieren oder deaktivieren.
SessionStartHour/SessionStartMinute Startzeit der Handelssitzung.
SessionEndHour/SessionEndMinute Endzeit der Handelssitzung.
CandleType Kerzentyp und Zeitrahmen. 
using System;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EMA crossover strategy with volume spike confirmation.
/// </summary>
public class SyndicateTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _volumeMaLength;
	private readonly StrategyParam<decimal> _volumeMultiplier;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<bool> _useSessionFilter;
	private readonly StrategyParam<int> _sessionStartHour;
	private readonly StrategyParam<int> _sessionStartMinute;
	private readonly StrategyParam<int> _sessionEndHour;
	private readonly StrategyParam<int> _sessionEndMinute;
	private readonly StrategyParam<DataType> _candleType;

	private readonly ExponentialMovingAverage _fastEma = new();
	private readonly ExponentialMovingAverage _slowEma = new();
	private readonly SimpleMovingAverage _volumeMa = new();
	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _isInitialized;
	private int _barsSinceTrade;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	/// <summary>
	/// Volume moving average length.
	/// </summary>
	public int VolumeMaLength
	{
		get => _volumeMaLength.Value;
		set => _volumeMaLength.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the volume average.
	/// </summary>
	public decimal VolumeMultiplier
	{
		get => _volumeMultiplier.Value;
		set => _volumeMultiplier.Value = value;
	}

	/// <summary>
	/// Take profit in price points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Stop loss in price points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Bars to wait after a completed trade.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Enable session filtering.
	/// </summary>
	public bool UseSessionFilter
	{
		get => _useSessionFilter.Value;
		set => _useSessionFilter.Value = value;
	}

	/// <summary>
	/// Session start hour.
	/// </summary>
	public int SessionStartHour
	{
		get => _sessionStartHour.Value;
		set => _sessionStartHour.Value = value;
	}

	/// <summary>
	/// Session start minute.
	/// </summary>
	public int SessionStartMinute
	{
		get => _sessionStartMinute.Value;
		set => _sessionStartMinute.Value = value;
	}

	/// <summary>
	/// Session end hour.
	/// </summary>
	public int SessionEndHour
	{
		get => _sessionEndHour.Value;
		set => _sessionEndHour.Value = value;
	}

	/// <summary>
	/// Session end minute.
	/// </summary>
	public int SessionEndMinute
	{
		get => _sessionEndMinute.Value;
		set => _sessionEndMinute.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public SyndicateTraderStrategy()
	{
		_fastEmaLength = Param(nameof(FastEmaLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA length", "General");

		_slowEmaLength = Param(nameof(SlowEmaLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA length", "General");

		_volumeMaLength = Param(nameof(VolumeMaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume MA", "Volume MA length", "General");

		_volumeMultiplier = Param(nameof(VolumeMultiplier), 1.8m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Mult", "Volume spike multiplier", "General");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 1200m)
			.SetDisplay("Take Profit", "Take profit in price points", "Risk");

		_stopLossPoints = Param(nameof(StopLossPoints), 700m)
			.SetDisplay("Stop Loss", "Stop loss in price points", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 2)
			.SetDisplay("Cooldown Bars", "Bars to wait after a completed trade", "Risk");

		_useSessionFilter = Param(nameof(UseSessionFilter), false)
			.SetDisplay("Use Session", "Enable session filter", "Session");

		_sessionStartHour = Param(nameof(SessionStartHour), 0)
			.SetDisplay("Start Hour", "Session start hour", "Session");

		_sessionStartMinute = Param(nameof(SessionStartMinute), 0)
			.SetDisplay("Start Minute", "Session start minute", "Session");

		_sessionEndHour = Param(nameof(SessionEndHour), 23)
			.SetDisplay("End Hour", "Session end hour", "Session");

		_sessionEndMinute = Param(nameof(SessionEndMinute), 59)
			.SetDisplay("End Minute", "Session end minute", "Session");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_fastEma.Length = FastEmaLength;
		_slowEma.Length = SlowEmaLength;
		_volumeMa.Length = VolumeMaLength;
		_fastEma.Reset();
		_slowEma.Reset();
		_volumeMa.Reset();
		_prevFast = 0m;
		_prevSlow = 0m;
		_isInitialized = false;
		_barsSinceTrade = CooldownBars;
	}

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

		_fastEma.Length = FastEmaLength;
		_slowEma.Length = SlowEmaLength;
		_volumeMa.Length = VolumeMaLength;

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

		StartProtection(
			takeProfit: new Unit(TakeProfitPoints, UnitTypes.Absolute),
			stopLoss: new Unit(StopLossPoints, UnitTypes.Absolute));

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (UseSessionFilter)
		{
			var time = candle.OpenTime.TimeOfDay;
			var start = new TimeSpan(SessionStartHour, SessionStartMinute, 0);
			var end = new TimeSpan(SessionEndHour, SessionEndMinute, 0);

			if (time < start || time > end)
				return;
		}

		var fast = _fastEma.Process(new DecimalIndicatorValue(_fastEma, candle.ClosePrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var slow = _slowEma.Process(new DecimalIndicatorValue(_slowEma, candle.ClosePrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var volumeAvg = _volumeMa.Process(new DecimalIndicatorValue(_volumeMa, candle.TotalVolume, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!_fastEma.IsFormed || !_slowEma.IsFormed || !_volumeMa.IsFormed)
			return;

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;

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

		var crossUp = fast > slow && _prevFast <= _prevSlow;
		var crossDown = fast < slow && _prevFast >= _prevSlow;
		var hasVolumeSpike = candle.TotalVolume >= volumeAvg * VolumeMultiplier;

		if (_barsSinceTrade >= CooldownBars && hasVolumeSpike)
		{
			if (crossUp && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
			else if (crossDown && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}