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NRatio Sign Strategy

This strategy employs the NRatio indicator, an NRTR-based oscillator that measures the normalized distance between price and a dynamic trailing level. Trading signals occur when the NRatio crosses predefined thresholds. Depending on the selected mode, the system either reacts to breakouts beyond the upper and lower bounds or to reversals back inside them.

The approach can operate on both sides of the market and uses percentage-based risk management for exits. Smoothing of the distance metric is performed with an exponential moving average, allowing the strategy to respond quickly while filtering noise.

Details

  • Entry Criteria:
    • Mode In:
      • Long: NRatio crosses above UpLevel.
      • Short: NRatio crosses below DownLevel.
    • Mode Out:
      • Long: NRatio crosses above DownLevel.
      • Short: NRatio crosses below UpLevel.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal or protective stop.
  • Stops: Yes, take-profit and stop-loss in percent.
  • Default Values:
    • CandleType = 4-hour candles
    • Kf = 1
    • Length = 3
    • Fast = 2
    • Sharp = 2
    • UpLevel = 80
    • DownLevel = 20
    • TakeProfitPercent = 2
    • StopLossPercent = 2
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: NRTR, EMA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Medium-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// NRatio Sign strategy based on NRTR oscillator.
/// Generates buy or sell signals when the normalized ratio crosses thresholds.
/// </summary>
public class NRatioSignStrategy : Strategy
{
	// strategy parameters
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _kf;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _fast;
	private readonly StrategyParam<decimal> _sharp;
	private readonly StrategyParam<decimal> _upLevel;
	private readonly StrategyParam<decimal> _downLevel;
	private readonly StrategyParam<StrategyModes> _mode;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;

	// internal state variables
	private decimal _nrtr;
	private decimal _nratioPrev;
	private int _trend;
	private bool _isInitialized;
	private ExponentialMovingAverage _ema = new();

	/// <summary>
	/// NRatio calculation mode.
	/// </summary>
	public enum StrategyModes
	{
		ModeIn,
		ModeOut,
	}

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

	/// <summary>
	/// NRTR coefficient.
	/// </summary>
	public decimal Kf
	{
		get => _kf.Value;
		set => _kf.Value = value;
	}

	/// <summary>
	/// Smoothing length for EMA.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Fast parameter affecting NRTR dynamics.
	/// </summary>
	public decimal Fast
	{
		get => _fast.Value;
		set => _fast.Value = value;
	}

	/// <summary>
	/// Exponent applied to the oscillator.
	/// </summary>
	public decimal Sharp
	{
		get => _sharp.Value;
		set => _sharp.Value = value;
	}

	/// <summary>
	/// Upper threshold of NRatio.
	/// </summary>
	public decimal UpLevel
	{
		get => _upLevel.Value;
		set => _upLevel.Value = value;
	}

	/// <summary>
	/// Lower threshold of NRatio.
	/// </summary>
	public decimal DownLevel
	{
		get => _downLevel.Value;
		set => _downLevel.Value = value;
	}

	/// <summary>
	/// Signal generation mode.
	/// </summary>
	public StrategyModes Mode
	{
		get => _mode.Value;
		set => _mode.Value = value;
	}

	/// <summary>
	/// Take profit percentage.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="NRatioSignStrategy"/>.
	/// </summary>
	public NRatioSignStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Time frame for indicator calculation", "General");

		_kf = Param(nameof(Kf), 1m)
		.SetDisplay("Kf", "NRTR coefficient", "Indicator");

		_length = Param(nameof(Length), 3)
		.SetGreaterThanZero()
		.SetDisplay("Length", "EMA smoothing length", "Indicator");

		_fast = Param(nameof(Fast), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Fast", "Fast parameter", "Indicator");

		_sharp = Param(nameof(Sharp), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Sharp", "Exponent for oscillator", "Indicator");

		_upLevel = Param(nameof(UpLevel), 80m)
		.SetDisplay("Up Level", "Upper NRatio threshold", "Indicator");

		_downLevel = Param(nameof(DownLevel), 20m)
		.SetDisplay("Down Level", "Lower NRatio threshold", "Indicator");

		_mode = Param(nameof(Mode), StrategyModes.ModeIn)
		.SetDisplay("Mode", "Signal generation mode", "Indicator");

		_takeProfit = Param(nameof(TakeProfitPercent), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Take Profit %", "Take profit percentage", "Risk Management")
		
		.SetOptimize(1m, 5m, 1m);

		_stopLoss = Param(nameof(StopLossPercent), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management")
		
		.SetOptimize(1m, 5m, 1m);
	}

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

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

	_isInitialized = false;
	_nrtr = 0m;
	_nratioPrev = 50m;
	_trend = 1;
	_ema.Length = Length;
	_ema.Reset();
	}

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

	_ema.Length = Length;
	_ema.Reset();

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

	StartProtection(
	takeProfit: new Unit(TakeProfitPercent, UnitTypes.Percent),
	stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
	);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
	// Process only completed candles
	if (candle.State != CandleStates.Finished)
	return;

	if (!IsOnline)
	return;

	var price = candle.ClosePrice;

	if (!_isInitialized)
	{
	_trend = candle.ClosePrice >= candle.OpenPrice ? 1 : -1;
	_nrtr = _trend > 0 ? price * (1m - Kf / 100m) : price * (1m + Kf / 100m);
	_nratioPrev = 50m;
	_isInitialized = true;
	return;
	}

	var nrtr0 = _nrtr;
	var trend0 = _trend;

	if (_trend >= 0)
	{
	if (price < _nrtr)
	{
	trend0 = -1;
	nrtr0 = price * (1m + Kf / 100m);
	}
	else
	{
	trend0 = 1;
	var lPrice = price * (1m - Kf / 100m);
	nrtr0 = Math.Max(lPrice, _nrtr);
	}
	}
	else
	{
	if (price > _nrtr)
	{
	trend0 = 1;
	nrtr0 = price * (1m - Kf / 100m);
	}
	else
	{
	trend0 = -1;
	var hPrice = price * (1m + Kf / 100m);
	nrtr0 = Math.Min(hPrice, _nrtr);
	}
	}

	var oscil = (100m * Math.Abs(price - nrtr0) / price) / Kf;
	var xOscilValue = _ema.Process(new DecimalIndicatorValue(_ema, oscil, candle.OpenTime) { IsFinal = true });
	var xOscil = xOscilValue.IsEmpty ? oscil : xOscilValue.ToDecimal();

	if (!_ema.IsFormed)
	{
	_nrtr = nrtr0;
	_trend = trend0;
	return;
	}

	var nratio = 100m * (decimal)Math.Pow((double)xOscil, (double)Sharp);

	var buySignal = false;
	var sellSignal = false;

	if (Mode == StrategyModes.ModeIn)
	{
	if (nratio > UpLevel && _nratioPrev <= UpLevel)
	buySignal = true;
	if (nratio < DownLevel && _nratioPrev >= DownLevel)
	sellSignal = true;
	}
	else
	{
	if (nratio < UpLevel && _nratioPrev >= UpLevel)
	sellSignal = true;
	if (nratio > DownLevel && _nratioPrev <= DownLevel)
	buySignal = true;
	}

	_nrtr = nrtr0;
	_trend = trend0;
	_nratioPrev = nratio;

	if (buySignal && Position <= 0)
	BuyMarket(Volume + Math.Abs(Position));
	else if (sellSignal && Position >= 0)
	SellMarket(Volume + Math.Abs(Position));
	}
}