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Color Stochastic NR-Strategie

Diese Strategie handelt mit einem Stochastic-Oszillator in mehreren wählbaren Modi. Jeder Modus definiert, wie die %K- und %D-Linien zur Erzeugung von Kauf- und Verkaufssignalen interpretiert werden.

Modi:

  • Breakdown – Long, wenn %K das Niveau 50 von unten kreuzt; Short, wenn es darunter fällt.
  • OscTwist – reagiert auf Richtungsänderungen von %K.
  • SignalTwist – reagiert auf Richtungsänderungen von %D.
  • OscDisposition – Long, wenn %K %D von unten kreuzt; Short, wenn es %D von oben kreuzt.
  • SignalBreakdown – handelt, wenn %D das Niveau 50 kreuzt.

Entgegengesetzte Signale schließen bestehende Positionen und eröffnen neue in der entgegengesetzten Richtung. Die Risikosteuerung erfolgt über feste prozentuale Stop-Loss- und Take-Profit-Niveaus.

Details

  • Einstiegskriterien:
    • Long: Abhängig vom gewählten Modus, siehe oben.
    • Short: Abhängig vom gewählten Modus, siehe oben.
  • Long/Short: Beide.
  • Ausstiegskriterien: Entgegengesetztes Signal oder Stop-Schutz.
  • Stops: Ja, StopLossPercent und TakeProfitPercent.
  • Standardwerte:
    • KPeriod = 5
    • DPeriod = 3
    • Mode = OscDisposition
    • StopLossPercent = 2
    • TakeProfitPercent = 2
    • CandleType = 4 hour
  • Filter:
    • Kategorie: Oszillator
    • Richtung: Beide
    • Indikatoren: Stochastic
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: 4H
    • 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>
/// Strategy based on the stochastic oscillator with multiple signal modes.
/// </summary>
public class ColorStochNrStrategy : Strategy
{
	public enum AlgModes
	{
		Breakdown,
		OscTwist,
		SignalTwist,
		OscDisposition,
		SignalBreakdown
	}

	private readonly StrategyParam<AlgModes> _mode;
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevK;
	private decimal _prevD;
	private decimal _prevKDelta;
	private decimal _prevDDelta;

	public AlgModes Mode
	{
		get => _mode.Value;
		set => _mode.Value = value;
	}

	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public ColorStochNrStrategy()
	{
		_mode = Param(nameof(Mode), AlgModes.OscDisposition)
			.SetDisplay("Algorithm Mode", "Trading algorithm to use", "Parameters");

		_kPeriod = Param(nameof(KPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("K Period", "Length for %K line", "Stochastic")
			
			.SetOptimize(5, 20, 1);

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("D Period", "Length for %D line", "Stochastic")
			
			.SetOptimize(3, 10, 1);

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

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

		_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()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevK = 0m;
		_prevD = 0m;
		_prevKDelta = 0m;
		_prevDDelta = 0m;
	}

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

		var stochastic = new StochasticOscillator
		{
			K = { Length = KPeriod },
			D = { Length = DPeriod },
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(stochastic, ProcessCandle)
			.Start();

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

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue stochValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		var stoch = (IStochasticOscillatorValue)stochValue;
		if (stoch.K is not decimal k || stoch.D is not decimal d)
			return;

		var deltaK = k - _prevK;
		var deltaD = d - _prevD;

		var buy = false;
		var sell = false;

		switch (Mode)
		{
			case AlgModes.Breakdown:
				if (_prevK <= 50m && k > 50m)
					buy = true;
				else if (_prevK >= 50m && k < 50m)
					sell = true;
				break;
			case AlgModes.OscTwist:
				if (_prevKDelta <= 0m && deltaK > 0m)
					buy = true;
				else if (_prevKDelta >= 0m && deltaK < 0m)
					sell = true;
				break;
			case AlgModes.SignalTwist:
				if (_prevDDelta <= 0m && deltaD > 0m)
					buy = true;
				else if (_prevDDelta >= 0m && deltaD < 0m)
					sell = true;
				break;
			case AlgModes.OscDisposition:
				if (_prevK <= _prevD && k > d)
					buy = true;
				else if (_prevK >= _prevD && k < d)
					sell = true;
				break;
			case AlgModes.SignalBreakdown:
				if (_prevD <= 50m && d > 50m)
					buy = true;
				else if (_prevD >= 50m && d < 50m)
					sell = true;
				break;
		}

		if (buy && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (sell && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevKDelta = deltaK;
		_prevDDelta = deltaD;
		_prevK = k;
		_prevD = d;
	}
}