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DiNapoli Stochastic Strategy

This strategy implements a trading system based on the DiNapoli Stochastic oscillator. It reacts to the crossovers between the %K and %D lines of the stochastic indicator.

Strategy Logic

  1. Subscribe to candles of the selected timeframe.
  2. Calculate the DiNapoli Stochastic values using the standard Stochastic oscillator with smoothing periods.
  3. Close short positions whenever the previous %K was above %D.
  4. Close long positions whenever the previous %K was below %D.
  5. Open a long position when %K crosses below %D and long trades are allowed.
  6. Open a short position when %K crosses above %D and short trades are allowed.

Parameters

  • FastK – base period for %K.
  • SlowK – smoothing period for %K.
  • SlowD – smoothing period for %D.
  • BuyOpen – enable or disable long entries.
  • SellOpen – enable or disable short entries.
  • BuyClose – enable or disable closing long positions.
  • SellClose – enable or disable closing short positions.
  • CandleType – candle timeframe used for calculations.

Notes

The strategy uses the high-level StockSharp API and processes only finished candles. Indicator values are obtained through BindEx without using historical value requests.

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>
/// DiNapoli Stochastic cross strategy.
/// Opens a long position when the %K line crosses above %D and
/// a short position when %K crosses below %D.
/// </summary>
public class DiNapoliStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _fastK;
	private readonly StrategyParam<int> _slowD;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevK;
	private decimal _prevD;
	private bool _prevReady;

	public int FastK { get => _fastK.Value; set => _fastK.Value = value; }
	public int SlowD { get => _slowD.Value; set => _slowD.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public DiNapoliStochasticStrategy()
	{
		_fastK = Param(nameof(FastK), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast %K", "Base period for %K", "DiNapoli");

		_slowD = Param(nameof(SlowD), 3)
			.SetGreaterThanZero()
			.SetDisplay("Slow %D", "%D smoothing period", "DiNapoli");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(6).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for calculation", "General");
	}

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

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

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

		StartProtection(null, null);

		var stochastic = new StochasticOscillator();
		stochastic.K.Length = FastK;
		stochastic.D.Length = SlowD;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(stochastic, ProcessCandle)
			.Start();

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

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

		var stoch = (IStochasticOscillatorValue)stochValue;

		if (stoch.K is not decimal k || stoch.D is not decimal d)
			return;

		if (!_prevReady)
		{
			_prevK = k;
			_prevD = d;
			_prevReady = true;
			return;
		}

		// %K crosses above %D - buy signal
		if (_prevK <= _prevD && k > d && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// %K crosses below %D - sell signal
		else if (_prevK >= _prevD && k < d && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevK = k;
		_prevD = d;
	}
}