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Prognose-Oszillator-Strategie

Die Strategie adaptiert den klassischen Forecast-Oszillator-Indikator für StockSharp. Sie kombiniert eine lineare Regressionsbasis mit Tillson-T3-Glättung, um Trendumkehrungen hervorzuheben. Ein Kaufsignal erscheint, wenn der Oszillator seine geglättete Linie von unten kreuzt, während die geglättete Linie unter null verbleibt. Ein Verkaufssignal wird bei den entgegengesetzten Bedingungen erzeugt.

Der Algorithmus folgt der ursprünglichen MQL-Implementierung und unterstützt das separate Aktivieren oder Deaktivieren der Positionseröffnung und -schließung.

Details

  • Einstiegskriterien:
    • Long: Oszillator kreuzt T3 von unten und T3 ist negativ.
    • Short: Oszillator kreuzt T3 von oben und T3 ist positiv.
  • Long/Short: Beide Richtungen werden unterstützt.
  • Ausstiegskriterien:
    • Entgegengesetzte Signale, wenn die entsprechenden Schließungsoptionen aktiviert sind.
  • Stops: Keine.
  • Filter: Keine.
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 Forecast Oscillator indicator.
/// Uses linear regression forecast with T3 smoothing for signal generation.
/// </summary>
public class ForecastOscillatorStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<int> _t3Period;
	private readonly StrategyParam<decimal> _bFactor;
	private readonly StrategyParam<DataType> _candleType;

	private LinearRegression _linReg;

	private decimal _b2, _b3, _c1, _c2, _c3, _c4, _w1, _w2;
	private decimal _e1, _e2, _e3, _e4, _e5, _e6;
	private decimal? _forecastPrev1, _forecastPrev2;
	private decimal? _sigPrev1, _sigPrev2, _sigPrev3;

	public int Length { get => _length.Value; set => _length.Value = value; }
	public int T3Period { get => _t3Period.Value; set => _t3Period.Value = value; }
	public decimal BFactor { get => _bFactor.Value; set => _bFactor.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ForecastOscillatorStrategy()
	{
		_length = Param(nameof(Length), 15)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Regression length", "Indicators");

		_t3Period = Param(nameof(T3Period), 3)
			.SetGreaterThanZero()
			.SetDisplay("T3 Period", "T3 smoothing period", "Indicators");

		_bFactor = Param(nameof(BFactor), 0.7m)
			.SetDisplay("T3 Factor", "T3 smoothing factor", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();
		_b2 = default; _b3 = default; _c1 = default; _c2 = default; _c3 = default; _c4 = default;
		_w1 = default; _w2 = default;
		_e1 = default; _e2 = default; _e3 = default; _e4 = default; _e5 = default; _e6 = default;
		_forecastPrev1 = default; _forecastPrev2 = default;
		_sigPrev1 = default; _sigPrev2 = default; _sigPrev3 = default;
	}

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

		var linReg = new LinearRegression { Length = Length };
		_linReg = linReg;

		// Pre-calculate T3 constants
		var b = BFactor;
		_b2 = b * b;
		_b3 = _b2 * b;
		_c1 = -_b3;
		_c2 = 3m * (_b2 + _b3);
		_c3 = -3m * (2m * _b2 + b + _b3);
		_c4 = 1m + 3m * b + _b3 + 3m * _b2;

		var n = 1m + 0.5m * ((decimal)T3Period - 1m);
		_w1 = 2m / (n + 1m);
		_w2 = 1m - _w1;

		_e1 = _e2 = _e3 = _e4 = _e5 = _e6 = 0;
		_forecastPrev1 = _forecastPrev2 = null;
		_sigPrev1 = _sigPrev2 = _sigPrev3 = null;

		Indicators.Add(linReg);

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

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

		var price = candle.ClosePrice;
		var lrResult = _linReg.Process(price, candle.OpenTime, true);
		if (!lrResult.IsFormed)
			return;

		var lrValue = (LinearRegressionValue)lrResult;
		if (lrValue.LinearReg is not decimal regValue || regValue == 0)
			return;

		var forecast = (price - regValue) / regValue * 100m;

		// T3 smoothing
		_e1 = _w1 * forecast + _w2 * _e1;
		_e2 = _w1 * _e1 + _w2 * _e2;
		_e3 = _w1 * _e2 + _w2 * _e3;
		_e4 = _w1 * _e3 + _w2 * _e4;
		_e5 = _w1 * _e4 + _w2 * _e5;
		_e6 = _w1 * _e5 + _w2 * _e6;
		var t3 = _c1 * _e6 + _c2 * _e5 + _c3 * _e4 + _c4 * _e3;

		// Cross detection: forecast crosses signal line
		if (_forecastPrev1 != null && _forecastPrev2 != null && _sigPrev1 != null && _sigPrev2 != null && _sigPrev3 != null)
		{
			var buySignal = _forecastPrev1 > _sigPrev2 && _forecastPrev2 <= _sigPrev3 && _sigPrev1 < 0;
			var sellSignal = _forecastPrev1 < _sigPrev2 && _forecastPrev2 >= _sigPrev3 && _sigPrev1 > 0;

			if (buySignal && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			else if (sellSignal && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		// Shift previous values
		_forecastPrev2 = _forecastPrev1;
		_forecastPrev1 = forecast;
		_sigPrev3 = _sigPrev2;
		_sigPrev2 = _sigPrev1;
		_sigPrev1 = t3;
	}
}