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Color Schaff DeMarker Trend Cycle Strategy

The Color Schaff DeMarker Trend Cycle Strategy uses a custom oscillator derived from fast and slow DeMarker values. The indicator applies two stochastic steps to create a cycle value that oscillates between -100 and +100. Colors are assigned based on the level and slope of the oscillator, which are then used to generate trading signals.

The strategy enters long positions when the oscillator exits the upper zone and leaves short positions. It opens short positions when the oscillator leaves the lower zone and exits long positions. The idea is to react to momentum changes at extreme levels.

Details

  • Entry Criteria:
    • Long: Previous color > 5 and current color < 6.
    • Short: Previous color < 2 and current color > 1.
  • Long/Short: Both.
  • Exit Criteria:
    • Long: Color < 2 when a long position is open.
    • Short: Color > 5 when a short position is open.
  • Stops: No explicit stop-loss or take-profit.
  • Default Values:
    • FastDeMarker = 23
    • SlowDeMarker = 50
    • Cycle = 10
    • HighLevel = 60
    • LowLevel = -60
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: DeMarker, Highest, Lowest
    • Stops: No
    • Complexity: Medium
    • Timeframe: 4H
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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 Color Schaff DeMarker Trend Cycle oscillator.
/// Uses fast/slow DeMarker difference with double stochastic smoothing.
/// </summary>
public class ColorSchaffDeMarkerTrendCycleStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _cycle;
	private readonly StrategyParam<decimal> _highLevel;
	private readonly StrategyParam<decimal> _lowLevel;
	private readonly StrategyParam<decimal> _factor;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevSt;
	private decimal _prevStc;
	private bool _st1Pass;
	private bool _st2Pass;
	private int _prevColor;
	private readonly List<decimal> _macdBuf = new();
	private readonly List<decimal> _stBuf = new();

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int Cycle { get => _cycle.Value; set => _cycle.Value = value; }
	public decimal HighLevel { get => _highLevel.Value; set => _highLevel.Value = value; }
	public decimal LowLevel { get => _lowLevel.Value; set => _lowLevel.Value = value; }
	public decimal Factor { get => _factor.Value; set => _factor.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorSchaffDeMarkerTrendCycleStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 23)
			.SetGreaterThanZero()
			.SetDisplay("Fast DeMarker", "Fast DeMarker period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow DeMarker", "Slow DeMarker period", "Indicator");

		_cycle = Param(nameof(Cycle), 10)
			.SetGreaterThanZero()
			.SetDisplay("Cycle", "Cycle length", "Indicator");

		_highLevel = Param(nameof(HighLevel), 60m)
			.SetDisplay("High Level", "Upper threshold", "Levels");

		_lowLevel = Param(nameof(LowLevel), -60m)
			.SetDisplay("Low Level", "Lower threshold", "Levels");

		_factor = Param(nameof(Factor), 0.5m)
			.SetDisplay("Factor", "Smoothing factor", "Indicator");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_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();
		_prevSt = 0; _prevStc = 0;
		_st1Pass = false; _st2Pass = false;
		_prevColor = 0;
		_macdBuf.Clear();
		_stBuf.Clear();
	}

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

		var fast = new DeMarker { Length = FastPeriod };
		var slow = new DeMarker { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, (candle, fastVal, slowVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				var macd = fastVal - slowVal;

				// Track high/low of macd manually
				_macdBuf.Add(macd);
				if (_macdBuf.Count > Cycle) _macdBuf.RemoveAt(0);
				if (_macdBuf.Count < Cycle) return;

				var macdHigh = decimal.MinValue;
				var macdLow = decimal.MaxValue;
				foreach (var v in _macdBuf)
				{
					if (v > macdHigh) macdHigh = v;
					if (v < macdLow) macdLow = v;
				}

				decimal st;
				if (macdHigh == macdLow) st = _prevSt;
				else st = (macd - macdLow) / (macdHigh - macdLow) * 100m;

				if (_st1Pass) st = Factor * (st - _prevSt) + _prevSt;
				_prevSt = st;
				_st1Pass = true;

				_stBuf.Add(st);
				if (_stBuf.Count > Cycle) _stBuf.RemoveAt(0);
				if (_stBuf.Count < Cycle) return;

				var stHigh = decimal.MinValue;
				var stLow = decimal.MaxValue;
				foreach (var v in _stBuf)
				{
					if (v > stHigh) stHigh = v;
					if (v < stLow) stLow = v;
				}

				decimal stc;
				if (stHigh == stLow) stc = _prevStc;
				else stc = (st - stLow) / (stHigh - stLow) * 200m - 100m;

				if (_st2Pass) stc = Factor * (stc - _prevStc) + _prevStc;
				var dStc = stc - _prevStc;
				_prevStc = stc;
				_st2Pass = true;

				int color;
				if (stc > 0) color = stc > HighLevel ? (dStc >= 0 ? 7 : 6) : (dStc >= 0 ? 5 : 4);
				else color = stc < LowLevel ? (dStc < 0 ? 0 : 1) : (dStc < 0 ? 2 : 3);

				if (_prevColor > 5 && color < 6 && Position <= 0)
				{
					if (Position < 0) BuyMarket();
					BuyMarket();
				}
				else if (_prevColor < 2 && color > 1 && Position >= 0)
				{
					if (Position > 0) SellMarket();
					SellMarket();
				}

				_prevColor = color;
			})
			.Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			useMarketOrders: true);

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