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MFI-Verlangsamung

Die Strategie überwacht den Money Flow Index (MFI) auf einem höheren Zeitrahmen und reagiert, wenn er extreme Zonen erreicht. Wenn SeekSlowdown aktiviert ist, wird ein Signal nur bestätigt, wenn sich der MFI-Wert zwischen zwei aufeinanderfolgenden Bars um weniger als einen Punkt ändert. Bei einem aufwärtsgerichteten Signal schließt sie Short-Positionen und eröffnet optional eine neue Long-Position; bei einem abwärtsgerichteten Signal schließt sie Long-Positionen und kann eine Short-Position eröffnen. Das Risikomanagement wird durch StartProtection gehandhabt.

Details

  • Einstiegskriterien:
    • Aufwärtssignal: MFI >= UpperThreshold und (keine Verlangsamungsprüfung oder Verlangsamung erkannt).
    • Abwärtssignal: MFI <= LowerThreshold und (keine Verlangsamungsprüfung oder Verlangsamung erkannt).
  • Long/Short: Beide, je nach Parametern.
  • Ausstiegskriterien:
    • Gegenteiliges Signal schließt die Position.
    • Stop-Loss und Take-Profit über StopLossPercent und TakeProfitPercent.
  • Stops: Ja, über StartProtection.
  • Standardwerte:
    • MfiPeriod = 2
    • UpperThreshold = 90
    • LowerThreshold = 10
    • SeekSlowdown = true
    • TakeProfitPercent = 2
    • StopLossPercent = 1
    • CandleType = 6-Stunden-Zeitrahmen
    • BuyPosOpen = BuyPosClose = SellPosOpen = SellPosClose = true
  • Filter:
    • Kategorie: Momentum
    • Richtung: Beide
    • Indikatoren: MFI
    • Stops: Ja
    • Komplexität: Niedrig
    • Zeitrahmen: Beliebig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Optional (Verlangsamungsprüfung)
    • Risikolevel: Mittel
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>
/// Money Flow Index strategy that reacts to extreme values and optional slowdown.
/// Closes opposite positions and optionally opens new ones on signals.
/// Uses StartProtection for stop-loss and take-profit.
/// </summary>
public class MfiSlowdownStrategy : Strategy
{
	private readonly StrategyParam<int> _mfiPeriod;
	private readonly StrategyParam<decimal> _upperThreshold;
	private readonly StrategyParam<decimal> _lowerThreshold;
	private readonly StrategyParam<bool> _seekSlowdown;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _sellPosClose;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevMfi;

	/// <summary>
	/// Period for MFI calculation.
	/// </summary>
	public int MfiPeriod { get => _mfiPeriod.Value; set => _mfiPeriod.Value = value; }

	/// <summary>
	/// Upper threshold for MFI.
	/// </summary>
	public decimal UpperThreshold { get => _upperThreshold.Value; set => _upperThreshold.Value = value; }

	/// <summary>
	/// Lower threshold for MFI.
	/// </summary>
	public decimal LowerThreshold { get => _lowerThreshold.Value; set => _lowerThreshold.Value = value; }

	/// <summary>
	/// Require MFI slowdown before signaling.
	/// </summary>
	public bool SeekSlowdown { get => _seekSlowdown.Value; set => _seekSlowdown.Value = value; }

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyPosOpen { get => _buyPosOpen.Value; set => _buyPosOpen.Value = value; }

	/// <summary>
	/// Allow closing long positions.
	/// </summary>
	public bool BuyPosClose { get => _buyPosClose.Value; set => _buyPosClose.Value = value; }

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellPosOpen { get => _sellPosOpen.Value; set => _sellPosOpen.Value = value; }

	/// <summary>
	/// Allow closing short positions.
	/// </summary>
	public bool SellPosClose { get => _sellPosClose.Value; set => _sellPosClose.Value = value; }

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

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

	/// <summary>
	/// Candle type used by the strategy.
	/// </summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="MfiSlowdownStrategy"/> class.
	/// </summary>
	public MfiSlowdownStrategy()
	{
		_mfiPeriod = Param(nameof(MfiPeriod), 2)
			.SetGreaterThanZero()
			.SetDisplay("MFI Period", "Period for the MFI indicator", "Indicator");
		_upperThreshold = Param(nameof(UpperThreshold), 90m)
			.SetRange(0m, 100m)
			.SetDisplay("Upper Threshold", "MFI upper level", "Signal");
		_lowerThreshold = Param(nameof(LowerThreshold), 10m)
			.SetRange(0m, 100m)
			.SetDisplay("Lower Threshold", "MFI lower level", "Signal");
		_seekSlowdown = Param(nameof(SeekSlowdown), true)
			.SetDisplay("Seek Slowdown", "Require MFI to slow down", "Signal");
		_buyPosOpen = Param(nameof(BuyPosOpen), true)
			.SetDisplay("Open Long", "Allow opening long positions", "Trading");
		_buyPosClose = Param(nameof(BuyPosClose), true)
			.SetDisplay("Close Long", "Allow closing long positions", "Trading");
		_sellPosOpen = Param(nameof(SellPosOpen), true)
			.SetDisplay("Open Short", "Allow opening short positions", "Trading");
		_sellPosClose = Param(nameof(SellPosClose), true)
			.SetDisplay("Close Short", "Allow closing short positions", "Trading");
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2m)
			.SetRange(0m, 10m)
			.SetDisplay("Take Profit %", "Take-profit percentage", "Risk");
		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetRange(0m, 10m)
			.SetDisplay("Stop Loss %", "Stop-loss percentage", "Risk");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(6).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMfi = null;
	}

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

		var mfi = new MoneyFlowIndex { Length = MfiPeriod };

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

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var slowdown = _prevMfi.HasValue && Math.Abs(mfiValue - _prevMfi.Value) < 1m;

		var upSignal = mfiValue >= UpperThreshold && (!SeekSlowdown || slowdown);
		var downSignal = mfiValue <= LowerThreshold && (!SeekSlowdown || slowdown);

		if (upSignal)
		{
			if (SellPosClose && Position < 0)
				BuyMarket();
			if (BuyPosOpen && Position <= 0)
				BuyMarket();
		}
		else if (downSignal)
		{
			if (BuyPosClose && Position > 0)
				SellMarket();
			if (SellPosOpen && Position >= 0)
				SellMarket();
		}

		_prevMfi = mfiValue;
	}
}