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Fisher Transform X2-Strategie

Diese Strategie verwendet den Fisher Transform-Indikator auf zwei verschiedenen Zeitrahmen. Der höhere Zeitrahmen definiert den Gesamttrend, während der niedrigere Zeitrahmen Einstiege generiert, wenn Fisher seinen vorherigen Wert gegen diesen Trend kreuzt. Optionale Parameter erlauben das Schließen von Positionen bei Trendwechsel oder bei Kreuzsignalen.

Details

  • Einstiegskriterien:
    • Long: Trend Fisher steigt && Signal Fisher kreuzt seinen vorherigen Wert nach unten
    • Short: Trend Fisher fällt && Signal Fisher kreuzt seinen vorherigen Wert nach oben
  • Long/Short: Beide
  • Ausstiegskriterien:
    • Optionales Schließen bei Trendumkehr
    • Optionales Schließen bei entgegengesetztem Fisher-Kreuz auf dem Signal-Zeitrahmen
  • Stops: Take Profit und Stop Loss in Punkten
  • Standardwerte:
    • Trend Length = 10
    • Signal Length = 10
    • Trend Timeframe = 6 Stunden
    • Signal Timeframe = 30 Minuten
    • Take Profit = 2000 Punkte
    • Stop Loss = 1000 Punkte
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Beide
    • Indikatoren: Fisher Transform
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Multi-Zeitrahmen
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • 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>
/// Fisher Transform strategy using two Fisher indicators (trend + signal).
/// Trend Fisher defines direction; Signal Fisher generates entries.
/// Both use same timeframe but different lengths.
/// </summary>
public class FisherTransformX2Strategy : Strategy
{
	private readonly StrategyParam<int> _trendLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private EhlersFisherTransform _trendFisher;
	private EhlersFisherTransform _signalFisher;

	private decimal _prevTrend;
	private decimal _prevSignal;
	private decimal _prevPrevSignal;
	private int _trendDirection;
	private int _count;

	public int TrendLength { get => _trendLength.Value; set => _trendLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FisherTransformX2Strategy()
	{
		_trendLength = Param(nameof(TrendLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Trend Length", "Fisher length for trend", "Parameters")
			.SetOptimize(10, 30, 2);

		_signalLength = Param(nameof(SignalLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Fisher length for signal", "Parameters")
			.SetOptimize(5, 20, 1);

		_takeProfit = Param(nameof(TakeProfit), 2000m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit in price units", "Risk");

		_stopLoss = Param(nameof(StopLoss), 1000m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss in price units", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTrend = 0m;
		_prevSignal = 0m;
		_prevPrevSignal = 0m;
		_trendDirection = 0;
		_count = 0;
	}

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

		_trendFisher = new EhlersFisherTransform { Length = TrendLength };
		_signalFisher = new EhlersFisherTransform { Length = SignalLength };

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

		StartProtection(
			new Unit(TakeProfit, UnitTypes.Absolute),
			new Unit(StopLoss, UnitTypes.Absolute));

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

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

		// Process trend Fisher manually with the candle
		var trendResult = _trendFisher.Process(candle);
		if (!_trendFisher.IsFormed || !_signalFisher.IsFormed)
			return;

		var signalVal = ((IEhlersFisherTransformValue)signalResult).MainLine ?? 0m;
		var trendVal = ((IEhlersFisherTransformValue)trendResult).MainLine ?? 0m;

		_count++;
		if (_count < 3)
		{
			_prevPrevSignal = _prevSignal;
			_prevSignal = signalVal;
			_prevTrend = trendVal;
			return;
		}

		// Update trend direction
		if (trendVal > _prevTrend)
			_trendDirection = 1;
		else if (trendVal < _prevTrend)
			_trendDirection = -1;

		// Signal crossover
		var signalCrossUp = signalVal > _prevSignal && _prevSignal <= _prevPrevSignal && signalVal < 0m;
		var signalCrossDown = signalVal < _prevSignal && _prevSignal >= _prevPrevSignal && signalVal > 0m;

		if (_trendDirection > 0 && signalCrossUp && Position <= 0)
			BuyMarket();
		else if (_trendDirection < 0 && signalCrossDown && Position >= 0)
			SellMarket();

		_prevTrend = trendVal;
		_prevPrevSignal = _prevSignal;
		_prevSignal = signalVal;
	}
}