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Bruno-Strategie

Der Bruno-Expertenberater ist ein Trendfolgesystem, das ursprünglich für MetaTrader 5 geschrieben wurde. Der Port behält dieselbe Bestätigungskette: Average Directional Index (ADX) mit Richtungsbewegung, ein Paar exponentieller gleitender Durchschnitte (EMA 8/21), MACD (13, 34, 8), ein Stochastischer Oszillator (21, 3, 3) und die Steigung eines Parabolic SAR (0.055, 0.21). Jeder Filter, der mit der Richtung übereinstimmt, multipliziert die Ordergröße mit einem konfigurierbaren Faktor. Wenn sowohl Long- als auch Short-Signale auf derselben Kerze verstärkt werden, wird kein Trade durchgeführt, um widersprüchliche Orders zu vermeiden.

Handelslogik

  • Richtungsbias
    • Long-Druck wird verstärkt wenn +DI > -DI und +DI > 20.
    • Short-Druck wird verstärkt wenn +DI < -DI und +DI < 40.
  • Momentum-Ausrichtung
    • Long-Präferenz erfordert EMA(8) über EMA(21), Stochastisches %K über %D und %K unter der Überkauft-Schwelle (Standard 80).
    • Short-Präferenz erfordert EMA(8) unter EMA(21), Stochastisches %K unter %D und %K über der Überverkauft-Schwelle (Standard 20).
  • MACD-Filter
    • Long-Bias: MACD-Histogramm über null und MACD-Hauptlinie über der Signallinie.
    • Short-Bias: MACD-Histogramm unter null und MACD-Hauptlinie unter der Signallinie.
  • Parabolic SAR-Steigung
    • Long-Bias wird verstärkt wenn die vorherigen SAR-Werte steigen während EMA(8) > EMA(21).
    • Short-Bias wird verstärkt wenn die vorherigen SAR-Werte fallen während EMA(8) < EMA(21).

Jede erfüllte Bedingung multipliziert die Basis-Lotgröße mit SignalMultiplier (Standard 1.6). Nur eine Seite kann gleichzeitig aktiv sein. Wenn ein abschließendes Signal generiert wird, schließt die Strategie jede entgegengesetzte Position, sendet die Marktorder mit dem multiplizierten Volumen und speichert den aktuellen Schlusskurs als Einstiegspreis.

Positionsmanagement

  • Stop-Loss / Take-Profit – feste Abstände in angepassten Pips, entsprechend der MetaTrader-Version. Wenn ein Level intrabar getroffen wird, wird die Position sofort geschlossen.
  • Trailing-Stop – aktiviert, sobald der schwebende Gewinn TrailingStop + TrailingStep Pips übersteigt. Der Stop wird dann TrailingStop Pips hinter dem Preis platziert und rückt nur vor, wenn der Gewinn um mindestens TrailingStep weitere Pips zunimmt.
  • Konfliktbehandlung – wenn sowohl Long- als auch Short-Filter auf derselben Kerze ausgelöst werden, wird kein neuer Trade eingegangen.

Parameter

Gruppe Name Beschreibung
Handel BaseVolume Anfängliche Lotgröße vor Multiplikatoren.
Handel SignalMultiplier Volumen-Multiplikator, der von jedem übereinstimmenden Filter angewendet wird.
Risikomanagement StopLossPips / TakeProfitPips Schutzabstände in angepassten Pips. Auf null setzen zum Deaktivieren.
Risikomanagement TrailingStopPips / TrailingStepPips Trailing-Abstand und Mindestschritt in angepassten Pips.
Indikatoren AdxPeriod, AdxPositiveThreshold, AdxNegativeThreshold ADX-Länge und DI-Schwellenwerte.
Indikatoren FastEmaPeriod, SlowEmaPeriod EMA-Längen für die Trendbestätigung.
Indikatoren MacdFastPeriod, MacdSlowPeriod, MacdSignalPeriod MACD-Konfiguration.
Indikatoren StochasticPeriod, StochasticKsmoothing, StochasticDsmoothing, StochasticOverbought, StochasticOversold Stochastischer Oszillator-Einstellungen.
Allgemein CandleType Zeitrahmen für die gesamte Signalkette (Standard 1 Stunde).

Hinweise

  • Die angepasste Pip-Größe folgt der MetaTrader-Konvention: Instrumente mit 3 oder 5 Dezimalstellen werden mit 10 multipliziert.
  • Parabolic SAR arbeitet mit Beschleunigungsschritt 0.055 und Maximum 0.21, entsprechend den Expertenberater-Standardwerten.
  • Der Port behält den ursprünglichen Geldmanagement-Stil (Volumen-Stacking) bei, aggregiert das Exposure jedoch in einer einzigen StockSharp-Position.
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bruno multi-filter trend strategy.
/// </summary>
public class BrunoStrategy : Strategy
{
	private readonly StrategyParam<decimal> _baseVolume;
	private readonly StrategyParam<decimal> _signalMultiplier;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<int> _trailingStepPips;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxPositiveThreshold;
	private readonly StrategyParam<decimal> _adxNegativeThreshold;
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _stochasticPeriod;
	private readonly StrategyParam<int> _stochasticKsmoothing;
	private readonly StrategyParam<int> _stochasticDsmoothing;
	private readonly StrategyParam<decimal> _stochasticOverbought;
	private readonly StrategyParam<decimal> _stochasticOversold;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<Bar> _bars = [];
	private readonly List<decimal> _rawK = [];
	private readonly List<decimal> _smoothK = [];
	private readonly List<decimal> _sarValues = [];

	private decimal? _fastEma;
	private decimal? _slowEma;
	private decimal? _macdFast;
	private decimal? _macdSlow;
	private decimal? _macdSignal;

	private SarState _sar;

	private decimal _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;
	private decimal? _bestPrice;
	private DateTimeOffset? _entryCandleTime;

	public decimal BaseVolume { get => _baseVolume.Value; set => _baseVolume.Value = value; }
	public decimal SignalMultiplier { get => _signalMultiplier.Value; set => _signalMultiplier.Value = value; }
	public int StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }
	public int TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }
	public int TrailingStopPips { get => _trailingStopPips.Value; set => _trailingStopPips.Value = value; }
	public int TrailingStepPips { get => _trailingStepPips.Value; set => _trailingStepPips.Value = value; }
	public int AdxPeriod { get => _adxPeriod.Value; set => _adxPeriod.Value = value; }
	public decimal AdxPositiveThreshold { get => _adxPositiveThreshold.Value; set => _adxPositiveThreshold.Value = value; }
	public decimal AdxNegativeThreshold { get => _adxNegativeThreshold.Value; set => _adxNegativeThreshold.Value = value; }
	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }
	public int MacdFastPeriod { get => _macdFastPeriod.Value; set => _macdFastPeriod.Value = value; }
	public int MacdSlowPeriod { get => _macdSlowPeriod.Value; set => _macdSlowPeriod.Value = value; }
	public int MacdSignalPeriod { get => _macdSignalPeriod.Value; set => _macdSignalPeriod.Value = value; }
	public int StochasticPeriod { get => _stochasticPeriod.Value; set => _stochasticPeriod.Value = value; }
	public int StochasticKsmoothing { get => _stochasticKsmoothing.Value; set => _stochasticKsmoothing.Value = value; }
	public int StochasticDsmoothing { get => _stochasticDsmoothing.Value; set => _stochasticDsmoothing.Value = value; }
	public decimal StochasticOverbought { get => _stochasticOverbought.Value; set => _stochasticOverbought.Value = value; }
	public decimal StochasticOversold { get => _stochasticOversold.Value; set => _stochasticOversold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BrunoStrategy()
	{
		_baseVolume = Param(nameof(BaseVolume), 0.1m).SetGreaterThanZero();
		_signalMultiplier = Param(nameof(SignalMultiplier), 1.6m).SetGreaterThanZero();
		_stopLossPips = Param(nameof(StopLossPips), 50).SetNotNegative();
		_takeProfitPips = Param(nameof(TakeProfitPips), 100).SetNotNegative();
		_trailingStopPips = Param(nameof(TrailingStopPips), 30).SetNotNegative();
		_trailingStepPips = Param(nameof(TrailingStepPips), 5).SetNotNegative();
		_adxPeriod = Param(nameof(AdxPeriod), 14).SetGreaterThanZero();
		_adxPositiveThreshold = Param(nameof(AdxPositiveThreshold), 20m);
		_adxNegativeThreshold = Param(nameof(AdxNegativeThreshold), 40m);
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 8).SetGreaterThanZero();
		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 21).SetGreaterThanZero();
		_macdFastPeriod = Param(nameof(MacdFastPeriod), 13).SetGreaterThanZero();
		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 34).SetGreaterThanZero();
		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 8).SetGreaterThanZero();
		_stochasticPeriod = Param(nameof(StochasticPeriod), 21).SetGreaterThanZero();
		_stochasticKsmoothing = Param(nameof(StochasticKsmoothing), 3).SetGreaterThanZero();
		_stochasticDsmoothing = Param(nameof(StochasticDsmoothing), 3).SetGreaterThanZero();
		_stochasticOverbought = Param(nameof(StochasticOverbought), 80m);
		_stochasticOversold = Param(nameof(StochasticOversold), 20m);
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame());
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_bars.Clear();
		_rawK.Clear();
		_smoothK.Clear();
		_sarValues.Clear();
		_fastEma = _slowEma = _macdFast = _macdSlow = _macdSignal = null;
		_sar = null;
		ResetProtection();
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_sar = new(0.055m, 0.21m);
		SubscribeCandles(CandleType).Bind(ProcessCandle).Start();
	}

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

		_bars.Add(new Bar(candle.HighPrice, candle.LowPrice, candle.ClosePrice));
		var keep = Math.Max(Math.Max(AdxPeriod + 2, MacdSlowPeriod + MacdSignalPeriod + 2), StochasticPeriod + 10);
		if (_bars.Count > keep)
			_bars.RemoveRange(0, _bars.Count - keep);

		_fastEma = Ema(_fastEma, candle.ClosePrice, FastEmaPeriod);
		_slowEma = Ema(_slowEma, candle.ClosePrice, SlowEmaPeriod);
		_macdFast = Ema(_macdFast, candle.ClosePrice, MacdFastPeriod);
		_macdSlow = Ema(_macdSlow, candle.ClosePrice, MacdSlowPeriod);
		var macdMain = _macdFast.Value - _macdSlow.Value;
		_macdSignal = Ema(_macdSignal, macdMain, MacdSignalPeriod);

		var sar = _sar.Process(candle.HighPrice, candle.LowPrice, candle.ClosePrice);
		if (sar is decimal sarValue)
		{
			_sarValues.Add(sarValue);
			if (_sarValues.Count > 4)
				_sarValues.RemoveAt(0);
		}

		UpdateStochastic();

		if (Position != 0m && ApplyProtection(candle))
			return;

		if (_bars.Count < AdxPeriod + 1 || _smoothK.Count < StochasticDsmoothing || _sarValues.Count < 3)
			return;

		var (plusDi, minusDi) = CalculateDirectionalIndex();
		var k = _smoothK[^1];
		var d = _smoothK.Skip(_smoothK.Count - StochasticDsmoothing).Average();
		var histogram = macdMain - _macdSignal.Value;

		var longDirectional = plusDi > minusDi && plusDi > AdxPositiveThreshold;
		var shortDirectional = plusDi < minusDi && plusDi < AdxNegativeThreshold;

		var longMomentum = _fastEma > _slowEma && k > d && k < StochasticOverbought;
		var shortMomentum = _fastEma < _slowEma && k < d && k > StochasticOversold;

		var longMacd = histogram > 0m && macdMain > _macdSignal;
		var shortMacd = histogram < 0m && macdMain < _macdSignal;

		var longSar = _sarValues[^3] < _sarValues[^2] && _sarValues[^2] < _sarValues[^1] && _fastEma > _slowEma;
		var shortSar = _sarValues[^3] > _sarValues[^2] && _sarValues[^2] > _sarValues[^1] && _fastEma < _slowEma;

		var (longVolume, shortVolume) = CalculateSignalVolumes(
			BaseVolume, SignalMultiplier,
			longDirectional, shortDirectional,
			longMomentum, shortMomentum,
			longMacd, shortMacd,
			longSar, shortSar);

		var hasLong = longVolume > BaseVolume;
		var hasShort = shortVolume > BaseVolume;

		if (hasLong == hasShort)
			return;

		if (hasLong)
			Enter(Sides.Buy, longVolume, candle);
		else
			Enter(Sides.Sell, shortVolume, candle);
	}

	private void Enter(Sides side, decimal targetVolume, ICandleMessage candle)
	{
		var opposite = side == Sides.Buy ? Math.Max(0m, -Position) : Math.Max(0m, Position);
		var volume = NormalizeVolume(targetVolume + opposite);
		if (volume <= 0m)
			return;

		if (side == Sides.Buy)
			BuyMarket(volume);
		else
			SellMarket(volume);

		_entryPrice = candle.ClosePrice;
		_entryCandleTime = candle.OpenTime;
		_bestPrice = candle.ClosePrice;

		var pip = GetPipSize();
		_stopPrice = StopLossPips > 0
			? side == Sides.Buy ? _entryPrice - StopLossPips * pip : _entryPrice + StopLossPips * pip
			: null;
		_takePrice = TakeProfitPips > 0
			? side == Sides.Buy ? _entryPrice + TakeProfitPips * pip : _entryPrice - TakeProfitPips * pip
			: null;
	}

	private bool ApplyProtection(ICandleMessage candle)
	{
		if (_entryCandleTime is DateTimeOffset entryTime && candle.OpenTime <= entryTime)
			return false;

		var pip = GetPipSize();

		if (Position > 0m)
		{
			_bestPrice = _bestPrice is decimal best ? Math.Max(best, candle.HighPrice) : candle.HighPrice;

			if (TrailingStopPips > 0 && TrailingStepPips >= 0 &&
				_bestPrice.Value - _entryPrice >= (TrailingStopPips + TrailingStepPips) * pip)
			{
				var candidate = _bestPrice.Value - TrailingStopPips * pip;
				if (_stopPrice is null || candidate >= _stopPrice.Value + TrailingStepPips * pip)
					_stopPrice = candidate;
			}

			if ((_stopPrice is decimal stop && candle.LowPrice <= stop) ||
				(_takePrice is decimal take && candle.HighPrice >= take))
			{
				SellMarket(Math.Abs(Position));
				ResetProtection();
				return true;
			}
		}
		else if (Position < 0m)
		{
			_bestPrice = _bestPrice is decimal best ? Math.Min(best, candle.LowPrice) : candle.LowPrice;

			if (TrailingStopPips > 0 && TrailingStepPips >= 0 &&
				_entryPrice - _bestPrice.Value >= (TrailingStopPips + TrailingStepPips) * pip)
			{
				var candidate = _bestPrice.Value + TrailingStopPips * pip;
				if (_stopPrice is null || candidate <= _stopPrice.Value - TrailingStepPips * pip)
					_stopPrice = candidate;
			}

			if ((_stopPrice is decimal stop && candle.HighPrice >= stop) ||
				(_takePrice is decimal take && candle.LowPrice <= take))
			{
				BuyMarket(Math.Abs(Position));
				ResetProtection();
				return true;
			}
		}

		return false;
	}

	private void UpdateStochastic()
	{
		if (_bars.Count < StochasticPeriod)
			return;

		var window = _bars.Skip(_bars.Count - StochasticPeriod).ToArray();
		var high = window.Max(b => b.High);
		var low = window.Min(b => b.Low);
		var raw = high == low ? 50m : (_bars[^1].Close - low) / (high - low) * 100m;

		_rawK.Add(raw);
		if (_rawK.Count > StochasticKsmoothing + StochasticDsmoothing + 2)
			_rawK.RemoveAt(0);

		if (_rawK.Count < StochasticKsmoothing)
			return;

		_smoothK.Add(_rawK.Skip(_rawK.Count - StochasticKsmoothing).Average());
		if (_smoothK.Count > StochasticDsmoothing + 2)
			_smoothK.RemoveAt(0);
	}

	private (decimal plusDi, decimal minusDi) CalculateDirectionalIndex()
	{
		var tr = 0m;
		var plus = 0m;
		var minus = 0m;
		var start = _bars.Count - AdxPeriod;

		for (var i = start; i < _bars.Count; i++)
		{
			var current = _bars[i];
			var previous = _bars[i - 1];
			var up = current.High - previous.High;
			var down = previous.Low - current.Low;

			plus += up > down && up > 0m ? up : 0m;
			minus += down > up && down > 0m ? down : 0m;

			tr += Math.Max(current.High - current.Low,
				Math.Max(Math.Abs(current.High - previous.Close), Math.Abs(current.Low - previous.Close)));
		}

		return tr <= 0m ? (0m, 0m) : (plus / tr * 100m, minus / tr * 100m);
	}

	internal static (decimal longVolume, decimal shortVolume) CalculateSignalVolumes(
		decimal baseVolume,
		decimal multiplier,
		bool longDirectional,
		bool shortDirectional,
		bool longMomentum,
		bool shortMomentum,
		bool longMacd,
		bool shortMacd,
		bool longSar,
		bool shortSar)
	{
		var longVolume = baseVolume;
		var shortVolume = baseVolume;

		if (longDirectional) longVolume *= multiplier;
		if (shortDirectional) shortVolume *= multiplier;
		if (longMomentum) longVolume *= multiplier;
		if (shortMomentum) shortVolume *= multiplier;
		if (longMacd) longVolume *= multiplier;
		if (shortMacd) shortVolume *= multiplier;
		if (longSar) longVolume *= multiplier;
		if (shortSar) shortVolume *= multiplier;

		return (longVolume, shortVolume);
	}

	private decimal NormalizeVolume(decimal volume)
	{
		if (Security?.MaxVolume is decimal max && max > 0m) volume = Math.Min(volume, max);
		if (Security?.MinVolume is decimal min && min > 0m) volume = Math.Max(volume, min);
		if (Security?.VolumeStep is decimal step && step > 0m) volume = Math.Floor(volume / step) * step;
		return volume;
	}

	private decimal GetPipSize()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m) return 0.0001m;
		return step is 0.00001m or 0.001m ? step * 10m : step;
	}

	private static decimal Ema(decimal? previous, decimal value, int period)
	{
		if (previous is null) return value;
		var alpha = 2m / (period + 1m);
		return previous.Value + alpha * (value - previous.Value);
	}

	private void ResetProtection()
	{
		_entryPrice = 0m;
		_stopPrice = null;
		_takePrice = null;
		_bestPrice = null;
		_entryCandleTime = null;
	}

	private readonly record struct Bar(decimal High, decimal Low, decimal Close);

	private sealed class SarState(decimal step, decimal maximum)
	{
		private bool _initialized;
		private bool _up;
		private decimal _sar;
		private decimal _ep;
		private decimal _af;
		private decimal _previousHigh;
		private decimal _previousLow;
		private decimal _previousClose;
		private decimal _olderHigh;
		private decimal _olderLow;
		private int _count;

		public void Reset()
		{
			_initialized = false;
			_up = false;
			_sar = _ep = _af = 0m;
			_previousHigh = _previousLow = _previousClose = 0m;
			_olderHigh = _olderLow = 0m;
			_count = 0;
		}

		public decimal? Process(decimal high, decimal low, decimal close)
		{
			_count++;

			if (_count == 1)
			{
				_previousHigh = _olderHigh = high;
				_previousLow = _olderLow = low;
				_previousClose = close;
				return null;
			}

			if (!_initialized)
			{
				_up = close >= _previousClose;
				_sar = _up ? Math.Min(_previousLow, low) : Math.Max(_previousHigh, high);
				_ep = _up ? Math.Max(_previousHigh, high) : Math.Min(_previousLow, low);
				_af = step;
				_initialized = true;
				Shift(high, low, close);
				return _sar;
			}

			var next = _sar + _af * (_ep - _sar);

			if (_up)
			{
				next = Math.Min(next, Math.Min(_previousLow, _olderLow));
				if (low < next)
				{
					_up = false;
					next = _ep;
					_ep = low;
					_af = step;
				}
				else if (high > _ep)
				{
					_ep = high;
					_af = Math.Min(maximum, _af + step);
				}
			}
			else
			{
				next = Math.Max(next, Math.Max(_previousHigh, _olderHigh));
				if (high > next)
				{
					_up = true;
					next = _ep;
					_ep = high;
					_af = step;
				}
				else if (low < _ep)
				{
					_ep = low;
					_af = Math.Min(maximum, _af + step);
				}
			}

			_sar = next;
			Shift(high, low, close);
			return _sar;
		}

		private void Shift(decimal high, decimal low, decimal close)
		{
			_olderHigh = _previousHigh;
			_olderLow = _previousLow;
			_previousHigh = high;
			_previousLow = low;
			_previousClose = close;
		}
	}
}