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One-Two-Three Reversal Strategy

The One-Two-Three Reversal strategy looks for a bullish 1-2-3 pattern in price action. A long position is opened when today's low is below yesterday's, yesterday's low is below the low three bars ago, the low two bars ago is below the low four bars ago, and the high two bars ago is below the high three bars ago. The trade is closed after a defined number of bars or when price closes above a moving average.

Details

  • Entry Criteria:
    • Current low < previous low.
    • Previous low < low three bars ago.
    • Low two bars ago < low four bars ago.
    • High two bars ago < high three bars ago.
  • Long/Short: Long only.
  • Exit Criteria:
    • Hold for DaysToHold bars or close crosses above moving average.
  • Stops: None.
  • Default Values:
    • DaysToHold = 7
    • MaLength = 200
  • Filters:
    • Category: Reversal
    • Direction: Long
    • Indicators: Price action, SMA
    • Stops: No
    • Complexity: Low
    • Timeframe: Daily
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// One-Two-Three Reversal Strategy.
/// A long opens on a bullish 1-2-3 pattern: the current low is below the previous low, the previous low is below the low
/// three bars ago, the low two bars ago is below the low four bars ago and the high two bars ago is below the high three
/// bars ago. The long closes after DaysToHold bars or when the close crosses above the MaLength SMA.
/// </summary>
public class OneTwoThreeReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _daysToHold;
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<ICandleMessage> _history = [];
	private decimal? _prevClose;
	private decimal? _prevMa;
	private int _barsInPosition;

	/// <summary>
	/// Bars to hold the position.
	/// </summary>
	public int DaysToHold
	{
		get => _daysToHold.Value;
		set => _daysToHold.Value = value;
	}

	/// <summary>
	/// SMA period of the exit.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public OneTwoThreeReversalStrategy()
	{
		_daysToHold = Param(nameof(DaysToHold), 7)
			.SetGreaterThanZero()
			.SetDisplay("Days To Hold", "Bars to hold the position", "Trading");

		_maLength = Param(nameof(MaLength), 200)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "SMA period of the exit", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
	}

	private void ResetState()
	{
		_history.Clear();
		_prevClose = null;
		_prevMa = null;
		_barsInPosition = 0;
	}

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

		ResetState();

		var sma = new SimpleMovingAverage { Length = MaLength };

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

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

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

		_history.Add(candle);
		if (_history.Count > 5)
			_history.RemoveAt(0);

		decimal? ma = smaValue.IsFormed ? smaValue.GetValue<decimal>() : null;
		var prevClose = _prevClose;
		var prevMa = _prevMa;
		_prevClose = candle.ClosePrice;
		_prevMa = ma;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			_barsInPosition++;

			var crossAboveMa = ma is decimal m && prevMa is decimal pm && prevClose is decimal pc && pc <= pm && candle.ClosePrice > m;

			if (_barsInPosition >= DaysToHold || crossAboveMa)
			{
				SellMarket(Position);
				_barsInPosition = 0;
			}

			return;
		}

		if (_history.Count < 5)
			return;

		// _history[4] is the current bar, _history[0] is the bar four bars ago.
		var current = _history[4];
		var bar1 = _history[3];
		var bar2 = _history[2];
		var bar3 = _history[1];
		var bar4 = _history[0];

		var pattern = current.LowPrice < bar1.LowPrice
			&& bar1.LowPrice < bar3.LowPrice
			&& bar2.LowPrice < bar4.LowPrice
			&& bar2.HighPrice < bar3.HighPrice;

		if (pattern && Position == 0)
		{
			BuyMarket(Volume);
			_barsInPosition = 0;
		}
	}
}