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DSS Bressert Strategy

This strategy uses the Double Smoothed Stochastic (DSS) Bressert indicator. Two lines are calculated:

  • DSS line – stochastic value smoothed twice with exponential moving average.
  • MIT line – intermediate value after the first smoothing.

A trade is opened when these lines cross:

  • Buy when the DSS line crosses below the MIT line after being above it.
  • Sell when the MIT line crosses below the DSS line after being above it.

Parameters

Parameter Description
EmaPeriod EMA smoothing period (default: 8)
StoPeriod Stochastic calculation period (default: 13)
TakeProfitPercent Take profit percentage for protective orders (default: 2)
StopLossPercent Stop loss percentage for protective orders (default: 1)
CandleType Timeframe used for calculations (default: 4 hours)

Notes

  • Strategy works on closed candles only.
  • Protection uses percentage based stop loss and take profit.
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>
/// Strategy based on the Double Smoothed Stochastic (DSS) Bressert indicator.
/// Trades when DSS line crosses the MIT line.
/// </summary>
public class DssBressertStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _stoPeriod;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private DssBressertIndicator _dss = null!;
	private decimal _prevDss;
	private decimal _prevMit;
	private int _barsSinceTrade;

	/// <summary>
	/// EMA period used for smoothing.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Stochastic period.
	/// </summary>
	public int StoPeriod
	{
		get => _stoPeriod.Value;
		set => _stoPeriod.Value = value;
	}

	/// <summary>
	/// Take profit level in percent.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	/// <summary>
	/// Stop loss level in percent.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Bars to wait after a completed trade.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public DssBressertStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 8)
		.SetGreaterThanZero()
		.SetDisplay("EMA Period", "EMA smoothing period", "Indicators")

		.SetOptimize(5, 20, 1);

		_stoPeriod = Param(nameof(StoPeriod), 13)
		.SetGreaterThanZero()
		.SetDisplay("Stochastic Period", "Stochastic calculation period", "Indicators")

		.SetOptimize(5, 30, 1);

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Take Profit %", "Take profit level in percent", "Risk")

		.SetOptimize(1m, 5m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
		.SetGreaterThanZero()
		.SetDisplay("Stop Loss %", "Stop loss level in percent", "Risk")

		.SetOptimize(0.5m, 5m, 0.5m);

		_cooldownBars = Param(nameof(CooldownBars), 1)
		.SetDisplay("Cooldown Bars", "Bars to wait after a completed trade", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();
		_prevDss = 0m;
		_prevMit = 0m;
		_barsSinceTrade = CooldownBars;
	}

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

		_dss = new DssBressertIndicator
		{
			EmaPeriod = EmaPeriod,
			StoPeriod = StoPeriod
		};

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

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

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

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

		if (!IsFormedAndOnline())
			return;

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;

		var currentMit = _dss.LastMit;

		if (_barsSinceTrade >= CooldownBars && _prevDss <= _prevMit && dssValue > currentMit && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceTrade = 0;
		}
		else if (_barsSinceTrade >= CooldownBars && _prevDss >= _prevMit && dssValue < currentMit && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceTrade = 0;
		}

		_prevDss = dssValue;
		_prevMit = currentMit;
	}
}

/// <summary>
/// Double Smoothed Stochastic Bressert indicator.
/// Calculates DSS and MIT lines. Returns DSS value as decimal output.
/// </summary>
public class DssBressertIndicator : BaseIndicator
{
	private static readonly object _sync = new();

	/// <summary>
	/// EMA smoothing period.
	/// </summary>
	public int EmaPeriod { get; set; } = 8;

	/// <summary>
	/// Stochastic period.
	/// </summary>
	public int StoPeriod { get; set; } = 13;

	/// <summary>
	/// Last MIT value for external access.
	/// </summary>
	public decimal LastMit { get; private set; } = 50m;

	private readonly Queue<decimal> _high = new();
	private readonly Queue<decimal> _low = new();
	private readonly Queue<decimal> _close = new();
	private readonly Queue<decimal> _mit = new();

	private decimal _prevMit = 50m;
	private decimal _prevDss = 50m;

	/// <inheritdoc />
	public override void Reset()
	{
		base.Reset();
		_high.Clear();
		_low.Clear();
		_close.Clear();
		_mit.Clear();
		_prevMit = 50m;
		_prevDss = 50m;
		LastMit = 50m;
	}

	/// <inheritdoc />
	protected override IIndicatorValue OnProcess(IIndicatorValue input)
	{
		lock (_sync)
		{
			var candle = input.GetValue<ICandleMessage>();

			if (candle == null)
				return new DecimalIndicatorValue(this, _prevDss, input.Time);

			_high.Enqueue(candle.HighPrice);
			_low.Enqueue(candle.LowPrice);
			_close.Enqueue(candle.ClosePrice);

			if (_high.Count > StoPeriod)
			{
				_high.Dequeue();
				_low.Dequeue();
				_close.Dequeue();
			}

			if (_high.Count >= StoPeriod)
				IsFormed = true;

			var highRange = GetMax(_high);
			var lowRange = GetMin(_low);
			if (highRange == lowRange)
				return new DecimalIndicatorValue(this, _prevDss, input.Time);

			var delta = candle.ClosePrice - lowRange;
			var mitRaw = delta / (highRange - lowRange) * 100m;
			var coeff = 2m / (1m + EmaPeriod);
			var mitValue = _prevMit + coeff * (mitRaw - _prevMit);
			_prevMit = mitValue;
			LastMit = mitValue;

			_mit.Enqueue(mitValue);
			if (_mit.Count > StoPeriod)
				_mit.Dequeue();

			var highMit = GetMax(_mit);
			var lowMit = GetMin(_mit);
			if (highMit == lowMit)
				return new DecimalIndicatorValue(this, _prevDss, input.Time);

			var deltaMit = mitValue - lowMit;
			var dssRaw = deltaMit / (highMit - lowMit) * 100m;
			var dssValue = _prevDss + coeff * (dssRaw - _prevDss);
			_prevDss = dssValue;

			return new DecimalIndicatorValue(this, dssValue, input.Time);
		}
	}

	private static decimal GetMax(IEnumerable<decimal> values)
	{
		var max = decimal.MinValue;
		foreach (var v in values)
		{
			if (v > max)
				max = v;
		}
		return max;
	}

	private static decimal GetMin(IEnumerable<decimal> values)
	{
		var min = decimal.MaxValue;
		foreach (var v in values)
		{
			if (v < min)
				min = v;
		}
		return min;
	}
}