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XKRI Histogram Strategy

Strategy based on the Kairi Relative Index (KRI) smoothed by an exponential moving average. The system looks for local minima and maxima of the smoothed oscillator and enters long or short positions when a reversal pattern appears.

Details

  • Entry Criteria:
    • Long: Kri[1] < Kri[2] && Kri[0] > Kri[1]
    • Short: Kri[1] > Kri[2] && Kri[0] < Kri[1]
  • Long/Short: Both
  • Stops: Point take profit and stop loss
  • Default Values:
    • KriPeriod = 20
    • SmoothPeriod = 7
    • TakeProfit = 2000
    • StopLoss = 1000
    • CandleType = TimeSpan.FromHours(4).TimeFrame()
  • Filters:
    • Category: Reversal
    • Direction: Both
    • Indicators: Kairi, EMA
    • Stops: Yes
    • Complexity: Beginner
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class XkriHistogramStrategy : Strategy
{
	private readonly StrategyParam<int> _kriPeriod;
	private readonly StrategyParam<int> _smoothPeriod;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _smooth;
	private decimal _last;
	private decimal _prev;
	private decimal _prev2;
	private int _valueCount;

	public int KriPeriod { get => _kriPeriod.Value; set => _kriPeriod.Value = value; }
	public int SmoothPeriod { get => _smoothPeriod.Value; set => _smoothPeriod.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public XkriHistogramStrategy()
	{
		_kriPeriod = Param(nameof(KriPeriod), 20)
			.SetDisplay("KRI Period", "Base moving average period", "Indicators");

		_smoothPeriod = Param(nameof(SmoothPeriod), 7)
			.SetDisplay("Smooth Period", "EMA smoothing period", "Indicators");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Protection");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Protection");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_smooth = default;
		_last = 0;
		_prev = 0;
		_prev2 = 0;
		_valueCount = 0;
	}

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

		var ma = new ExponentialMovingAverage { Length = KriPeriod };
		_smooth = new ExponentialMovingAverage { Length = SmoothPeriod };

		Indicators.Add(_smooth);

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ma, (candle, maValue) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (maValue == 0) return;

			var kri = 100m * (candle.ClosePrice - maValue) / maValue;
			var smoothResult = _smooth.Process(kri, candle.OpenTime, true);
			if (!smoothResult.IsFormed)
				return;

			var smooth = smoothResult.ToDecimal();

			_prev2 = _prev;
			_prev = _last;
			_last = smooth;
			_valueCount++;

			if (_valueCount < 3)
				return;

			var longSignal = _prev < _prev2 && _last > _prev && Position <= 0;
			var shortSignal = _prev > _prev2 && _last < _prev && Position >= 0;

			if (longSignal)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			else if (shortSignal)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}).Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			useMarketOrders: true);

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