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NDay Breakout

N-day high/low breakout strategy N-day breakout looks for new highs or lows over the given period. Entries occur when price pierces the latest N-day high or low, anticipating momentum. A moving-average filter and percentage stop manage exits.

Testing indicates an average annual return of about 43%. It performs best in the stocks market.

By waiting for the prior extreme to break, the system attempts to catch the start of a directional move. Filtering by a trend-following average helps avoid false signals that arise during consolidation.

Details

  • Entry Criteria: Signals based on MA.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal or stop.
  • Stops: Yes.
  • Default Values:
    • LookbackPeriod = 20
    • MaPeriod = 20
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: MA
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Daily
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// N-day high/low breakout strategy.
/// Enters long when price breaks above the N-day high.
/// Enters short when price breaks below the N-day low.
/// Exits when price crosses the moving average.
/// </summary>
public class NdayBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	// Indicators for entry conditions
	private Highest _highest;
	private Lowest _lowest;
	private SMA _ma;

	// Values for tracking breakouts
	private decimal _nDayHigh;
	private decimal _nDayLow;
	private bool _isFormed;

	/// <summary>
	/// Period for looking back to determine the highest/lowest value.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Period for the moving average used for exit signals.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public NdayBreakoutStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 1500)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Number of bars to determine the high/low range", "Strategy Parameters")

			.SetOptimize(10, 30, 5);

		_maPeriod = Param(nameof(MaPeriod), 300)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for the moving average used as exit signal", "Strategy Parameters")

			.SetOptimize(10, 30, 5);

		_stopLossPercent = Param(nameof(StopLossPercent), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "Strategy Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		// Initialize tracking variables
		_nDayHigh = 0;
		_nDayLow = decimal.MaxValue;
		_isFormed = false;

	}

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

		// Create indicators
		_highest = new Highest { Length = LookbackPeriod };
		_lowest = new Lowest { Length = LookbackPeriod };
		_ma = new SMA { Length = MaPeriod };

		// Create and setup subscription for candles
		var subscription = SubscribeCandles(CandleType);
		
		// Bind indicators to candles
		subscription
			.Bind(_highest, _lowest, _ma, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _highest);
			DrawIndicator(area, _lowest);
			DrawIndicator(area, _ma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal highestValue, decimal lowestValue, decimal maValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Wait until indicators are formed
		if (!_isFormed)
		{
			// Check if highest and lowest indicators are now formed
			if (_highest.IsFormed && _lowest.IsFormed)
			{
				_nDayHigh = highestValue;
				_nDayLow = lowestValue;
				_isFormed = true;
				LogInfo($"Indicators formed. Initial N-day high: {_nDayHigh}, N-day low: {_nDayLow}");
			}
			return;
		}

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		LogInfo($"Processing candle: High={candle.HighPrice}, Low={candle.LowPrice}, Close={candle.ClosePrice}");
		LogInfo($"Current N-day high: {_nDayHigh}, N-day low: {_nDayLow}, MA: {maValue}");

		// Entry logic - only trigger on breakouts (reversal style)
		if (candle.HighPrice > _nDayHigh && Position <= 0)
		{
			// Long entry - price breaks above the N-day high
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (candle.LowPrice < _nDayLow && Position >= 0)
		{
			// Short entry - price breaks below the N-day low
			SellMarket(Volume + Math.Abs(Position));
		}

		// Update N-day high and low values for next candle
		_nDayHigh = highestValue;
		_nDayLow = lowestValue;
	}
}