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Tendencia Parabolic SAR

Estrategia basada en el indicador Parabolic SAR. La Tendencia Parabolic SAR sigue los puntos del indicador Parabolic SAR. Un cambio del precio de un lado del SAR al otro marca un posible cambio de tendencia. Si el precio cruza de vuelta, la operación se cierra.

Las pruebas indican un retorno anual promedio de aproximadamente 49%. Funciona mejor en el mercado de criptomonedas.

Dado que los puntos del SAR siguen el precio, naturalmente proporcionan un punto de salida cuando la tendencia cambia. El método opera tanto en largo como en corto sin utilizar stops adicionales más allá de la reversión del SAR.

Detalles

  • Criterios de entrada: Señales basadas en Parabolic, SAR.
  • Largo/Corto: Ambos directions.
  • Criterios de salida: Señal opuesta.
  • Stops: No.
  • Valores predeterminados:
    • AccelerationFactor = 0.02m
    • MaxAccelerationFactor = 0.2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: Parabolic, SAR
    • Stops: No
    • Complejidad: Básico
    • Marco temporal: Intradía (5m)
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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 Parabolic SAR indicator.
/// It enters long position when price is above SAR and short position when price is below SAR.
/// </summary>
public class ParabolicSarTrendStrategy : Strategy
{
	private readonly StrategyParam<decimal> _accelerationFactor;
	private readonly StrategyParam<decimal> _maxAccelerationFactor;
	private readonly StrategyParam<DataType> _candleType;

	// Current state
	private decimal _prevSarValue;
	private bool _prevIsPriceAboveSar;

	/// <summary>
	/// Initial acceleration factor for SAR.
	/// </summary>
	public decimal AccelerationFactor
	{
		get => _accelerationFactor.Value;
		set => _accelerationFactor.Value = value;
	}

	/// <summary>
	/// Maximum acceleration factor for SAR.
	/// </summary>
	public decimal MaxAccelerationFactor
	{
		get => _maxAccelerationFactor.Value;
		set => _maxAccelerationFactor.Value = value;
	}

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

	/// <summary>
	/// Initialize the Parabolic SAR Trend strategy.
	/// </summary>
	public ParabolicSarTrendStrategy()
	{
		_accelerationFactor = Param(nameof(AccelerationFactor), 0.003m)
			.SetDisplay("Acceleration Factor", "Initial acceleration factor for SAR calculation", "Indicators")

			.SetOptimize(0.01m, 0.05m, 0.01m);

		_maxAccelerationFactor = Param(nameof(MaxAccelerationFactor), 0.03m)
			.SetDisplay("Max Acceleration Factor", "Maximum acceleration factor for SAR calculation", "Indicators")

			.SetOptimize(0.1m, 0.5m, 0.1m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_prevSarValue = 0;
		_prevIsPriceAboveSar = false;

	}

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

		// Create Parabolic SAR indicator
		var parabolicSar = new ParabolicSar
		{
			Acceleration = AccelerationFactor,
			AccelerationMax = MaxAccelerationFactor
		};

		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(parabolicSar, ProcessCandle)
			.Start();

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

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

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

		if (sarValue <= 0)
			return;

		// Check the price position relative to SAR
		var isPriceAboveSar = candle.ClosePrice > sarValue;

		// Detect signal - crossing of price and SAR
		var isEntrySignal = _prevSarValue > 0 && isPriceAboveSar != _prevIsPriceAboveSar;
		
		if (isEntrySignal)
		{
			var volume = Volume + Math.Abs(Position);

			// Long entry - price crosses above SAR
			if (isPriceAboveSar && Position <= 0)
			{
				BuyMarket(volume);
				LogInfo($"Buy signal: Price {candle.ClosePrice} crossed above SAR {sarValue}");
			}
			// Short entry - price crosses below SAR
			else if (!isPriceAboveSar && Position >= 0)
			{
				SellMarket(volume);
				LogInfo($"Sell signal: Price {candle.ClosePrice} crossed below SAR {sarValue}");
			}
		}

		// Update previous values
		_prevSarValue = sarValue;
		_prevIsPriceAboveSar = isPriceAboveSar;
	}
}