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Patrón de Doble Suelo (Double Bottom Pattern)

Esta estrategia basada en patrones busca dos mínimos consecutivos aproximadamente al mismo precio, separados por una distancia establecida. Después de formarse el segundo suelo, una vela alcista confirma la reversión.

Las pruebas indican un rendimiento anual promedio de aproximadamente el 55%. Funciona mejor en el mercado de acciones.

Cuando se produce la confirmación, el sistema compra con un stop por debajo de los mínimos del patrón. La configuración tiene como objetivo capturar rebotes pronunciados tras un agotamiento de la venta.

Las salidas dependen de un stop-loss predefinido o de objetivos de beneficio manuales.

Detalles

  • Criterios de entrada: Dos suelos se forman dentro de SimilarityPercent después de Distance barras.
  • Largo/Corto: Solo largos.
  • Criterios de salida: El precio falla o stop-loss.
  • Stops: Sí.
  • Valores predeterminados:
    • Distance = 5
    • SimilarityPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(15)
    • StopLossPercent = 1.0m
  • Filtros:
    • Categoría: Patrón
    • Dirección: Solo largos
    • Indicadores: Price Action
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: Sí
    • Nivel de riesgo: Medio
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;

/// <summary>
/// Double Bottom reversal strategy.
/// Detects two similar bottoms and enters long on confirmation.
/// Uses SMA for exit signal.
/// </summary>
public class DoubleBottomStrategy : Strategy
{
	private readonly StrategyParam<int> _distanceParam;
	private readonly StrategyParam<decimal> _similarityPercent;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _recentLow;
	private decimal _prevLow;
	private int _barsSinceLow;
	private int _cooldown;

	/// <summary>
	/// Distance between bottoms in bars.
	/// </summary>
	public int Distance
	{
		get => _distanceParam.Value;
		set => _distanceParam.Value = value;
	}

	/// <summary>
	/// Maximum percent difference between two bottoms.
	/// </summary>
	public decimal SimilarityPercent
	{
		get => _similarityPercent.Value;
		set => _similarityPercent.Value = value;
	}

	/// <summary>
	/// MA Period for exit.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="DoubleBottomStrategy"/>.
	/// </summary>
	public DoubleBottomStrategy()
	{
		_distanceParam = Param(nameof(Distance), 20)
			.SetRange(3, 100)
			.SetDisplay("Distance", "Bars between bottoms", "Pattern");

		_similarityPercent = Param(nameof(SimilarityPercent), 1.0m)
			.SetRange(0.1m, 5.0m)
			.SetDisplay("Similarity %", "Max % diff between bottoms", "Pattern");

		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for exit SMA", "Indicators");

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

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_recentLow = default;
		_prevLow = default;
		_barsSinceLow = default;
		_cooldown = default;
	}

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

		_recentLow = 0;
		_prevLow = 0;
		_barsSinceLow = 0;
		_cooldown = 0;

		var sma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			TrackLows(candle);
			return;
		}

		// Track new lows
		if (_recentLow == 0 || candle.LowPrice < _recentLow)
		{
			if (_recentLow > 0)
				_prevLow = _recentLow;

			_recentLow = candle.LowPrice;
			_barsSinceLow = 0;
		}
		else
		{
			_barsSinceLow++;
		}

		if (Position == 0 && _prevLow > 0 && _barsSinceLow >= Distance)
		{
			var priceDiff = Math.Abs((_recentLow - _prevLow) / _prevLow * 100);

			if (priceDiff <= SimilarityPercent && candle.ClosePrice > smaValue)
			{
				BuyMarket();
				_cooldown = CooldownBars;
				_recentLow = 0;
				_prevLow = 0;
			}
			else if (priceDiff <= SimilarityPercent && candle.ClosePrice < smaValue)
			{
				SellMarket();
				_cooldown = CooldownBars;
				_recentLow = 0;
				_prevLow = 0;
			}
		}
		else if (Position > 0 && candle.ClosePrice < smaValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && candle.ClosePrice > smaValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}

	private void TrackLows(ICandleMessage candle)
	{
		if (_recentLow == 0 || candle.LowPrice < _recentLow)
		{
			if (_recentLow > 0)
				_prevLow = _recentLow;

			_recentLow = candle.LowPrice;
			_barsSinceLow = 0;
		}
		else
		{
			_barsSinceLow++;
		}
	}
}