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Estrategia de Trampa de Falso Rompimiento

La Trampa de Falso Rompimiento busca capitalizar los rompimientos que no logran mantenerse más allá del soporte o resistencia clave. Los traders a menudo entran en un rompimiento solo para ver que el precio revierte rápidamente, dejándolos atrapados.

Las pruebas indican un rendimiento anual promedio de aproximadamente 52%. Funciona mejor en el mercado de criptomonedas.

Esta estrategia espera ese fracaso, entrando en la dirección opuesta una vez que el precio cierra de nuevo dentro del rango.

La colocación del stop es ajustada, justo más allá del nivel de rompimiento fallido, asegurando que las pérdidas se mantengan pequeñas si la reversión no se materializa.

Detalles

  • Criterios de entrada: señal de indicador
  • Largo/Corto: Ambos
  • Criterios de salida: stop-loss o señal opuesta
  • Stops: Sí, basados en porcentaje
  • Valores predeterminados:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filtros:
    • Categoría: Reversión
    • Dirección: Ambos
    • Indicadores: Price Action
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// False Breakout Trap strategy.
/// Detects when price breaks a recent high/low range then reverses back.
/// Trades against the failed breakout direction.
/// Exits on the opposite failed breakout or a percent stop beyond the failed breakout level.
/// </summary>
public class FalseBreakoutTrapStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _highs = new();
	private readonly List<decimal> _lows = new();
	private decimal? _stopPrice;
	private Order _exitOrder;

	/// <summary>
	/// Lookback period for range.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in percent beyond the failed breakout level.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public FalseBreakoutTrapStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetRange(5, 50)
			.SetDisplay("Lookback", "Period for high/low range", "Range");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop distance in percent beyond the failed breakout level", "Protection");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highs.Clear();
		_lows.Clear();
		_stopPrice = null;
		_exitOrder = null;
	}

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

		_highs.Clear();
		_lows.Clear();
		_stopPrice = null;
		_exitOrder = null;

		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ProcessQuote).Start();
		}

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

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

	private bool IsExitPending => _exitOrder is not null &&
		_exitOrder.State is not (OrderStates.Done or OrderStates.Failed);

	private void ProcessQuote(Level1ChangeMessage message)
	{
		var price = Position > 0 ? message.TryGetDecimal(Level1Fields.BestBidPrice)
			: Position < 0 ? message.TryGetDecimal(Level1Fields.BestAskPrice)
			: null;

		if (price is decimal executable && executable > 0m)
			TryStopOut(executable);
	}

	// Long positions are tested against a bid or bar low, short positions against an ask or bar high.
	private bool TryStopOut(decimal price)
	{
		if (_stopPrice is not decimal stop || IsExitPending)
			return false;

		if (Position > 0 && price <= stop || Position < 0 && price >= stop)
		{
			ExitPosition();
			return true;
		}

		return false;
	}

	private void ExitPosition()
	{
		_exitOrder = Position > 0 ? SellMarket(Position) : BuyMarket(-Position);
		_stopPrice = null;
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Maintain rolling high/low window
		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);
		if (_highs.Count > LookbackPeriod + 1)
		{
			_highs.RemoveAt(0);
			_lows.RemoveAt(0);
		}

		if (_highs.Count < LookbackPeriod + 1)
			return;

		if (TryStopOut(Position > 0 ? candle.LowPrice : candle.HighPrice))
			return;

		// Find highest high and lowest low of the previous N bars (excluding current)
		decimal rangeHigh = decimal.MinValue;
		decimal rangeLow = decimal.MaxValue;
		for (int i = 0; i < _highs.Count - 1; i++)
		{
			if (_highs[i] > rangeHigh) rangeHigh = _highs[i];
			if (_lows[i] < rangeLow) rangeLow = _lows[i];
		}

		// False upside breakout: candle broke above range high but closed below it
		var falseBreakUp = candle.HighPrice > rangeHigh && candle.ClosePrice < rangeHigh;
		// False downside breakout: candle broke below range low but closed above it
		var falseBreakDown = candle.LowPrice < rangeLow && candle.ClosePrice > rangeLow;

		if (Position > 0 && falseBreakUp || Position < 0 && falseBreakDown)
		{
			if (!IsExitPending)
				ExitPosition();
		}
		else if (Position == 0 && falseBreakDown)
		{
			_stopPrice = rangeLow * (1m - StopLoss / 100m);
			BuyMarket();
		}
		else if (Position == 0 && falseBreakUp)
		{
			_stopPrice = rangeHigh * (1m + StopLoss / 100m);
			SellMarket();
		}
	}
}