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Estrategia de Rompimiento por Ancho de Nube Ichimoku

La estrategia de Rompimiento por Ancho de Nube Ichimoku observa el Ichimoku en busca de expansiones bruscas. Cuando las lecturas saltan más allá de su rango promedio, el precio a menudo inicia un nuevo movimiento.

Las pruebas indican un rendimiento anual promedio de aproximadamente 64%. Funciona mejor en el mercado forex.

Una posición se abre una vez que el indicador perfora una banda derivada de datos recientes y un multiplicador de desviación. Son posibles operaciones largas y cortas con un stop adjunto.

Este sistema es adecuado para operadores de momentum que buscan rompimientos tempranos. Las operaciones se cierran cuando el Ichimoku vuelve hacia la media. Los valores predeterminados comienzan con TenkanPeriod = 9.

Detalles

  • Criterios de entrada: El indicador supera el promedio por el multiplicador de desviación.
  • Largo/Corto: Ambos direcciones.
  • Criterios de salida: El indicador revierte al promedio.
  • Stops: Sí.
  • Valores predeterminados:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • AvgPeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLoss = 2.0m
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: Ichimoku
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • 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 that trades on Ichimoku Cloud width breakouts.
/// When Ichimoku Cloud width increases significantly above its average, 
/// it enters position in the direction determined by price location relative to the cloud.
/// </summary>
public class IchimokuWidthBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;
	
	private Ichimoku _ichimoku;
	private SimpleMovingAverage _widthAverage;

	/// <summary>
	/// Tenkan-sen period for Ichimoku.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}
	
	/// <summary>
	/// Kijun-sen period for Ichimoku.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}
	
	/// <summary>
	/// Senkou Span B period for Ichimoku.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}
	
	/// <summary>
	/// Period for width average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}
	
	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="IchimokuWidthBreakoutStrategy"/>.
	/// </summary>
	public IchimokuWidthBreakoutStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Period for Tenkan-sen line", "Indicators")
			
			.SetOptimize(5, 20, 1);
			
		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Period for Kijun-sen line", "Indicators")
			
			.SetOptimize(20, 40, 2);
			
		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Period for Senkou Span B line", "Indicators")
			
			.SetOptimize(40, 80, 4);
			
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for cloud width average calculation", "Indicators")
			
			.SetOptimize(10, 50, 5);
		
		_multiplier = Param(nameof(Multiplier), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout detection", "Indicators")

			.SetOptimize(1.0m, 3.0m, 0.5m);
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage", "Risk Management")
			
			.SetOptimize(1.0m, 5.0m, 0.5m);
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		

		// Create indicators
		_ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};
		
		_widthAverage = new SMA { Length = AvgPeriod };
		
		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind Ichimoku to the candle subscription
		subscription
			.BindEx(_ichimoku, ProcessIchimoku)
			.Start();
			
		// Enable stop loss protection
		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(StopLoss, UnitTypes.Percent)
		);
		
		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ichimoku);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessIchimoku(ICandleMessage candle, IIndicatorValue ichimokuValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		
		if (!ichimokuValue.IsFinal)
			return;

		// Get current Ichimoku values
		// The structure of values depends on the implementation, this is just an example
		var ichimokuTyped = (IchimokuValue)ichimokuValue;
		
		if (ichimokuTyped.Tenkan is not decimal tenkan)
			return;

		if (ichimokuTyped.Kijun is not decimal kijun)
			return;

		if (ichimokuTyped.SenkouA is not decimal senkouSpanA)
			return;

		if (ichimokuTyped.SenkouB is not decimal senkouSpanB)
			return;

		// Calculate Cloud width (absolute difference between Senkou lines)
		var width = Math.Abs(senkouSpanA - senkouSpanB);
		
		// Process width through average
		var widthAvgValue = _widthAverage.Process(new DecimalIndicatorValue(_widthAverage, width, candle.ServerTime) { IsFinal = true });
		var avgWidth = widthAvgValue.ToDecimal();
		
		// Skip if indicators are not formed yet
		if (!_ichimoku.IsFormed || !_widthAverage.IsFormed)
		{
			return;
		}

		// Cloud width breakout detection
		if (width > avgWidth * Multiplier && Position == 0)
		{
			// Determine trade direction based on price relative to cloud
			var upperCloud = Math.Max(senkouSpanA, senkouSpanB);
			var lowerCloud = Math.Min(senkouSpanA, senkouSpanB);

			var bullish = candle.ClosePrice > upperCloud;
			var bearish = candle.ClosePrice < lowerCloud;

			if (bullish)
			{
				BuyMarket();
			}
			else if (bearish)
			{
				SellMarket();
			}
		}
	}
}