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Estrategia Vela Superada

La estrategia Vela Superada opera un patrón de reversión de dos velas. Una configuración alcista ocurre cuando una vela bajista es seguida inmediatamente por una vela alcista que cierra por encima de la apertura anterior. Las operaciones se filtran con una EMA a corto plazo, RSI y tendencia MACD para evitar señales contra la tendencia. Se pueden habilitar tanto el lado largo como el corto.

La estrategia emplea niveles de take profit y stop loss basados en porcentajes y ajusta dinámicamente un trailing stop una vez que el precio se mueve favorablemente. Esto permite capturar movimientos extendidos mientras se protege contra reversiones.

Detalles

  • Criterios de entrada:
    • Largo: Vela anterior bajista, vela actual alcista, cierre y cierre anterior por encima de la EMA, RSI < 65, MACD subiendo.
    • Corto: Vela anterior alcista, vela actual bajista, cierre y cierre anterior por debajo de la EMA, RSI > 35, MACD bajando.
  • Largo/Corto: Configurable (largo por defecto).
  • Criterios de salida:
    • Trailing stop o señal opuesta.
  • Stops: Stop loss y take profit basados en porcentaje.
  • Valores predeterminados:
    • EmaLength = 10
    • RsiLength = 14
    • ShowLong = True
    • ShowShort = False
    • TpPercent = 1.2
    • SlPercent = 1.8
  • Filtros:
    • Categoría: Patrón + indicadores
    • Dirección: Ambos
    • Indicadores: EMA, RSI, MACD
    • Stops: Sí
    • Complejidad: Medio
    • Marco temporal: Cualquiera
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: Sí
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Vela Superada Strategy.
/// Trades on candle pattern reversals with EMA, RSI and MACD filters.
/// Buys on bullish reversal pattern above EMA with rising MACD.
/// Sells on bearish reversal pattern below EMA with falling MACD.
/// </summary>
public class VelaSuperadaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private RelativeStrengthIndex _rsi;
	private MovingAverageConvergenceDivergence _macd;

	private decimal _prevClose;
	private decimal _prevOpen;
	private decimal _prevMacd;
	private int _cooldownRemaining;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public VelaSuperadaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_emaLength = Param(nameof(EmaLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "Moving Averages");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_ema = null;
		_rsi = null;
		_macd = null;
		_prevClose = 0;
		_prevOpen = 0;
		_prevMacd = 0;
		_cooldownRemaining = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_macd = new MovingAverageConvergenceDivergence();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, _rsi, _macd, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal emaVal, decimal rsiVal, decimal macdVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_ema.IsFormed || !_rsi.IsFormed || !_macd.IsFormed)
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			_prevMacd = macdVal;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			_prevMacd = macdVal;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			_prevMacd = macdVal;
			return;
		}

		if (_prevClose == 0)
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			_prevMacd = macdVal;
			return;
		}

		// Candle pattern detection
		var bullishReversal = _prevClose < _prevOpen && candle.ClosePrice > candle.OpenPrice; // Red->Green
		var bearishReversal = _prevClose > _prevOpen && candle.ClosePrice < candle.OpenPrice; // Green->Red

		// MACD momentum
		var macdRising = macdVal > _prevMacd;
		var macdFalling = macdVal < _prevMacd;

		// Buy: bullish reversal + above EMA + RSI not overbought + MACD rising
		if (bullishReversal && candle.ClosePrice > emaVal && rsiVal < 65 && macdRising && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: bearish reversal + below EMA + RSI not oversold + MACD falling
		else if (bearishReversal && candle.ClosePrice < emaVal && rsiVal > 35 && macdFalling && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: bearish reversal below EMA
		else if (Position > 0 && bearishReversal && candle.ClosePrice < emaVal)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: bullish reversal above EMA
		else if (Position < 0 && bullishReversal && candle.ClosePrice > emaVal)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = candle.ClosePrice;
		_prevOpen = candle.OpenPrice;
		_prevMacd = macdVal;
	}
}