Español ES
Ver en GitHub

Estrategia de Ruptura del Rango de Apertura

La estrategia de Ruptura del Rango de Apertura rastrea los precios más altos y más bajos durante los primeros minutos de una sesión de trading. Después de que el rango termina, se colocan órdenes de ruptura más allá del rango con un buffer configurable. Los objetivos se derivan de una proporción recompensa-riesgo mientras que los stops se establecen en el lado opuesto del rango.

Detalles

  • Criterios de entrada:
    • Después del rango de apertura, ir largo cuando el precio cierra por encima del máximo más el buffer.
    • Ir corto cuando el precio cierra por debajo del mínimo menos el buffer.
  • Largo/Corto: Ambos
  • Criterios de salida:
    • Stop y objetivo basados en el rango y la proporción recompensa-riesgo.
  • Stops: Sí
  • Valores predeterminados:
    • RangeMinutes = 15
    • RewardRisk = 2.0
    • EntryBuffer = 0.0001
    • SessionStart = 08:00
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: Ninguno
    • Stops: Sí
    • Complejidad: Bajo
    • Marco temporal: Cualquiera
    • 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.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// Opening Range Breakout Strategy.
/// Tracks recent high/low range using BB and trades breakouts.
/// Uses EMA as trend filter to determine direction.
/// </summary>
public class OpeningRangeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private BollingerBands _bb;
	private ExponentialMovingAverage _ema;

	private int _cooldownRemaining;
	private decimal _entryPrice;

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

	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

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

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

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

		_bbLength = Param(nameof(BbLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

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

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

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

		_bb = null;
		_ema = null;
		_cooldownRemaining = 0;
		_entryPrice = 0;
	}

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

		_bb = new BollingerBands { Length = BbLength, Width = 2m };
		_ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_bb, _ema, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, IIndicatorValue bbValue, IIndicatorValue emaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_bb.IsFormed || !_ema.IsFormed)
			return;

		if (bbValue.IsEmpty || emaValue.IsEmpty)
			return;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal mid)
			return;

		var emaVal = emaValue.ToDecimal();

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		var price = candle.ClosePrice;

		// Buy: price breaks above upper BB and above EMA (uptrend)
		if (price > upper && price > emaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = price;
			_cooldownRemaining = CooldownBars;
		}
		// Sell: price breaks below lower BB and below EMA (downtrend)
		else if (price < lower && price < emaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = price;
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: price returns to mid BB
		else if (Position > 0 && price < mid)
		{
			SellMarket(Math.Abs(Position));
			_entryPrice = 0;
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: price returns to mid BB
		else if (Position < 0 && price > mid)
		{
			BuyMarket(Math.Abs(Position));
			_entryPrice = 0;
			_cooldownRemaining = CooldownBars;
		}
	}
}