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Estrategia Three Kilos BTC 15m

La estrategia Three Kilos BTC 15m combina tres Medias Móviles Exponenciales Triples (TEMA) con un filtro Supertrend. Se abre una posición larga cuando la TEMA media cruza por encima de la TEMA corta, permanece por encima de la TEMA lenta y el Supertrend indica una tendencia alcista. Se abre una posición corta cuando la TEMA corta cruza por encima de la TEMA media, permanece por debajo de la TEMA lenta y el Supertrend muestra una tendencia bajista. Un take profit y stop loss de porcentaje fijo gestionan el riesgo.

Detalles

  • Criterios de entrada:
    • Largo: TEMA2 cruza por encima de TEMA1, TEMA2 > TEMA3, tendencia alcista en Supertrend.
    • Corto: TEMA1 cruza por encima de TEMA2, TEMA2 < TEMA3, tendencia bajista en Supertrend.
  • Largo/Corto: Ambos lados.
  • Criterios de salida:
    • Take profit o stop loss.
  • Stops: Take profit del 1% y stop loss del 1%.
  • Valores predeterminados:
    • ShortPeriod = 30
    • LongPeriod = 50
    • Long2Period = 140
    • AtrLength = 10
    • Multiplier = 2
    • TakeProfit = 1%
    • StopLoss = 1%
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: TEMA, Supertrend, ATR
    • Stops: Take profit y stop loss
    • Complejidad: Moderado
    • Marco temporal: 15m
    • 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>
/// Triple EMA crossover with Supertrend filter strategy (simplified 3Kilos).
/// Uses fast/slow EMA crossover for entries.
/// Uses SuperTrend indicator for trend confirmation and exits.
/// </summary>
public class ThreeKilosBtc15mStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _slowEma;
	private SuperTrend _superTrend;

	private decimal _prevFast;
	private decimal _prevSlow;
	private int _cooldownRemaining;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public ThreeKilosBtc15mStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy calculation", "General");

		_fastLength = Param(nameof(FastLength), 8)
			.SetDisplay("Fast EMA", "Fast EMA length", "Indicators")
			.SetGreaterThanZero();

		_slowLength = Param(nameof(SlowLength), 21)
			.SetDisplay("Slow EMA", "Slow EMA length", "Indicators")
			.SetGreaterThanZero();

		_cooldownBars = Param(nameof(CooldownBars), 12)
			.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();

		_fastEma = null;
		_slowEma = null;
		_superTrend = null;
		_prevFast = 0;
		_prevSlow = 0;
		_cooldownRemaining = 0;
	}

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

		_fastEma = new ExponentialMovingAverage { Length = FastLength };
		_slowEma = new ExponentialMovingAverage { Length = SlowLength };
		_superTrend = new SuperTrend { Length = 10, Multiplier = 2m };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_fastEma, _slowEma, _superTrend, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue fastVal, IIndicatorValue slowVal, IIndicatorValue stVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_fastEma.IsFormed || !_slowEma.IsFormed || !_superTrend.IsFormed)
			return;

		var fast = fastVal.ToDecimal();
		var slow = slowVal.ToDecimal();

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		// SuperTrend direction
		var isUpTrend = stVal is SuperTrendIndicatorValue sv && sv.IsUpTrend;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		// EMA crossover
		var bullCross = _prevFast > 0 && _prevFast <= _prevSlow && fast > slow;
		var bearCross = _prevFast > 0 && _prevFast >= _prevSlow && fast < slow;

		// Buy: bullish EMA cross + Supertrend uptrend
		if (bullCross && isUpTrend && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: bearish EMA cross + Supertrend downtrend
		else if (bearCross && !isUpTrend && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: Supertrend flips to downtrend
		else if (Position > 0 && !isUpTrend && bearCross)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: Supertrend flips to uptrend
		else if (Position < 0 && isUpTrend && bullCross)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}