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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
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Three Kilos BTC 15m strategy.
/// Three TEMAs (ShortPeriod, LongPeriod, Long2Period) with a Supertrend filter. A long opens when TEMA2 crosses above TEMA1 while
/// TEMA2 is above TEMA3 and the Supertrend is up; a short opens when TEMA1 crosses above TEMA2 while TEMA2 is below TEMA3 and the
/// Supertrend is down. Positions close by a percent take profit or stop loss.
/// </summary>
public class ThreeKilosBtc15mStrategy : Strategy
{
	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<int> _long2Period;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevTema1;
	private decimal? _prevTema2;

	/// <summary>
	/// Period of TEMA1.
	/// </summary>
	public int ShortPeriod
	{
		get => _shortPeriod.Value;
		set => _shortPeriod.Value = value;
	}

	/// <summary>
	/// Period of TEMA2.
	/// </summary>
	public int LongPeriod
	{
		get => _longPeriod.Value;
		set => _longPeriod.Value = value;
	}

	/// <summary>
	/// Period of TEMA3.
	/// </summary>
	public int Long2Period
	{
		get => _long2Period.Value;
		set => _long2Period.Value = value;
	}

	/// <summary>
	/// ATR length of the Supertrend.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the Supertrend.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

	/// <summary>
	/// Take profit percentage.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </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 ThreeKilosBtc15mStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Short Period", "Period of TEMA1", "Indicators");

		_longPeriod = Param(nameof(LongPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Long Period", "Period of TEMA2", "Indicators");

		_long2Period = Param(nameof(Long2Period), 140)
			.SetGreaterThanZero()
			.SetDisplay("Long2 Period", "Period of TEMA3", "Indicators");

		_atrLength = Param(nameof(AtrLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR length of the Supertrend", "Supertrend");

		_multiplier = Param(nameof(Multiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "ATR multiplier of the Supertrend", "Supertrend");

		_takeProfit = Param(nameof(TakeProfit), 1m)
			.SetNotNegative()
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_stopLoss = Param(nameof(StopLoss), 1m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_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)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTema1 = null;
		_prevTema2 = null;
	}

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

		_prevTema1 = null;
		_prevTema2 = null;

		var tema1 = new TripleExponentialMovingAverage { Length = ShortPeriod };
		var tema2 = new TripleExponentialMovingAverage { Length = LongPeriod };
		var tema3 = new TripleExponentialMovingAverage { Length = Long2Period };
		var superTrend = new SuperTrend { Length = AtrLength, Multiplier = Multiplier };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(tema1, tema2, tema3, superTrend, ProcessCandle)
			.Start();

		StartProtection(new Unit(TakeProfit, UnitTypes.Percent), new Unit(StopLoss, UnitTypes.Percent), useMarketOrders: true);

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, tema1);
			DrawIndicator(area, tema2);
			DrawIndicator(area, tema3);
			DrawIndicator(area, superTrend);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue tema1Value, IIndicatorValue tema2Value, IIndicatorValue tema3Value, IIndicatorValue superTrendValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!tema1Value.IsFormed || !tema2Value.IsFormed || !tema3Value.IsFormed || !superTrendValue.IsFormed)
			return;

		var tema1 = tema1Value.ToDecimal();
		var tema2 = tema2Value.ToDecimal();
		var tema3 = tema3Value.ToDecimal();
		var isUpTrend = ((SuperTrendIndicatorValue)superTrendValue).IsUpTrend;

		var prevTema1 = _prevTema1;
		var prevTema2 = _prevTema2;
		_prevTema1 = tema1;
		_prevTema2 = tema2;

		if (prevTema1 is not decimal p1 || prevTema2 is not decimal p2)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var tema2CrossesUp = p2 <= p1 && tema2 > tema1;
		var tema1CrossesUp = p1 <= p2 && tema1 > tema2;

		if (tema2CrossesUp && tema2 > tema3 && isUpTrend && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (tema1CrossesUp && tema2 < tema3 && !isUpTrend && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}