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Estrategia de Reversión de Momentum de Cuatro Barras

La estrategia de Reversión de Momentum de Cuatro Barras entra en largo cuando el cierre ha estado por debajo del cierre de hace Lookback barras durante al menos BuyThreshold velas consecutivas dentro de la ventana de tiempo seleccionada. La posición se cierra una vez que el precio rompe por encima del máximo de la vela anterior.

Detalles

  • Criterios de entrada: BuyThreshold cierres consecutivos por debajo del cierre de hace Lookback barras dentro de la ventana de tiempo.
  • Criterios de salida: Precio de cierre mayor que el máximo de la vela anterior.
  • Stops: Ninguno.
  • Valores predeterminados:
    • BuyThreshold = 4
    • Lookback = 4
    • StartTime = 2014-01-01
    • EndTime = 2099-01-01
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Four Bar Momentum Reversal strategy.
/// Counts consecutive candles whose close is below the close from Lookback bars ago. Once the count reaches BuyThreshold inside the
/// StartTime..EndTime window the strategy buys, and it closes the long when the close breaks above the previous candle high.
/// </summary>
public class FourBarMomentumReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _buyThreshold;
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<DateTimeOffset> _startTime;
	private readonly StrategyParam<DateTimeOffset> _endTime;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closes = [];
	private int _belowCount;
	private decimal? _prevHigh;

	/// <summary>
	/// Consecutive closes below the reference close required to buy.
	/// </summary>
	public int BuyThreshold
	{
		get => _buyThreshold.Value;
		set => _buyThreshold.Value = value;
	}

	/// <summary>
	/// How many bars back the reference close is taken.
	/// </summary>
	public int Lookback
	{
		get => _lookback.Value;
		set => _lookback.Value = value;
	}

	/// <summary>
	/// Beginning of the trading window.
	/// </summary>
	public DateTimeOffset StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// End of the trading window.
	/// </summary>
	public DateTimeOffset EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public FourBarMomentumReversalStrategy()
	{
		_buyThreshold = Param(nameof(BuyThreshold), 4)
			.SetGreaterThanZero()
			.SetDisplay("Buy Threshold", "Consecutive closes below the reference close required to buy", "Strategy");

		_lookback = Param(nameof(Lookback), 4)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "How many bars back the reference close is taken", "Strategy");

		_startTime = Param(nameof(StartTime), new DateTimeOffset(2014, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Start Time", "Beginning of the trading window", "General");

		_endTime = Param(nameof(EndTime), new DateTimeOffset(2099, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("End Time", "End of the trading window", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).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();
		_closes.Clear();
		_belowCount = 0;
		_prevHigh = null;
	}

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

		_closes.Clear();
		_belowCount = 0;
		_prevHigh = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var close = candle.ClosePrice;
		var prevHigh = _prevHigh;
		_prevHigh = candle.HighPrice;

		// _closes holds the previous Lookback closes, so its first element is the close from Lookback bars ago.
		var ready = _closes.Count >= Lookback;
		if (ready)
			_belowCount = close < _closes[0] ? _belowCount + 1 : 0;

		_closes.Add(close);
		if (_closes.Count > Lookback)
			_closes.RemoveAt(0);

		if (!ready || !IsFormedAndOnlineAndAllowTrading())
			return;

		var inWindow = candle.OpenTime >= StartTime.UtcDateTime && candle.OpenTime <= EndTime.UtcDateTime;

		if (Position == 0 && inWindow && _belowCount >= BuyThreshold)
			BuyMarket(Volume);
		else if (Position > 0 && prevHigh is decimal high && close > high)
			SellMarket(Position);
	}
}