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Estrategia 80-20

La estrategia detecta velas donde el precio cierra en el 20% superior o inferior de la sesión. Una señal alcista ocurre cuando el cierre está dentro del quinto superior y la apertura está dentro del quinto inferior del rango. Una señal bajista ocurre cuando la apertura está dentro del quinto superior y el cierre está dentro del quinto inferior. El enfoque busca capturar reversiones rápidas desde cierres extremos de vela.

Detalles

  • Criterios de entrada:
    • Cierre en el 20% superior y apertura en el 20% inferior → largo.
    • Apertura en el 20% superior y cierre en el 20% inferior → corto.
  • Largo/Corto: Ambos.
  • Criterios de salida:
    • Una señal opuesta revierte la posición.
  • Stops: Ninguno.
  • Valores predeterminados:
    • Range percent = 0.2.
  • Filtros:
    • Categoría: Patrón
    • Dirección: Ambos
    • Indicadores: Ninguno
    • Stops: No
    • 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>
/// 80-20 strategy - trades when price closes near extremes of the candle.
/// Buys on strong bullish candles (close near high, open near low).
/// Sells on strong bearish candles (open near high, close near low).
/// Uses EMA as trend filter.
/// </summary>
public class EightyTwentyStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _rangePercent;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal RangePercent { get => _rangePercent.Value; set => _rangePercent.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

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

		_rangePercent = Param(nameof(RangePercent), 0.2m)
			.SetDisplay("Range Percent", "Fraction of candle range for trigger zone", "General");

		_emaLength = Param(nameof(EmaLength), 20)
			.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();
		_ema = null;
		_cooldownRemaining = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var range = candle.HighPrice - candle.LowPrice;
		if (range <= 0)
			return;

		var offset = RangePercent * range;

		var triggerGreen = candle.ClosePrice >= candle.HighPrice - offset &&
			candle.OpenPrice <= candle.LowPrice + offset;

		var triggerRed = candle.OpenPrice >= candle.HighPrice - offset &&
			candle.ClosePrice <= candle.LowPrice + offset;

		if (triggerGreen && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (triggerRed && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
	}
}