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Estrategia SMI Ergódica Adaptativa

La estrategia SMI Ergódica Adaptativa utiliza el oscilador True Strength Index (TSI) con una línea de señal EMA para detectar reversiones desde extremos de sobrecompra o sobreventa. Se abre una posición larga cuando el TSI cruza por encima del umbral de sobreventa mientras se mantiene por encima de su línea de señal. Se abre una posición corta cuando el TSI cruza por debajo del umbral de sobrecompra y está por debajo de la línea de señal.

Detalles

  • Criterios de entrada:
    • TSI cruza por encima de sobreventa y TSI > señal (largo).
    • TSI cruza por debajo de sobrecompra y TSI < señal (corto).
  • Largo/Corto: Ambos.
  • Criterios de salida:
    • La señal inversa activa la operación opuesta.
  • Stops: Ninguno.
  • Valores predeterminados:
    • LongLength = 12
    • ShortLength = 5
    • SignalLength = 5
    • OversoldThreshold = -0.4
    • OverboughtThreshold = 0.4
  • Filtros:
    • Categoría: Oscilador de momentum
    • Dirección: Largo/Corto
    • Indicadores: True Strength Index, EMA
    • Stops: No
    • Complejidad: Bajo
    • Marco temporal: Cualquiera
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Bajo
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>
/// Adaptive SMI Ergodic Strategy - uses True Strength Index crossovers with signal line confirmation.
/// </summary>
public class AdaptiveSmiErgodicStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _firstLength;
	private readonly StrategyParam<int> _secondLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _oversoldThreshold;
	private readonly StrategyParam<decimal> _overboughtThreshold;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _previousTsi;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FirstLength { get => _firstLength.Value; set => _firstLength.Value = value; }
	public int SecondLength { get => _secondLength.Value; set => _secondLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public decimal OversoldThreshold { get => _oversoldThreshold.Value; set => _oversoldThreshold.Value = value; }
	public decimal OverboughtThreshold { get => _overboughtThreshold.Value; set => _overboughtThreshold.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

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

		_firstLength = Param(nameof(FirstLength), 25)
			.SetGreaterThanZero()
			.SetDisplay("First Length", "First smoothing length for TSI", "TSI")
			.SetOptimize(10, 30, 5);

		_secondLength = Param(nameof(SecondLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("Second Length", "Second smoothing length for TSI", "TSI")
			.SetOptimize(5, 20, 3);

		_signalLength = Param(nameof(SignalLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Signal EMA length", "TSI")
			.SetOptimize(3, 15, 2);

		_oversoldThreshold = Param(nameof(OversoldThreshold), -10m)
			.SetDisplay("Oversold Threshold", "Oversold level for TSI", "TSI");

		_overboughtThreshold = Param(nameof(OverboughtThreshold), 10m)
			.SetDisplay("Overbought Threshold", "Overbought level for TSI", "TSI");

		_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();
		_previousTsi = 0;
		_cooldownRemaining = 0;
	}

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

		_previousTsi = 0;

		var tsi = new TrueStrengthIndex
		{
			FirstLength = FirstLength,
			SecondLength = SecondLength,
			SignalLength = SignalLength
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(tsi, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var tv = (ITrueStrengthIndexValue)tsiValue;

		if (tv.Tsi is not decimal tsiVal || tv.Signal is not decimal signalVal)
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_previousTsi = tsiVal;
			return;
		}

		var crossAboveOversold = _previousTsi <= OversoldThreshold && tsiVal > OversoldThreshold;
		var crossBelowOverbought = _previousTsi >= OverboughtThreshold && tsiVal < OverboughtThreshold;

		if (crossAboveOversold && tsiVal > signalVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (crossBelowOverbought && tsiVal < signalVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_previousTsi = tsiVal;
	}
}