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Estrategia Williams Alligator ATR

Esta estrategia utiliza el indicador Williams Alligator combinado con un stop-loss basado en ATR. Se abre una posición larga cuando la línea Lips cruza por encima de la línea Jaw. La posición se cierra cuando Lips cruza por debajo de Jaw o cuando el precio cae hasta un nivel de stop basado en ATR.

Detalles

  • Criterios de entrada: Lips cruza por encima de Jaw.
  • Criterios de salida: Lips cruza por debajo de Jaw o stop-loss por ATR.
  • Indicadores: Smoothed Moving Averages, Average True Range.
  • Tipo: Solo largos.
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>
/// Williams Alligator strategy with ATR-based stop-loss.
/// Uses three smoothed moving averages (Jaw, Teeth, Lips) for trend detection.
/// </summary>
public class WilliamsAlligatorAtrStrategy : Strategy
{
	private readonly StrategyParam<int> _jawLength;
	private readonly StrategyParam<int> _teethLength;
	private readonly StrategyParam<int> _lipsLength;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private bool _prevLipsAboveJaw;
	private bool _prevLipsBelowJaw;
	private bool _isInitialized;
	private decimal _entryPrice;
	private int _cooldownRemaining;

	public int JawLength { get => _jawLength.Value; set => _jawLength.Value = value; }
	public int TeethLength { get => _teethLength.Value; set => _teethLength.Value = value; }
	public int LipsLength { get => _lipsLength.Value; set => _lipsLength.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public WilliamsAlligatorAtrStrategy()
	{
		_jawLength = Param(nameof(JawLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("Jaw Length", "Alligator jaw period", "Alligator");

		_teethLength = Param(nameof(TeethLength), 8)
			.SetGreaterThanZero()
			.SetDisplay("Teeth Length", "Alligator teeth period", "Alligator");

		_lipsLength = Param(nameof(LipsLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Lips Length", "Alligator lips period", "Alligator");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for stop-loss", "ATR");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for stop-loss", "ATR");

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

		_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();
		_prevLipsAboveJaw = false;
		_prevLipsBelowJaw = false;
		_isInitialized = false;
		_entryPrice = 0m;
		_cooldownRemaining = 0;
	}

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

		var jaw = new SmoothedMovingAverage { Length = JawLength };
		var lips = new SmoothedMovingAverage { Length = LipsLength };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(jaw, lips, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevLipsAboveJaw = lipsVal > jawVal;
			_prevLipsBelowJaw = lipsVal < jawVal;
			_isInitialized = true;
			return;
		}

		if (!_isInitialized)
		{
			_prevLipsAboveJaw = lipsVal > jawVal;
			_prevLipsBelowJaw = lipsVal < jawVal;
			_isInitialized = true;
			return;
		}

		var lipsAboveJaw = lipsVal > jawVal;
		var lipsBelowJaw = lipsVal < jawVal;

		// Check ATR stop for existing positions
		if (Position > 0 && _entryPrice > 0 && atrVal > 0)
		{
			if (candle.ClosePrice <= _entryPrice - AtrMultiplier * atrVal)
			{
				SellMarket(Math.Abs(Position));
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
				_prevLipsAboveJaw = lipsAboveJaw;
				_prevLipsBelowJaw = lipsBelowJaw;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0 && atrVal > 0)
		{
			if (candle.ClosePrice >= _entryPrice + AtrMultiplier * atrVal)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
				_prevLipsAboveJaw = lipsAboveJaw;
				_prevLipsBelowJaw = lipsBelowJaw;
				return;
			}
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevLipsAboveJaw = lipsAboveJaw;
			_prevLipsBelowJaw = lipsBelowJaw;
			return;
		}

		// Long entry: lips crosses above jaw
		if (!_prevLipsAboveJaw && lipsAboveJaw && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = candle.ClosePrice;
			_cooldownRemaining = CooldownBars;
		}
		// Short entry: lips crosses below jaw
		else if (!_prevLipsBelowJaw && lipsBelowJaw && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = candle.ClosePrice;
			_cooldownRemaining = CooldownBars;
		}

		_prevLipsAboveJaw = lipsAboveJaw;
		_prevLipsBelowJaw = lipsBelowJaw;
	}
}