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Estrategia de Reversión IBS de Rango Promedio Alto-Bajo

Esta estrategia busca la reversión a la media después de que el precio se ha mantenido por debajo de un umbral dinámico derivado del rango promedio alto-bajo. Calcula la media móvil del rango de la barra, el máximo más alto y el mínimo más bajo durante el período de referencia. Un umbral de compra se define como el máximo más alto menos 2.5 veces el rango promedio. Cuando el precio permanece por debajo de este nivel durante un número especificado de barras y la fuerza intrabarra (IBS) está por debajo de un límite dado dentro de la ventana de trading, se abre una posición larga. La posición se cierra si el cierre supera el máximo de la barra anterior.

Detalles

  • Criterios de entrada:
    • El precio se ha mantenido por debajo del umbral de compra durante BarsBelowThreshold barras.
    • IBS < IbsBuyThreshold.
    • Hora entre StartTime y EndTime.
  • Largo/Corto: Solo largos.
  • Criterios de salida:
    • El precio de cierre supera el máximo de la barra anterior.
  • Stops: Ninguno.
  • Valores predeterminados:
    • Length = 20
    • BarsBelowThreshold = 2
    • IbsBuyThreshold = 0.2
  • Filtros:
    • Categoría: Reversión a la media
    • Dirección: Largo
    • Indicadores: SMA, Highest, Lowest
    • Stops: No
    • Complejidad: Bajo
    • Marco temporal: Cualquiera
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Bajo
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>
/// Average high-low range IBS reversal strategy.
/// The buy threshold is the highest high of the last Length candles minus 2.5 times the SMA of the candle range over Length
/// candles. When the close has stayed below that threshold for BarsBelowThreshold consecutive candles and the internal bar
/// strength (close - low) / (high - low) is below IbsBuyThreshold, a long opens, provided the candle lies between StartTime and
/// EndTime. The long closes when a close exceeds the previous candle's high. Long only.
/// </summary>
public class AverageHighLowRangeIbsReversalStrategy : Strategy
{
	private const decimal _rangeMultiplier = 2.5m;

	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<int> _barsBelowThreshold;
	private readonly StrategyParam<decimal> _ibsBuyThreshold;
	private readonly StrategyParam<DateTime> _startTime;
	private readonly StrategyParam<DateTime> _endTime;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _rangeAverage;
	private int _barsBelow;
	private decimal? _prevHigh;

	/// <summary>
	/// Lookback of the range average and the highest high.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Consecutive closes below the threshold required for an entry.
	/// </summary>
	public int BarsBelowThreshold
	{
		get => _barsBelowThreshold.Value;
		set => _barsBelowThreshold.Value = value;
	}

	/// <summary>
	/// Maximum internal bar strength for an entry.
	/// </summary>
	public decimal IbsBuyThreshold
	{
		get => _ibsBuyThreshold.Value;
		set => _ibsBuyThreshold.Value = value;
	}

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

	/// <summary>
	/// End of the trading window.
	/// </summary>
	public DateTime 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 AverageHighLowRangeIbsReversalStrategy()
	{
		_length = Param(nameof(Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Lookback of the range average and the highest high", "Indicators");

		_barsBelowThreshold = Param(nameof(BarsBelowThreshold), 2)
			.SetGreaterThanZero()
			.SetDisplay("Bars Below Threshold", "Consecutive closes below the threshold required for an entry", "Signals");

		_ibsBuyThreshold = Param(nameof(IbsBuyThreshold), 0.2m)
			.SetDisplay("IBS Buy Threshold", "Maximum internal bar strength for an entry", "Signals");

		_startTime = Param(nameof(StartTime), new DateTime(2000, 1, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("Start Time", "Start of the trading window", "Time");

		_endTime = Param(nameof(EndTime), new DateTime(2100, 1, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("End Time", "End of the trading window", "Time");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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();
		_rangeAverage = null;
		_barsBelow = 0;
		_prevHigh = null;
	}

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

		_barsBelow = 0;
		_prevHigh = null;

		var highest = new Highest { Length = Length };
		_rangeAverage = new SimpleMovingAverage { Length = Length };

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

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

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

		var range = candle.HighPrice - candle.LowPrice;
		var averageRange = _rangeAverage.Process(range, candle.ServerTime, true).ToDecimal();

		var prevHigh = _prevHigh;
		_prevHigh = candle.HighPrice;

		if (!_rangeAverage.IsFormed)
			return;

		var close = candle.ClosePrice;
		var threshold = highest - _rangeMultiplier * averageRange;
		_barsBelow = close < threshold ? _barsBelow + 1 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (prevHigh is decimal ph && close > ph)
				SellMarket(Position);

			return;
		}

		var ibs = range > 0m ? (close - candle.LowPrice) / range : 0.5m;
		var inWindow = candle.OpenTime >= StartTime && candle.OpenTime <= EndTime;

		if (Position == 0 && inWindow && _barsBelow >= BarsBelowThreshold && ibs < IbsBuyThreshold)
			BuyMarket(Volume);
	}
}