Español ES
Ver en GitHub

Estrategia Berlin Candles

Estrategia que utiliza velas Berlin personalizadas derivadas de valores Heikin Ashi suavizados. Se abre una posición larga cuando una vela Berlin alcista cierra por encima de la línea base de Donchian. Se abre una posición corta cuando una vela Berlin bajista cierra por debajo de la línea base.

Detalles

  • Criterios de entrada:
    • Largo: cierre Berlin > apertura Berlin y cierre Berlin > línea base.
    • Corto: cierre Berlin < apertura Berlin y cierre Berlin < línea base.
  • Largo/Corto: Ambos
  • Stops: Ninguno por defecto
  • Valores predeterminados:
    • Smoothing = 1
    • BaselinePeriod = 26
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Berlin candles with Donchian baseline.
/// </summary>
public class BerlinCandlesStrategy : Strategy
{
	private readonly StrategyParam<int> _smoothing;
	private readonly StrategyParam<int> _baselinePeriod;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _ema;
	private DonchianChannels _donchian;
	private decimal _prevEma;
	private bool _isInitialized;
	private int _cooldown;

	public int Smoothing
	{
		get => _smoothing.Value;
		set => _smoothing.Value = value;
	}

	public int BaselinePeriod
	{
		get => _baselinePeriod.Value;
		set => _baselinePeriod.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public BerlinCandlesStrategy()
	{
		_smoothing = Param(nameof(Smoothing), 1)
			.SetDisplay("Smoothing", "EMA smoothing for Berlin open", "Berlin")
			.SetOptimize(1, 10, 1);

		_baselinePeriod = Param(nameof(BaselinePeriod), 26)
			.SetDisplay("Baseline Period", "Donchian baseline period", "Berlin")
			.SetOptimize(10, 50, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevEma = default;
		_isInitialized = false;
		_cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_ema = new ExponentialMovingAverage { Length = Smoothing + 1 };
		_donchian = new DonchianChannels { Length = BaselinePeriod };

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

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

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

		// Manually process Donchian
		var donchianResult = _donchian.Process(candle);
		if (donchianResult is not DonchianChannelsValue dv || dv.Middle is not decimal middleBand)
			return;

		if (!_isInitialized)
		{
			_prevEma = emaValue;
			_isInitialized = true;
			return;
		}

		var openExpr = _prevEma;
		var closeExpr = candle.ClosePrice;

		decimal openValue;
		decimal closeValue;

		if (openExpr > closeExpr)
		{
			openValue = Math.Min(openExpr, candle.HighPrice);
			closeValue = Math.Max(closeExpr, candle.LowPrice);
		}
		else
		{
			openValue = Math.Max(openExpr, candle.LowPrice);
			closeValue = Math.Min(closeExpr, candle.HighPrice);
		}

		var baseline = middleBand;

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevEma = emaValue;
			return;
		}

		if (closeValue > openValue && closeValue > baseline && Position <= 0)
		{
			BuyMarket();
			_cooldown = 100;
		}
		else if (closeValue < openValue && closeValue < baseline && Position >= 0)
		{
			SellMarket();
			_cooldown = 100;
		}

		_prevEma = emaValue;
	}
}