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Estrategia de Barra de Reversión Alcista

Implementación de la estrategia - Barra de Reversión Alcista. Entra en largo cuando se forma una barra de reversión alcista por debajo de las líneas del Alligator y el precio rompe por encima del máximo de la barra. Los filtros opcionales pueden habilitar el Awesome Oscillator y las barras squat del Market Facilitation Index.

La configuración busca un nuevo mínimo que cierre en la mitad superior de la vela mientras la tendencia se vuelve alcista. La confirmación llega cuando el precio supera el máximo de la barra.

Detalles

  • Criterios de entrada:
    • Largo: bullish reversal bar && close > confirmation level
  • Largo/Corto: Solo largos
  • Criterios de salida:
    • Stop-loss en el mínimo de la barra o cuando la tendencia gira a la baja
  • Stops: Mínimo de la barra almacenado en _stopLoss
  • Valores predeterminados:
    • EnableAo = false
    • EnableMfi = false
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Largo
    • Indicadores: Alligator, Awesome Oscillator, Market Facilitation Index
    • Stops: Sí
    • Complejidad: Avanzado
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Confirms a bullish reversal below the shifted Alligator with a later close above its high.
/// Optional AO and MFI squat filters qualify the setup; its low protects the long position.
/// </summary>
public class BullishReversalBarStrategy : Strategy
{
	private readonly StrategyParam<bool> _enableAo;
	private readonly StrategyParam<bool> _enableMfi;
	private readonly StrategyParam<DataType> _candleType;
	private Alligator _alligator;
	private AwesomeOscillator _ao;
	private MarketFacilitationIndex _mfi;
	private decimal? _previousLow, _previousLips, _previousAo, _previousMfi;
	private decimal _previousVolume;
	private (decimal High, decimal Low)? _pending;
	private decimal _stopLoss;
	private bool _exitPending;

	public bool EnableAo { get => _enableAo.Value; set => _enableAo.Value = value; }
	public bool EnableMfi { get => _enableMfi.Value; set => _enableMfi.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BullishReversalBarStrategy()
	{
		_enableAo = Param(nameof(EnableAo), false);
		_enableMfi = Param(nameof(EnableMfi), false);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
		_alligator = null;
		_ao = null;
		_mfi = null;
	}

	private void ResetState()
	{
		_previousLow = _previousLips = _previousAo = _previousMfi = null;
		_previousVolume = _stopLoss = 0m;
		_pending = null;
		_exitPending = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ResetState();
		_alligator = new Alligator();
		_ao = EnableAo ? new AwesomeOscillator() : null;
		_mfi = EnableMfi ? new MarketFacilitationIndex() : null;
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(_alligator, (candle, value) => ProcessCandle(candle, (IAlligatorValue)value), true).Start();
		var quotes = new Subscription(DataType.Level1, Security);
		quotes.MarketData.BuildField = Level1Fields.BestBidPrice;
		SubscribeLevel1(quotes).Bind(ProcessQuote).Start();

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

	private static decimal? ProcessFilter(IIndicator indicator, ICandleMessage candle)
	{
		if (indicator == null)
			return null;
		var value = indicator.Process(new CandleIndicatorValue(indicator, candle));
		return indicator.IsFormed && !value.IsEmpty ? value.GetValue<decimal>() : null;
	}

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

		var previousLow = _previousLow;
		var previousLips = _previousLips;
		var previousAo = _previousAo;
		var previousMfi = _previousMfi;
		var previousVolume = _previousVolume;
		var ao = ProcessFilter(_ao, candle);
		var mfi = ProcessFilter(_mfi, candle);
		_previousLow = candle.LowPrice;
		_previousLips = value.Lips;
		_previousAo = ao;
		_previousMfi = mfi;
		_previousVolume = candle.TotalVolume;

		if (value.Jaw is not decimal jaw || value.Teeth is not decimal teeth || value.Lips is not decimal lips
			|| !IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0m)
		{
			if (candle.LowPrice <= _stopLoss || lips < previousLips)
				CloseLong();
			return;
		}
		if (Position != 0m)
			return;
		_exitPending = false;

		// A setup is invalidated before confirmation if its low has already been touched.
		if (_pending is { } invalidated && candle.LowPrice <= invalidated.Low)
			_pending = null;
		if (_pending is { } confirmation && candle.ClosePrice > confirmation.High)
		{
			_stopLoss = confirmation.Low;
			_pending = null;
			BuyMarket();
			return;
		}

		var median = (candle.HighPrice + candle.LowPrice) / 2m;
		var reversal = candle.LowPrice < previousLow && candle.ClosePrice > median
			&& candle.HighPrice < Math.Min(jaw, Math.Min(teeth, lips)) && lips > previousLips;
		var aoFilter = !EnableAo || ao is decimal a && previousAo is decimal pa && a > pa;
		var squat = !EnableMfi || mfi is decimal m && previousMfi is decimal pm && m < pm && candle.TotalVolume > previousVolume;
		if (reversal && aoFilter && squat)
			_pending = (candle.HighPrice, candle.LowPrice);
	}

	private void ProcessQuote(Level1ChangeMessage message)
	{
		if (Position == 0m)
		{
			_exitPending = false;
			return;
		}
		if (Position > 0m && _stopLoss > 0m
			&& message.TryGetDecimal(Level1Fields.BestBidPrice) is decimal bid && bid <= _stopLoss)
			CloseLong();
	}

	private void CloseLong()
	{
		if (_exitPending || Position <= 0m)
			return;
		_exitPending = true;
		SellMarket(Position);
	}
}