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Momentum Cuadrático de Elliott

La estrategia Elliott's Quadratic Momentum combina múltiples indicadores SuperTrend para capturar el momentum inspirado en las ondas de Elliott.

La estrategia entra largo cuando las cuatro líneas SuperTrend señalan una tendencia alcista y entra corto cuando todas señalan una tendencia bajista. Las posiciones se cierran cuando cualquier SuperTrend revierte su dirección.

Detalles

  • Criterios de entrada: Todos los indicadores SuperTrend alineados en la misma dirección.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Cualquier SuperTrend gira contra la posición.
  • Stops: Sin stops explícitos.
  • Valores predeterminados:
    • AtrLength1 = 7
    • Multiplier1 = 4.0m
    • AtrLength2 = 14
    • Multiplier2 = 3.618m
    • AtrLength3 = 21
    • Multiplier3 = 3.5m
    • AtrLength4 = 28
    • Multiplier4 = 3.382m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: SuperTrend
    • Stops: No
    • Complejidad: Intermedio
    • Marco temporal: Intradía (5m)
    • 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>
/// Elliott's Quadratic Momentum strategy.
/// Four SuperTrend indicators with different ATR lengths and multipliers vote on the trend. When all four are up the
/// strategy goes long and when all four are down it goes short. A position closes as soon as any SuperTrend turns
/// against it.
/// </summary>
public class ElliottsQuadraticMomentumStrategy : Strategy
{
	private readonly StrategyParam<int> _atrLength1;
	private readonly StrategyParam<decimal> _multiplier1;
	private readonly StrategyParam<int> _atrLength2;
	private readonly StrategyParam<decimal> _multiplier2;
	private readonly StrategyParam<int> _atrLength3;
	private readonly StrategyParam<decimal> _multiplier3;
	private readonly StrategyParam<int> _atrLength4;
	private readonly StrategyParam<decimal> _multiplier4;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// ATR length of the first SuperTrend.
	/// </summary>
	public int AtrLength1
	{
		get => _atrLength1.Value;
		set => _atrLength1.Value = value;
	}

	/// <summary>
	/// Multiplier of the first SuperTrend.
	/// </summary>
	public decimal Multiplier1
	{
		get => _multiplier1.Value;
		set => _multiplier1.Value = value;
	}

	/// <summary>
	/// ATR length of the second SuperTrend.
	/// </summary>
	public int AtrLength2
	{
		get => _atrLength2.Value;
		set => _atrLength2.Value = value;
	}

	/// <summary>
	/// Multiplier of the second SuperTrend.
	/// </summary>
	public decimal Multiplier2
	{
		get => _multiplier2.Value;
		set => _multiplier2.Value = value;
	}

	/// <summary>
	/// ATR length of the third SuperTrend.
	/// </summary>
	public int AtrLength3
	{
		get => _atrLength3.Value;
		set => _atrLength3.Value = value;
	}

	/// <summary>
	/// Multiplier of the third SuperTrend.
	/// </summary>
	public decimal Multiplier3
	{
		get => _multiplier3.Value;
		set => _multiplier3.Value = value;
	}

	/// <summary>
	/// ATR length of the fourth SuperTrend.
	/// </summary>
	public int AtrLength4
	{
		get => _atrLength4.Value;
		set => _atrLength4.Value = value;
	}

	/// <summary>
	/// Multiplier of the fourth SuperTrend.
	/// </summary>
	public decimal Multiplier4
	{
		get => _multiplier4.Value;
		set => _multiplier4.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public ElliottsQuadraticMomentumStrategy()
	{
		_atrLength1 = Param(nameof(AtrLength1), 7)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length 1", "ATR length of the first SuperTrend", "SuperTrend 1");

		_multiplier1 = Param(nameof(Multiplier1), 4.0m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier 1", "Multiplier of the first SuperTrend", "SuperTrend 1");

		_atrLength2 = Param(nameof(AtrLength2), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length 2", "ATR length of the second SuperTrend", "SuperTrend 2");

		_multiplier2 = Param(nameof(Multiplier2), 3.618m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier 2", "Multiplier of the second SuperTrend", "SuperTrend 2");

		_atrLength3 = Param(nameof(AtrLength3), 21)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length 3", "ATR length of the third SuperTrend", "SuperTrend 3");

		_multiplier3 = Param(nameof(Multiplier3), 3.5m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier 3", "Multiplier of the third SuperTrend", "SuperTrend 3");

		_atrLength4 = Param(nameof(AtrLength4), 28)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length 4", "ATR length of the fourth SuperTrend", "SuperTrend 4");

		_multiplier4 = Param(nameof(Multiplier4), 3.382m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier 4", "Multiplier of the fourth SuperTrend", "SuperTrend 4");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var st1 = new SuperTrend { Length = AtrLength1, Multiplier = Multiplier1 };
		var st2 = new SuperTrend { Length = AtrLength2, Multiplier = Multiplier2 };
		var st3 = new SuperTrend { Length = AtrLength3, Multiplier = Multiplier3 };
		var st4 = new SuperTrend { Length = AtrLength4, Multiplier = Multiplier4 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(st1, st2, st3, st4, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, st1);
			DrawIndicator(area, st2);
			DrawIndicator(area, st3);
			DrawIndicator(area, st4);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue v1, IIndicatorValue v2, IIndicatorValue v3, IIndicatorValue v4)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!v1.IsFormed || !v2.IsFormed || !v3.IsFormed || !v4.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var up1 = ((SuperTrendIndicatorValue)v1).IsUpTrend;
		var up2 = ((SuperTrendIndicatorValue)v2).IsUpTrend;
		var up3 = ((SuperTrendIndicatorValue)v3).IsUpTrend;
		var up4 = ((SuperTrendIndicatorValue)v4).IsUpTrend;

		var allUp = up1 && up2 && up3 && up4;
		var allDown = !up1 && !up2 && !up3 && !up4;

		if (allUp && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (allDown && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && !allUp)
			SellMarket(Position);
		else if (Position < 0 && !allDown)
			BuyMarket(-Position);
	}
}