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Estrategia de Rompimiento de Nube Ichimoku Solo Largos

La estrategia abre posiciones largas cuando el precio rompe por encima de la nube Ichimoku y sale cuando el precio cae de nuevo por debajo de ella. Solo se realizan operaciones largas.

Detalles

  • Criterios de entrada:
    • Largo: Close cruza por encima de max(SenkouA, SenkouB)
  • Largo/Corto: Solo largos
  • Criterios de salida:
    • Close cruza por debajo de min(SenkouA, SenkouB)
  • Stops: Ninguno
  • Valores predeterminados:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Solo largos
    • Indicadores: Ichimoku
    • Stops: No
    • Complejidad: Básico
    • 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>
/// Ichimoku cloud breakout (long only) strategy.
/// A long opens when the close crosses above the top of the Ichimoku cloud, max(SenkouA, SenkouB), and closes when the close crosses
/// below the bottom of the cloud, min(SenkouA, SenkouB). There are no stops.
/// </summary>
public class IchimokuCloudBreakoutOnlyLongStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevClose;
	private decimal? _prevTop;
	private decimal? _prevBottom;

	/// <summary>
	/// Tenkan-sen period.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}

	/// <summary>
	/// Kijun-sen period.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}

	/// <summary>
	/// Senkou Span B period.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public IchimokuCloudBreakoutOnlyLongStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Tenkan-sen period", "Ichimoku");

		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Kijun-sen period", "Ichimoku");

		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Senkou Span B period", "Ichimoku");

		_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();
		ResetState();
	}

	private void ResetState()
	{
		_prevClose = null;
		_prevTop = null;
		_prevBottom = null;
	}

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

		ResetState();

		var ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod },
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ichimoku, ProcessCandle)
			.Start();

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

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

		if (!ichimokuValue.IsFormed || ichimokuValue is not IchimokuValue { SenkouA: decimal senkouA, SenkouB: decimal senkouB })
			return;

		var close = candle.ClosePrice;
		var top = Math.Max(senkouA, senkouB);
		var bottom = Math.Min(senkouA, senkouB);

		var prevClose = _prevClose;
		var prevTop = _prevTop;
		var prevBottom = _prevBottom;
		_prevClose = close;
		_prevTop = top;
		_prevBottom = bottom;

		if (prevClose is not decimal pc || prevTop is not decimal pt || prevBottom is not decimal pb)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position <= 0 && pc <= pt && close > top)
			BuyMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && pc >= pb && close < bottom)
			SellMarket(Position);
	}
}