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Estrategia ICT con Indicador y Trading en Papel

Esta estrategia almacena los máximos y mínimos de los bloques de órdenes y toma posiciones largas cuando el precio de cierre cruza por encima del último máximo del bloque de órdenes. La posición larga se cierra cuando el mínimo del bloque de órdenes almacenado cruza por encima del precio.

Detalles

  • Criterios de entrada:
    • Largo: el precio de cierre cruza por encima del último máximo del bloque de órdenes.
  • Largo/Corto: Solo largos.
  • Criterios de salida:
    • Salir del largo cuando el mínimo del bloque de órdenes cruza por encima del precio.
  • Stops: No.
  • Valores predeterminados:
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame().
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Solo largos
    • Indicadores: Price action
    • Stops: No
    • Complejidad: Básico
    • Marco temporal: Intradía
    • 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>
/// Simple ICT order block strategy with paper trading exit.
/// </summary>
public class IctIndicatorWithPaperTradingStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	
	private decimal? _orderBlockHigh;
	private decimal? _orderBlockLow;
	private decimal? _prevOrderBlockHigh;
	private decimal? _prevOrderBlockLow;
	private decimal? _prevHigh;
	private decimal? _prevPrevHigh;
	private decimal? _prevLow;
	private decimal? _prevPrevLow;
	private decimal? _prevClose;
	
	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Initializes a new instance of the <see cref="IctIndicatorWithPaperTradingStrategy"/> class.
	/// </summary>
	public IctIndicatorWithPaperTradingStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles to use", "General");
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	=> [(Security, CandleType)];
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_orderBlockHigh = null;
		_orderBlockLow = null;
		_prevOrderBlockHigh = null;
		_prevOrderBlockLow = null;
		_prevHigh = null;
		_prevPrevHigh = null;
		_prevLow = null;
		_prevPrevLow = null;
		_prevClose = null;
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		StartProtection(null, null);
		
		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(ProcessCandle)
		.Start();
	}
	
	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
		return;
		
		if (_prevHigh is decimal prevHigh && _prevPrevHigh is decimal prevPrevHigh && prevHigh <= prevPrevHigh && candle.HighPrice > prevHigh)
		_orderBlockHigh = candle.HighPrice;
		
		if (_prevLow is decimal prevLow && _prevPrevLow is decimal prevPrevLow && prevLow <= prevPrevLow && candle.LowPrice > prevLow)
		_orderBlockLow = candle.LowPrice;
		
		var buySignal = _prevClose is decimal prevClose && _prevOrderBlockHigh is decimal prevObh && _orderBlockHigh is decimal obh && prevClose <= prevObh && candle.ClosePrice > obh;
		var sellSignal = _prevClose is decimal prevClose2 && _prevOrderBlockLow is decimal prevObl && _orderBlockLow is decimal obl && prevObl <= prevClose2 && obl > candle.ClosePrice;
		
		if (buySignal && Position <= 0)
		BuyMarket();
		else if (sellSignal && Position > 0)
		SellMarket();
		
		_prevPrevHigh = _prevHigh;
		_prevHigh = candle.HighPrice;
		_prevPrevLow = _prevLow;
		_prevLow = candle.LowPrice;
		_prevOrderBlockHigh = _orderBlockHigh;
		_prevOrderBlockLow = _orderBlockLow;
		_prevClose = candle.ClosePrice;
	}
}