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Estrategia ICT Master Suite Trading IQ

La estrategia ICT Master Suite opera rupturas del máximo y mínimo de la sesión diaria. Cuando el precio cierra por encima del máximo de la sesión, la estrategia entra en una posición larga; cuando el precio cierra por debajo del mínimo de la sesión, entra en una posición corta. Las posiciones se gestionan con un stop trailing basado en ATR.

Detalles

  • Criterios de entrada:
    • El precio cierra por encima del máximo de la sesión actual (largo).
    • El precio cierra por debajo del mínimo de la sesión actual (corto).
  • Largo/Corto: Largo y Corto.
  • Criterios de salida:
    • Stop trailing basado en ATR.
  • Stops: Stop trailing por ATR.
  • Valores predeterminados:
    • AtrPeriod = 14
    • AtrMultiplier = 1.5
    • AllowLong = true
    • AllowShort = true
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: ATR
    • Stops: Sí
    • Complejidad: Bajo
    • 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>
/// ICT Master Suite session breakout strategy.
/// Trades breakouts of the daily session high and low with ATR-based trailing stop.
/// </summary>
public class IctMasterSuiteTradingIqStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<bool> _allowLong;
	private readonly StrategyParam<bool> _allowShort;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _sessionHigh;
	private decimal _sessionLow;
	private DateTime _sessionDate;
	private decimal _entryPrice;
	private decimal _stopPrice;

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Allow long trades.
	/// </summary>
	public bool AllowLong
	{
		get => _allowLong.Value;
		set => _allowLong.Value = value;
	}

	/// <summary>
	/// Allow short trades.
	/// </summary>
	public bool AllowShort
	{
		get => _allowShort.Value;
		set => _allowShort.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public IctMasterSuiteTradingIqStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR calculation period", "Risk Management")
			
			.SetOptimize(5, 30, 1);

		_atrMultiplier = Param(nameof(AtrMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for stop", "Risk Management")
			
			.SetOptimize(1m, 3m, 0.5m);

		_allowLong = Param(nameof(AllowLong), true)
			.SetDisplay("Allow Long", "Enable long trades", "General");

		_allowShort = Param(nameof(AllowShort), true)
			.SetDisplay("Allow Short", "Enable short trades", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_sessionHigh = 0m;
		_sessionLow = 0m;
		_sessionDate = default;
		_entryPrice = 0m;
		_stopPrice = 0m;
	}

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

		var atr = new ATR { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription.Bind(atr, (candle, atrValue) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (_sessionDate != candle.OpenTime.Date)
			{
				_sessionDate = candle.OpenTime.Date;
				_sessionHigh = candle.HighPrice;
				_sessionLow = candle.LowPrice;
				return;
			}

			if (Position <= 0 && AllowLong && candle.ClosePrice > _sessionHigh)
			{
				_entryPrice = candle.ClosePrice;
				_stopPrice = _entryPrice - atrValue * AtrMultiplier;
				BuyMarket();
				return;
			}

			if (Position >= 0 && AllowShort && candle.ClosePrice < _sessionLow)
			{
				_entryPrice = candle.ClosePrice;
				_stopPrice = _entryPrice + atrValue * AtrMultiplier;
				SellMarket();
				return;
			}

			_sessionHigh = Math.Max(_sessionHigh, candle.HighPrice);
			_sessionLow = Math.Min(_sessionLow, candle.LowPrice);

			if (Position > 0)
			{
				var newStop = candle.ClosePrice - atrValue * AtrMultiplier;
				if (newStop > _stopPrice)
					_stopPrice = newStop;

				if (candle.LowPrice <= _stopPrice)
					SellMarket();
			}
			else if (Position < 0)
			{
				var newStop = candle.ClosePrice + atrValue * AtrMultiplier;
				if (newStop < _stopPrice)
					_stopPrice = newStop;

				if (candle.HighPrice >= _stopPrice)
					BuyMarket();
			}
		}).Start();

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