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Estrategia IU BBB de Barra de Gran Cuerpo

Esta estrategia entra cuando el cuerpo de la vela actual es varias veces mayor que el tamaño promedio del cuerpo de las últimas 20 velas. Una gran vela alcista abre una posición larga, mientras que una gran vela bajista abre una corta. Las posiciones están protegidas con un stop dinámico basado en ATR.

Detalles

  • Criterios de entrada:
    • Largo: cuerpo > cuerpo promedio * BigBodyThreshold y cierre > apertura.
    • Corto: cuerpo > cuerpo promedio * BigBodyThreshold y cierre < apertura.
  • Largo/Corto: Ambos.
  • Criterios de salida: Stop dinámico ATR.
  • Stops: Stop dinámico usando ATR * AtrFactor.
  • Valores predeterminados:
    • BigBodyThreshold = 4
    • AtrLength = 14
    • AtrFactor = 2
    • CandleType = 5 minute
  • Filtros:
    • Categoría: Momentum
    • Dirección: Ambos
    • Indicadores: SMA, ATR
    • Stops: Sí
    • 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>
/// Big body bar strategy with ATR trailing stop.
/// </summary>
public class IuBbbBigBodyBarStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _bigBodyThreshold;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrFactor;

	private decimal _sumBody;
	private int _bodyCount;
	private decimal? _atrStop;
	private decimal _entryPrice;

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

	/// <summary>
	/// Big body threshold multiplier.
	/// </summary>
	public decimal BigBodyThreshold { get => _bigBodyThreshold.Value; set => _bigBodyThreshold.Value = value; }

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

	/// <summary>
	/// ATR factor for trailing stop.
	/// </summary>
	public decimal AtrFactor { get => _atrFactor.Value; set => _atrFactor.Value = value; }

	/// <summary>
	/// Initializes a new instance of <see cref="IuBbbBigBodyBarStrategy"/>.
	/// </summary>
	public IuBbbBigBodyBarStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use.", "General");

		_bigBodyThreshold = Param(nameof(BigBodyThreshold), 1.5m)
			.SetDisplay("Big Body Threshold", "Multiplier of average body.", "Parameters");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Period", "ATR indicator period.", "Indicators");

		_atrFactor = Param(nameof(AtrFactor), 2m)
			.SetDisplay("ATR Factor", "ATR multiplier for trailing stop.", "Risk Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_sumBody = 0m;
		_bodyCount = 0;
		_atrStop = null;
		_entryPrice = 0m;
	}

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

		_sumBody = 0m;
		_bodyCount = 0;
		_atrStop = null;
		_entryPrice = 0m;

		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, ProcessCandle)
			.Start();

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

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

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		// Track running average of body sizes
		_sumBody += body;
		_bodyCount++;
		var avgBody = _sumBody / _bodyCount;

		if (_bodyCount < 20 || avgBody <= 0m)
			return;

		var longCond = body > avgBody * BigBodyThreshold && candle.ClosePrice > candle.OpenPrice;
		var shortCond = body > avgBody * BigBodyThreshold && candle.ClosePrice < candle.OpenPrice;

		// Exit logic first
		if (Position > 0)
		{
			if (_atrStop is null)
				_atrStop = _entryPrice - atr * AtrFactor;
			else
				_atrStop = Math.Max(_atrStop.Value, candle.ClosePrice - atr * AtrFactor);

			if (candle.LowPrice <= _atrStop)
			{
				SellMarket();
				_atrStop = null;
			}
			return;
		}
		else if (Position < 0)
		{
			if (_atrStop is null)
				_atrStop = _entryPrice + atr * AtrFactor;
			else
				_atrStop = Math.Min(_atrStop.Value, candle.ClosePrice + atr * AtrFactor);

			if (candle.HighPrice >= _atrStop)
			{
				BuyMarket();
				_atrStop = null;
			}
			return;
		}

		// Entry logic
		if (longCond)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
		}
		else if (shortCond)
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
		}
	}
}