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Estrategia Market EKG

La estrategia Market EKG compara los valores OHLC de la barra anterior con los promedios de dos barras anteriores. Compra cuando el promedio de los dos cierres más antiguos está por encima del cierre más reciente y vende cuando está por debajo.

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;

public class MarketEKGStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _deviationThresholdPercent;
	private readonly StrategyParam<int> _cooldownBars;

	private ICandleMessage _prev1;
	private ICandleMessage _prev2;
	private ICandleMessage _prev3;
	private int _barsFromSignal;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal DeviationThresholdPercent { get => _deviationThresholdPercent.Value; set => _deviationThresholdPercent.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public MarketEKGStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
		_deviationThresholdPercent = Param(nameof(DeviationThresholdPercent), 0.15m);
		_cooldownBars = Param(nameof(CooldownBars), 16);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prev1 = null;
		_prev2 = null;
		_prev3 = null;
		_barsFromSignal = CooldownBars;
	}

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

		_prev1 = null;
		_prev2 = null;
		_prev3 = null;
		_barsFromSignal = CooldownBars;

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

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

		if (_prev1 != null && _prev2 != null && _prev3 != null)
		{
			var avgClose = (_prev3.ClosePrice + _prev2.ClosePrice) / 2m;
			var diffClose = avgClose - _prev1.ClosePrice;
			var basePrice = _prev1.ClosePrice;
			var diffPercent = basePrice == 0m ? 0m : Math.Abs(diffClose) / basePrice * 100m;
			_barsFromSignal++;
			var canSignal = _barsFromSignal >= CooldownBars;

			if (canSignal && diffClose > 0 && diffPercent >= DeviationThresholdPercent && Position <= 0)
			{
				BuyMarket();
				_barsFromSignal = 0;
			}
			else if (canSignal && diffClose < 0 && diffPercent >= DeviationThresholdPercent && Position >= 0)
			{
				SellMarket();
				_barsFromSignal = 0;
			}
		}

		_prev3 = _prev2;
		_prev2 = _prev1;
		_prev1 = candle;
	}
}