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Merovinh - Reversión a la Media por Mínimo Más Bajo

Esta estrategia compra cuando el mínimo más bajo actual de un período de retrospección rompe sucesivos mínimos anteriores un número configurable de veces. Cierra la posición una vez que aparece un nuevo máximo más alto dentro del mismo período.

Parámetros

  • Bars — longitud de retrospección para máximos/mínimos.
  • Number Of Lows — número de mínimos consecutivos rotos requeridos para entrar.
  • Start Date / End Date — rango de fechas de operación.
  • Candle Type — tipo de velas.
using System;
using System.Linq;
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 MerovinhMeanReversionLowestLowStrategy : Strategy
{
	private readonly StrategyParam<int> _bars;
	private readonly StrategyParam<decimal> _breakoutPercent;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest;
	private Lowest _lowest;
	private decimal _prevLow;
	private decimal _prevHigh;
	private int _barsFromSignal;

	public int Bars { get => _bars.Value; set => _bars.Value = value; }
	public decimal BreakoutPercent { get => _breakoutPercent.Value; set => _breakoutPercent.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MerovinhMeanReversionLowestLowStrategy()
	{
		_bars = Param(nameof(Bars), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bars", "Lookback for highest/lowest", "General");
		_breakoutPercent = Param(nameof(BreakoutPercent), 0.4m)
			.SetGreaterThanZero()
			.SetDisplay("Breakout Percent", "Minimum percentage change for new high/low", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highest = null;
		_lowest = null;
		_prevLow = 0m;
		_prevHigh = 0m;
		_barsFromSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		StartProtection(null, null);

		_highest = new Highest { Length = Bars };
		_lowest = new Lowest { Length = Bars };
		_prevLow = 0;
		_prevHigh = 0;
		_barsFromSignal = SignalCooldownBars;

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_highest.IsFormed || !_lowest.IsFormed)
		{
			_prevLow = lowestLow;
			_prevHigh = highestHigh;
			return;
		}

		_barsFromSignal++;
		var lowBreak = _prevLow > 0m && lowestLow < _prevLow * (1m - BreakoutPercent / 100m);
		var highBreak = _prevHigh > 0m && highestHigh > _prevHigh * (1m + BreakoutPercent / 100m);

		if (_barsFromSignal >= SignalCooldownBars && lowBreak && Position == 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}

		if (highBreak && Position > 0)
			SellMarket();

		_prevLow = lowestLow;
		_prevHigh = highestHigh;
	}
}