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MM Fibonacci Strategy

This strategy calculates Murrey Math Fibonacci levels and trades breakouts. It buys when price breaks above the 100% level in an upward context and sells when price drops below the 0% level in a downward context. Positions are closed when price crosses the 50% level against the trade.

Details

  • Entry Criteria:
    • Long: Price closes above the 100% level while the most recent extreme was a high.
    • Short: Price closes below the 0% level while the most recent extreme was a low.
  • Exit Criteria:
    • Long: Price falls below the 50% level.
    • Short: Price rises above the 50% level.
  • Indicators: Highest, Lowest.
  • Long/Short: Both.
  • Stops: No.
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;

/// <summary>
/// Murrey Math Fibonacci breakout strategy.
/// </summary>
public class MmFibonacciStrategy : Strategy
{
	private readonly StrategyParam<int> _frame;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest;
	private Lowest _lowest;

	private int _sinceHigh;
	private int _sinceLow;
	private int _prevFibDir;
	private int _barsFromSignal;

	public int Frame { get => _frame.Value; set => _frame.Value = value; }
	public decimal Multiplier { get => _multiplier.Value; set => _multiplier.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MmFibonacciStrategy()
	{
		_frame = Param(nameof(Frame), 64).SetGreaterThanZero();
		_multiplier = Param(nameof(Multiplier), 1.5m).SetGreaterThanZero();
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highest = null;
		_lowest = null;
		_sinceHigh = 0;
		_sinceLow = 0;
		_prevFibDir = 0;
		_barsFromSignal = 0;
	}

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

		_sinceHigh = 0;
		_sinceLow = 0;
		_prevFibDir = 0;
		_barsFromSignal = SignalCooldownBars;

		var length = (int)Math.Round(Frame * Multiplier);

		_highest = new Highest { Length = length };
		_lowest = new Lowest { Length = length };

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

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

		if (!_highest.IsFormed || !_lowest.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var range = nHigh - nLow;
		if (range <= 0m)
			return;

		decimal fractal;

		if (nHigh <= 250000m && nHigh > 25000m)
			fractal = 100000m;
		else if (nHigh <= 25000m && nHigh > 2500m)
			fractal = 10000m;
		else if (nHigh <= 2500m && nHigh > 250m)
			fractal = 1000m;
		else if (nHigh <= 250m && nHigh > 25m)
			fractal = 100m;
		else if (nHigh <= 25m && nHigh > 6.25m)
			fractal = 12.5m;
		else if (nHigh <= 6.25m && nHigh > 3.125m)
			fractal = 6.25m;
		else if (nHigh <= 3.125m && nHigh > 1.5625m)
			fractal = 3.125m;
		else if (nHigh <= 1.5625m && nHigh > 0.390625m)
			fractal = 1.5625m;
		else
			fractal = 0.1953125m;

		var sum = (decimal)Math.Floor(Math.Log((double)(fractal / range), 2));
		var octave = fractal * (decimal)Math.Pow(0.5, (double)sum);
		var minimum = Math.Floor(nLow / octave) * octave;
		var maximum = (minimum + octave) > nHigh ? minimum + octave : minimum + 2m * octave;

		decimal t1 = 0m, t2 = 0m, t3 = 0m, t4 = 0m, t5 = 0m;
		var diff = maximum - minimum;

		if (nLow >= (3m * diff / 16m + minimum) && nHigh <= (9m * diff / 16m + minimum))
			t2 = minimum + diff / 2m;
		if (nLow >= (minimum - diff / 8m) && nHigh <= (5m * diff / 8m + minimum) && t2 == 0m)
			t1 = minimum + diff / 2m;
		if (nLow >= (minimum + 7m * diff / 16m) && nHigh <= (13m * diff / 16m + minimum))
			t4 = minimum + 3m * diff / 4m;
		if (nLow >= (minimum + 3m * diff / 8m) && nHigh <= (9m * diff / 8m + minimum) && t4 == 0m)
			t5 = maximum;
		if (nLow >= (minimum + diff / 8m) && nHigh <= (7m * diff / 8m + minimum) && t1 == 0m && t2 == 0m && t4 == 0m && t5 == 0m)
			t3 = minimum + 3m * diff / 4m;

		var t6 = (t1 + t2 + t3 + t4 + t5) == 0m ? maximum : 0m;
		var top = t1 + t2 + t3 + t4 + t5 + t6;

		decimal b1 = 0m, b2 = 0m, b3 = 0m, b4 = 0m, b5 = 0m;
		if (t1 > 0m) b1 = minimum;
		if (t2 > 0m) b2 = minimum + diff / 4m;
		if (t3 > 0m) b3 = minimum + diff / 4m;
		if (t4 > 0m) b4 = minimum + diff / 2m;
		if (t5 > 0m) b5 = minimum + diff / 2m;
		var b6 = (top > 0m && (b1 + b2 + b3 + b4 + b5) == 0m) ? minimum : 0m;

		var bottom = b1 + b2 + b3 + b4 + b5 + b6;
		var fibRange = top - bottom;
		if (fibRange <= 0m)
			return;

		_sinceHigh = candle.HighPrice >= top ? 0 : _sinceHigh + 1;
		_sinceLow = candle.LowPrice <= bottom ? 0 : _sinceLow + 1;

		var fibDirUp = _sinceHigh > _sinceLow;
		var fibDirDn = _sinceHigh < _sinceLow;

		var fibDir = fibDirUp ? 1 : fibDirDn ? -1 : 0;
		_barsFromSignal++;

		if (fibDir != 0 && fibDir != _prevFibDir && _barsFromSignal >= SignalCooldownBars)
		{
			if (fibDir > 0 && Position <= 0)
			{
				var volume = Volume + Math.Abs(Position);
				BuyMarket(volume);
				_barsFromSignal = 0;
			}
			else if (fibDir < 0 && Position >= 0)
			{
				var volume = Volume + Math.Abs(Position);
				SellMarket(volume);
				_barsFromSignal = 0;
			}
		}

		if (fibDir != 0)
			_prevFibDir = fibDir;
	}
}