Esta estrategia acumula hasta cinco entradas largas usando el oscilador Acceleration/Deceleration. Se coloca una orden de compra stop por encima del máximo de la barra cada vez que el impulso se desarrolla en la dirección de la tendencia identificada por los fractales y los dientes del Alligator. Cuando el oscilador se debilita o la tendencia se revierte, se cancelan todas las órdenes pendientes y se cierra la posición.
Detalles
Criterios de entrada:
Tendencia alcista confirmada cuando el precio rompe un fractal alcista por encima de los dientes del Alligator.
El oscilador AC imprime un patrón de barra verde y el cierre está por encima del filtro EMA.
Se colocan hasta cinco órdenes stop en el nivel de activación.
Largo/Corto: Solo largos.
Criterios de salida:
La tendencia gira a bajista.
El oscilador se vuelve negativo.
Stops: Usa stop loss basado en fractales.
Valores predeterminados:
EMA Length = 100.
Filtros:
Categoría: Seguimiento de tendencia
Dirección: Solo largos
Indicadores: Múltiples
Stops: Sí
Complejidad: Complejo
Marco temporal: Medio plazo
Estacionalidad: No
Redes neuronales: No
Divergencia: No
Nivel de riesgo: Medio
using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;
namespace StockSharp.Samples.Strategies;
public class MultiLayerAccelerationDecelerationStrategy : Strategy
{
private readonly StrategyParam<DataType> _candleType;
public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
public MultiLayerAccelerationDecelerationStrategy()
{
_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
}
protected override void OnStarted2(DateTime time)
{
base.OnStarted2(time);
var fast = new ExponentialMovingAverage { Length = 10 };
var slow = new ExponentialMovingAverage { Length = 30 };
var rsi = new RelativeStrengthIndex { Length = 14 };
var prevF = 0m; var prevS = 0m; var init = false;
var sub = SubscribeCandles(CandleType);
sub.Bind(fast, slow, rsi, (c, f, s, r) =>
{
if (c.State != CandleStates.Finished || !fast.IsFormed || !slow.IsFormed || !rsi.IsFormed) return;
if (!init) { prevF = f; prevS = s; init = true; return; }
if (prevF <= prevS && f > s && r > 45 && Position <= 0) BuyMarket();
else if (prevF >= prevS && f < s && r < 55 && Position > 0) SellMarket();
prevF = f; prevS = s;
}).Start();
var area = CreateChartArea();
if (area != null) { DrawCandles(area, sub); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
}
}
import clr
clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")
from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ExponentialMovingAverage, RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy
class multi_layer_acceleration_deceleration_strategy(Strategy):
def __init__(self):
super(multi_layer_acceleration_deceleration_strategy, self).__init__()
self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))
self._prev_fast = 0.0
self._prev_slow = 0.0
self._initialized = False
@property
def candle_type(self):
return self._candle_type.Value
@candle_type.setter
def candle_type(self, value):
self._candle_type.Value = value
def OnReseted(self):
super(multi_layer_acceleration_deceleration_strategy, self).OnReseted()
self._prev_fast = 0.0
self._prev_slow = 0.0
self._initialized = False
def OnStarted2(self, time):
super(multi_layer_acceleration_deceleration_strategy, self).OnStarted2(time)
self._prev_fast = 0.0
self._prev_slow = 0.0
self._initialized = False
self._fast = ExponentialMovingAverage()
self._fast.Length = 10
self._slow = ExponentialMovingAverage()
self._slow.Length = 30
self._rsi = RelativeStrengthIndex()
self._rsi.Length = 14
subscription = self.SubscribeCandles(self.candle_type)
subscription.Bind(self._fast, self._slow, self._rsi, self.OnProcess).Start()
def OnProcess(self, candle, f, s, r):
if candle.State != CandleStates.Finished:
return
if not self._fast.IsFormed or not self._slow.IsFormed or not self._rsi.IsFormed:
return
fv = float(f)
sv = float(s)
rv = float(r)
if not self._initialized:
self._prev_fast = fv
self._prev_slow = sv
self._initialized = True
return
if self._prev_fast <= self._prev_slow and fv > sv and rv > 45.0 and self.Position <= 0:
self.BuyMarket()
elif self._prev_fast >= self._prev_slow and fv < sv and rv < 55.0 and self.Position > 0:
self.SellMarket()
self._prev_fast = fv
self._prev_slow = sv
def CreateClone(self):
return multi_layer_acceleration_deceleration_strategy()