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Estrategia de Nuevo Máximo Intradía con Barra Débil

Entra largo en un nuevo máximo de HighestLength barras cuando la vela cierra cerca de su mínimo. Sale cuando el precio cierra por encima del máximo de la barra anterior.

Detalles

  • Criterios de entrada:
    • Sin posición, el máximo es igual al máximo de las últimas HighestLength barras y (close - low)/(high - low) < WeakRatio.
  • Largo/Corto: Solo largos.
  • Criterios de salida: Cierre por encima del máximo de la barra anterior.
  • Stops: No.
  • Valores predeterminados:
    • HighestLength = 10
    • WeakRatio = 0.15
    • CandleType = TimeSpan.FromMinutes(15)
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Solo largos
    • Indicadores: Highest
    • Stops: No
    • 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>
/// New intraday high with weak bar strategy.
/// When flat, a candle whose high is the highest high of the last HighestLength bars but which closes in the lower WeakRatio part of
/// its range opens a long. The long closes when a candle closes above the previous candle's high.
/// </summary>
public class NewIntradayHighWithWeakBarStrategy : Strategy
{
	private readonly StrategyParam<int> _highestLength;
	private readonly StrategyParam<decimal> _weakRatio;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest;
	private decimal? _prevHigh;

	/// <summary>
	/// Bars the highest high is taken over.
	/// </summary>
	public int HighestLength
	{
		get => _highestLength.Value;
		set => _highestLength.Value = value;
	}

	/// <summary>
	/// Maximum (close - low) / (high - low) of a weak bar.
	/// </summary>
	public decimal WeakRatio
	{
		get => _weakRatio.Value;
		set => _weakRatio.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public NewIntradayHighWithWeakBarStrategy()
	{
		_highestLength = Param(nameof(HighestLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Highest Length", "Bars the highest high is taken over", "Indicators");

		_weakRatio = Param(nameof(WeakRatio), 0.15m)
			.SetRange(0m, 1m)
			.SetDisplay("Weak Ratio", "Maximum (close - low) / (high - low) of a weak bar", "Signals");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highest = null;
		_prevHigh = null;
	}

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

		_prevHigh = null;
		_highest = new Highest { Length = HighestLength };

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

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

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

		// The highest high is taken over candle highs, the current one included.
		var highestValue = _highest.Process(candle.HighPrice, candle.ServerTime, true);
		var prevHigh = _prevHigh;
		_prevHigh = candle.HighPrice;

		if (!_highest.IsFormed || prevHigh is not decimal lastHigh)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (candle.ClosePrice > lastHigh)
				SellMarket(Position);
			return;
		}

		if (Position != 0)
			return;

		var range = candle.HighPrice - candle.LowPrice;
		if (range <= 0)
			return;

		var isNewHigh = candle.HighPrice >= highestValue.ToDecimal();
		var isWeak = (candle.ClosePrice - candle.LowPrice) / range < WeakRatio;

		if (isNewHigh && isWeak)
			BuyMarket(Volume);
	}
}