Español ES
Ver en GitHub

Estrategia de Pares

Esta estrategia de trading de pares compra cuando el activo de referencia cierra por encima de su apertura mientras el símbolo actual forma una vela bajista. La posición se cierra cuando el precio rompe por encima del máximo de la vela anterior.

Detalles

  • Criterios de entrada: Activo de referencia al alza y vela bajista en el símbolo actual.
  • Largo/Corto: Solo largos.
  • Criterios de salida: Cierre por encima del máximo anterior.
  • Stops: No.
  • Valores predeterminados:
    • CandleType = 1 minuto
  • Filtros:
    • Categoría: Negociación de pares
    • Dirección: Solo largos
    • Indicadores: Price action
    • Stops: No
    • Complejidad: Principiante
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Buys when the reference asset closes above its open and the current symbol forms a down bar.
/// Closes the position when price closes above the previous candle's high.
/// </summary>
public class PairsStrategy : Strategy
{
	private readonly StrategyParam<Security> _referenceSecurity;
	private readonly StrategyParam<DataType> _candleType;

	private bool _referenceUp;
	private decimal _previousHigh;

	/// <summary>
	/// Reference security used for comparison.
	/// </summary>
	public Security ReferenceSecurity
	{
		get => _referenceSecurity.Value;
		set => _referenceSecurity.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="PairsStrategy"/>.
	/// </summary>
	public PairsStrategy()
	{
		_referenceSecurity = Param<Security>(nameof(ReferenceSecurity))
			.SetDisplay("Reference Security", "Security used for pair comparison", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_referenceUp = false;
		_previousHigh = 0m;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (ReferenceSecurity == null)
			throw new InvalidOperationException("ReferenceSecurity must be specified.");

		base.OnStarted2(time);

		SubscribeCandles(CandleType, true, ReferenceSecurity)
			.Bind(ProcessReference)
			.Start();

		SubscribeCandles(CandleType)
			.Bind(ProcessMain)
			.Start();

		StartProtection(null, null);
	}

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

		_referenceUp = candle.ClosePrice > candle.OpenPrice;
	}

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

		if (Position <= 0 && _referenceUp && candle.ClosePrice < candle.OpenPrice && IsFormedAndOnlineAndAllowTrading())
			BuyMarket();

		if (Position > 0 && candle.ClosePrice > _previousHigh && IsFormedAndOnlineAndAllowTrading())
			SellMarket();

		_previousHigh = candle.HighPrice;
	}
}