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Estrategia Pavan CPR

Opera en largo cuando el precio cruza por encima del Rango de Pivote Central superior del día tras haber cerrado previamente por debajo de él. El stop se coloca en el nivel del pivote y el take profit a una distancia fija.

Detalles

  • Criterios de entrada: Cierre anterior por debajo del CPR superior y cierre actual por encima de él.
  • Largo/Corto: Solo largos.
  • Criterios de salida: Take profit o stop en el pivote.
  • Stops: Sí.
  • Valores predeterminados:
    • TakeProfitTarget = 50
    • CandleType = TimeSpan.FromMinutes(1)
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Largo
    • Indicadores: Pivot
    • Stops: Sí
    • 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>
/// Trades when price crosses above the top Central Pivot Range level.
/// Places take profit at a fixed target and stop loss at the pivot level.
/// </summary>
public class PavanCprStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitTarget;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _todayPivot;
	private decimal _todayTop;
	private decimal _lastClose;
	private decimal _takeProfitPrice;
	private decimal _stopLossPrice;
	private decimal _prevSessionHigh;
	private decimal _prevSessionLow;
	private decimal _prevSessionClose;
	private DateTimeOffset _currentDay;

	/// <summary>
	/// Take profit distance in price points.
	/// </summary>
	public decimal TakeProfitTarget
	{
		get => _takeProfitTarget.Value;
		set => _takeProfitTarget.Value = value;
	}

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

	/// <summary>
	/// Initializes parameters.
	/// </summary>
	public PavanCprStrategy()
	{
		_takeProfitTarget = Param(nameof(TakeProfitTarget), 50m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit distance in price points", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles for entry logic", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_todayPivot = 0m;
		_todayTop = 0m;
		_lastClose = 0m;
		_takeProfitPrice = 0m;
		_stopLossPrice = 0m;
		_prevSessionHigh = 0m;
		_prevSessionLow = 0m;
		_prevSessionClose = 0m;
		_currentDay = default;
	}

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

		var sessionHigh = 0m;
		var sessionLow = 0m;
		var sessionClose = 0m;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(candle =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			var day = candle.OpenTime.Date;

			if (_currentDay != day)
			{
				if (sessionHigh > 0)
				{
					_prevSessionHigh = sessionHigh;
					_prevSessionLow = sessionLow;
					_prevSessionClose = sessionClose;

					var pivot = (_prevSessionHigh + _prevSessionLow + _prevSessionClose) / 3m;
					var top = (_prevSessionHigh + _prevSessionLow) / 2m;

					_todayPivot = pivot;
					_todayTop = top;
				}

				sessionHigh = candle.HighPrice;
				sessionLow = candle.LowPrice;
				_currentDay = day;
			}
			else
			{
				sessionHigh = Math.Max(sessionHigh, candle.HighPrice);
				sessionLow = Math.Min(sessionLow, candle.LowPrice);
			}

			sessionClose = candle.ClosePrice;

			if (_todayTop == 0m)
			{
				_lastClose = candle.ClosePrice;
				return;
			}

			if (Position == 0 && _lastClose > 0 && _lastClose < _todayTop && candle.ClosePrice > _todayTop)
			{
				BuyMarket();
				_takeProfitPrice = candle.ClosePrice + TakeProfitTarget;
				_stopLossPrice = _todayPivot;
			}
			else if (Position > 0 && _stopLossPrice > 0)
			{
				if (candle.LowPrice <= _stopLossPrice || candle.HighPrice >= _takeProfitPrice)
				{
					SellMarket();
					_stopLossPrice = 0m;
					_takeProfitPrice = 0m;
				}
			}
			else if (Position < 0)
			{
				BuyMarket();
			}

			_lastClose = candle.ClosePrice;
		}).Start();

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