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Estrategia de Cruce de Fase con Zona

Esta estrategia de ejemplo entra en largo cuando una SMA suavizada con desplazamiento positivo cruza por encima de una EMA con desplazamiento negativo. La posición se cierra cuando ocurre el cruce opuesto.

Detalles

  • Criterios de entrada: SMA + desplazamiento cruza por encima de EMA - desplazamiento.
  • Largo/Corto: solo largo.
  • Criterios de salida: cruce opuesto.
  • Stops: ninguno.
  • Valores predeterminados:
    • Length = 20.
    • Offset = 0.5.
  • Filtros: ninguno.
  • Complejidad: baja.
  • Marco temporal: configurable.
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;

public class PhaseCrossWithZoneStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _offset;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevLead;
	private decimal _prevLag;
	private bool _prevInit;

	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	public decimal Offset
	{
		get => _offset.Value;
		set => _offset.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public PhaseCrossWithZoneStrategy()
	{
		_length = Param(nameof(Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Smoothing length", "General")
			
			.SetOptimize(5, 50, 1);

		_offset = Param(nameof(Offset), 0.5m)
			.SetDisplay("Offset", "Phase offset", "General")
			
			.SetOptimize(0m, 1m, 0.1m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevLead = 0;
		_prevLag = 0;
		_prevInit = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var sma = new SimpleMovingAverage { Length = Length };
		var ema = new ExponentialMovingAverage { Length = Length * 2 };
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, ema, ProcessCandle)
			.Start();

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

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

		var lead = smaValue + Offset;
		var lag = emaValue - Offset;

		if (_prevInit)
		{
			var crossedUp = _prevLead <= _prevLag && lead > lag;
			var crossedDown = _prevLead >= _prevLag && lead < lag;

			if (crossedUp && Position <= 0)
				BuyMarket();
			else if (crossedDown && Position >= 0)
				SellMarket();
		}

		_prevLead = lead;
		_prevLag = lag;
		_prevInit = true;
	}
}