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Estrategia de Scalping de Pullback en Cuadrícula Inteligente

Estrategia de scalping basada en cuadrícula que expande niveles de precio basados en ATR desde un precio base veinte barras atrás. Los pullbacks se filtran con RSI antes de las entradas. Las posiciones utilizan un objetivo de beneficio y un stop de seguimiento ATR.

Detalles

  • Criterios de entrada:
    • Largo: close < basePrice - (LongLevel + 1) * ATR * GridFactor && range/low > NoTradeZone && RSI < MaxRsiLong && close > open
    • Corto: close > basePrice + (ShortLevel + 1) * ATR * GridFactor && range/high > NoTradeZone && RSI > MinRsiShort && close < open
  • Largo/Corto: Ambos
  • Criterios de salida: objetivo de beneficio o stop de seguimiento ATR
  • Stops: Stop de seguimiento ATR
  • Valores predeterminados:
    • AtrLength = 10
    • GridFactor = 0.35m
    • ProfitTarget = 0.004m
    • NoTradeZone = 0.003m
    • ShortLevel = 5
    • LongLevel = 5
    • MinRsiShort = 70
    • MaxRsiLong = 30
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • Filtros:
    • Categoría: Scalping
    • Dirección: Ambos
    • Indicadores: ATR, RSI
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • 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>
/// Smart grid scalping pullback strategy using EMA crossover.
/// </summary>
public class SmartGridScalpingPullbackStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

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

	public SmartGridScalpingPullbackStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "General");

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var prevF = 0m; var prevS = 0m; var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, (candle, f, s) =>
		{
			if (candle.State != CandleStates.Finished) return;
			if (!fast.IsFormed || !slow.IsFormed) return;
			if (!init) { prevF = f; prevS = s; init = true; return; }
			if (candle.OpenTime - lastSignal >= cooldown)
			{
				if (prevF <= prevS && f > s && Position <= 0) { BuyMarket(); lastSignal = candle.OpenTime; }
				else if (prevF >= prevS && f < s && Position >= 0) { SellMarket(); lastSignal = candle.OpenTime; }
			}
			prevF = f; prevS = s;
		}).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}
}