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Estrategia VIDYA de Auto-Trading (Lógica de Reversión)

Esta estrategia aplica una media dinámica variable VIDYA con bandas ATR amplias. Se abre una operación larga cuando el precio rompe por encima de la banda superior, y una operación corta cuando el precio rompe por debajo de la banda inferior.

Detalles

  • Criterios de entrada: el precio cruza la banda ATR alrededor de VIDYA
  • Largo/Corto: Ambos
  • Criterios de salida: ruptura de banda opuesta
  • Stops: No
  • Valores predeterminados:
    • VidyaLength = 10
    • VidyaMomentum = 20
    • BandDistance = 2
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: VIDYA, ATR
    • 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 StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// VIDYA Auto-Trading strategy based on reversal logic.
/// Uses Variable Index Dynamic Average with ATR bands and reverses on band breakouts.
/// </summary>
public class VidyaAutoTradingReversalLogicStrategy : Strategy
{
	private readonly StrategyParam<int> _vidyaLength;
	private readonly StrategyParam<int> _vidyaMomentum;
	private readonly StrategyParam<decimal> _bandDistance;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _vidya;
	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _prevClose;
	private int _cooldown;

	public int VidyaLength { get => _vidyaLength.Value; set => _vidyaLength.Value = value; }
	public int VidyaMomentum { get => _vidyaMomentum.Value; set => _vidyaMomentum.Value = value; }
	public decimal BandDistance { get => _bandDistance.Value; set => _bandDistance.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VidyaAutoTradingReversalLogicStrategy()
	{
		_vidyaLength = Param(nameof(VidyaLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("VIDYA Length", "Length of VIDYA", "General");

		_vidyaMomentum = Param(nameof(VidyaMomentum), 20)
			.SetGreaterThanZero()
			.SetDisplay("Momentum Length", "Length for momentum", "General");

		_bandDistance = Param(nameof(BandDistance), 3m)
			.SetDisplay("Band Distance", "ATR multiplier for bands", "General");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_vidya = null;
		_prevUpper = 0;
		_prevLower = 0;
		_prevClose = 0;
		_cooldown = 0;
	}

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

		var cmo = new ChandeMomentumOscillator { Length = VidyaMomentum };
		var atr = new AverageTrueRange { Length = 14 };

		_vidya = null;
		_prevUpper = 0;
		_prevLower = 0;
		_prevClose = 0;
		_cooldown = 0;

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

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

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

		if (_cooldown > 0)
			_cooldown--;

		var alpha = 2m / (VidyaLength + 1);
		var absCmo = Math.Abs(cmoValue);
		var prev = _vidya ?? candle.ClosePrice;
		_vidya = alpha * absCmo / 100m * candle.ClosePrice + (1 - alpha * absCmo / 100m) * prev;

		var upper = _vidya.Value + atrValue * BandDistance;
		var lower = _vidya.Value - atrValue * BandDistance;

		if (_prevClose != 0 && _cooldown <= 0)
		{
			var trendCrossUp = _prevClose <= _prevUpper && candle.ClosePrice > upper;
			var trendCrossDown = _prevClose >= _prevLower && candle.ClosePrice < lower;

			if (trendCrossUp && Position <= 0)
			{
				BuyMarket();
				_cooldown = 25;
			}
			else if (trendCrossDown && Position >= 0)
			{
				SellMarket();
				_cooldown = 25;
			}
		}

		_prevUpper = upper;
		_prevLower = lower;
		_prevClose = candle.ClosePrice;
	}
}