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Estrategia de Cálculo del Tamaño de Posición Basado en Riesgo

Demuestra el dimensionamiento de operaciones a partir del riesgo de la cuenta y un porcentaje de stop-loss. Las entradas son aleatorias para mostrar la lógica de cálculo del tamaño de posición.

Detalles

  • Criterios de entrada:
    • Largo: cada 333 barras.
    • Corto: cada 444 barras.
  • Largo/Corto: Ambos direcciones.
  • Criterios de salida:
    • Solo stop loss.
  • Stops: Stop Loss.
  • Valores predeterminados:
    • Stop Loss % = 10
    • Risk Value = 2
    • Risk Is Percent = true
    • Long Period = 333
    • Short Period = 444
  • Filtros:
    • Categoría: Risk Management
    • Dirección: Ambos
    • Indicadores: Ninguno
    • Stops: Sí
    • Complejidad: Básico
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Bajo
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>
/// EMA crossover strategy demonstrating risk-based position sizing concepts.
/// </summary>
public class CalculationPositionSizeBasedOnRiskStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevDiff;

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

	public CalculationPositionSizeBasedOnRiskStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "General");

		_slowLength = Param(nameof(SlowLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevDiff = 0;
	}

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

		var emaFast = new ExponentialMovingAverage { Length = FastLength };
		var emaSlow = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(emaFast, emaSlow, ProcessCandle)
			.Start();

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

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

		var diff = fast - slow;
		var crossUp = _prevDiff <= 0 && diff > 0;
		var crossDown = _prevDiff >= 0 && diff < 0;
		_prevDiff = diff;

		if (crossUp && Position <= 0)
			BuyMarket();
		else if (crossDown && Position >= 0)
			SellMarket();
	}
}