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Zig Dan Zag Inversión a Largo Plazo Definitiva

Estrategia de inversión a largo plazo que combina pivotes ZigZag con un filtro de tendencia SMA lento. Se abre una posición cuando se forma un nuevo mínimo ZigZag por encima de la SMA, mientras que las salidas ocurren en pivotes opuestos por debajo de la SMA.

Detalles

  • Criterios de entrada: Nuevo mínimo ZigZag por encima de la SMA.
  • Largo/Corto: Solo largos.
  • Criterios de salida: Máximo ZigZag por debajo de la SMA.
  • Stops: No.
  • Valores predeterminados:
    • ZigzagDepth = 12
    • SmaLength = 200
    • CandleType = TimeSpan.FromHours(1)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Solo largos
    • Indicadores: Highest, Lowest, SimpleMovingAverage
    • Stops: No
    • Complejidad: Intermedio
    • Marco temporal: Largo plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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;

/// <summary>
/// Long-term ZigZag investment strategy with SMA trend filter.
/// </summary>
public class ZigDanZagUltimateInvestmentLongTermStrategy : Strategy
{
	private readonly StrategyParam<int> _zigzagDepth;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _lastZigzag;
	private decimal _lastZigzagHigh;
	private decimal _lastZigzagLow;
	private int _direction;
	private decimal _sma;

	public int ZigzagDepth
	{
		get => _zigzagDepth.Value;
		set => _zigzagDepth.Value = value;
	}

	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

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

	public ZigDanZagUltimateInvestmentLongTermStrategy()
	{
		_zigzagDepth = Param(nameof(ZigzagDepth), 12)
			.SetDisplay("ZigZag Depth", "Pivot search depth", "ZigZag");
		_smaLength = Param(nameof(SmaLength), 50)
			.SetDisplay("SMA Length", "Long-term trend filter", "Trend");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_lastZigzag = 0m;
		_lastZigzagHigh = 0m;
		_lastZigzagLow = 0m;
		_direction = 0;
		_sma = 0m;
	}

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

		var highest = new Highest { Length = ZigzagDepth };
		var lowest = new Lowest { Length = ZigzagDepth };
		var sma = new SimpleMovingAverage { Length = SmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highest, lowest, sma, ProcessCandle)
			.Start();

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

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

		_sma = smaValue;

		// update last ZigZag pivot
		if (candle.HighPrice >= highest && _direction != 1)
		{
			_lastZigzag = candle.HighPrice;
			_lastZigzagHigh = candle.HighPrice;
			_direction = 1;
		}
		else if (candle.LowPrice <= lowest && _direction != -1)
		{
			_lastZigzag = candle.LowPrice;
			_lastZigzagLow = candle.LowPrice;
			_direction = -1;
		}

		// long-only logic using SMA as trend filter
		if (_lastZigzag == _lastZigzagLow && candle.ClosePrice > _sma && Position <= 0)
			BuyMarket();
		else if (_lastZigzag == _lastZigzagHigh && candle.ClosePrice < _sma && Position > 0)
			SellMarket();
	}
}