Español ES
Ver en GitHub

Estrategia de Scalping Rampok

Sistema de scalping que opera cuando el precio rompe las envolventes de la media móvil. La estrategia entra en largo cuando el precio cruza hacia arriba la banda inferior y en corto cuando el precio cruza hacia abajo la banda superior. Las posiciones están protegidas por parámetros opcionales de take profit, stop loss y stop de seguimiento.

Detalles

  • Criterios de entrada:
    • Compra: cierre anterior por debajo de la banda inferior y cierre actual por encima de ella.
    • Venta: cierre anterior por encima de la banda superior y cierre actual por debajo de ella.
  • Largo/Corto: Ambos.
  • Criterios de salida:
    • Take profit, stop loss o stop de seguimiento.
  • Stops: SL/TP y trailing configurables.
  • Filtros: ninguno.
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>
/// Envelope based scalping strategy.
/// Enters when price crosses moving average bands and exits with trailing stop.
/// </summary>
public class RampokScalpStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _deviation;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _prevClose;
	private decimal _entryPrice;
	private decimal _highestPrice;
	private decimal _lowestPrice;
	private bool _hasPrev;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public decimal Deviation { get => _deviation.Value; set => _deviation.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RampokScalpStrategy()
	{
		_period = Param(nameof(Period), 15)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Moving average period", "General");

		_deviation = Param(nameof(Deviation), 0.07m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation", "Envelope deviation percent", "General");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpper = 0;
		_prevLower = 0;
		_prevClose = 0;
		_entryPrice = 0;
		_highestPrice = 0;
		_lowestPrice = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var sma = new SimpleMovingAverage { Length = Period };
		SubscribeCandles(CandleType).Bind(sma, ProcessCandle).Start();
	}

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

		var upper = smaValue * (1 + Deviation);
		var lower = smaValue * (1 - Deviation);
		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevUpper = upper;
			_prevLower = lower;
			_prevClose = close;
			_hasPrev = true;
			return;
		}

		if (Position == 0)
		{
			if (_prevClose < _prevLower && close > lower)
			{
				BuyMarket();
				_entryPrice = close;
				_highestPrice = close;
			}
			else if (_prevClose > _prevUpper && close < upper)
			{
				SellMarket();
				_entryPrice = close;
				_lowestPrice = close;
			}
		}
		else if (Position > 0)
		{
			_highestPrice = Math.Max(_highestPrice, candle.HighPrice);
			// Exit at upper band or trailing
			if (close >= upper)
				SellMarket();
		}
		else if (Position < 0)
		{
			_lowestPrice = Math.Min(_lowestPrice, candle.LowPrice);
			// Exit at lower band or trailing
			if (close <= lower)
				BuyMarket();
		}

		_prevUpper = upper;
		_prevLower = lower;
		_prevClose = close;
	}
}