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Lucky Jump Strategy

The Lucky Jump strategy is a short-term mean reversion system that reacts to sudden price jumps on the best bid and ask. When the ask price jumps upward by a specified number of points compared to the previous quote, the strategy opens a short position expecting a pullback. Conversely, when the bid price drops by the same amount, it enters long. Positions are closed either at the first favorable tick or when the loss exceeds a predefined limit.

This approach attempts to capture quick corrections after aggressive market moves. It operates purely on Level1 quote data and does not rely on candles or indicators.

Details

  • Entry Criteria:
    • Short: Ask(t) - Ask(t-1) >= Shift * PriceStep.
    • Long: Bid(t-1) - Bid(t) >= Shift * PriceStep.
  • Exit Criteria:
    • Close position as soon as it becomes profitable.
    • Close if loss exceeds Limit * PriceStep.
  • Stops: implicit stop based on Limit parameter.
  • Default Values:
    • Shift = 30 points.
    • Limit = 180 points.
    • Volume = 1.
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: None
    • Stops: Yes
    • Complexity: Simple
    • Timeframe: Ultra short-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: High
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>
/// Price jump reversal strategy using EMA crossover.
/// </summary>
public class LuckyJumpStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LuckyJumpStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Trading");
		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Trading");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

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

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

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

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}