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Estrategia Kloss

La estrategia Kloss combina una media móvil ponderada (WMA), el Índice de Canal de Materias Primas (CCI) y el oscilador Stochastic. Todos los indicadores se evalúan en valores históricos desplazados, lo que permite que las señales se basen en el contexto pasado del mercado. Una posición larga se abre cuando el CCI cae por debajo de un umbral negativo, la línea principal del Stochastic cae por debajo de una desviación del nivel neutro 50, y el precio desplazado está por encima del WMA desplazado. Una posición corta se abre en las condiciones opuestas. El cierre inverso opcional sale de una posición existente cuando aparece la señal opuesta. El stop loss y el take profit se establecen en puntos desde el precio de entrada.

Detalles

  • Criterios de entrada:
    • Largo: CCI desplazado por debajo de -CciDiffer, Stochastic desplazado por debajo de 50 - StochDiffer, y precio desplazado por encima del WMA desplazado.
    • Corto: CCI desplazado por encima de CciDiffer, Stochastic desplazado por encima de 50 + StochDiffer, y precio desplazado por debajo del WMA desplazado.
  • Largo/Corto: Ambos.
  • Criterios de salida:
    • Señal inversa si RevClose está habilitado o niveles de stop loss / take profit.
  • Stops: Stop loss y take profit absolutos en puntos.
  • Filtros:
    • Los desplazamientos de indicadores y precios mediante CommonShift permiten la generación de señales a partir de barras pasadas.
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>
/// Strategy that combines Weighted Moving Average, CCI and Stochastic oscillator.
/// </summary>
public class KlossStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciLevel;
	private readonly StrategyParam<decimal> _stochLevel;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private int _previousSignal;
	private int _cooldownRemaining;

	/// <summary>Moving Average period.</summary>
	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	/// <summary>CCI calculation period.</summary>
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	/// <summary>CCI level for signals.</summary>
	public decimal CciLevel { get => _cciLevel.Value; set => _cciLevel.Value = value; }
	/// <summary>Stochastic level offset from 50.</summary>
	public decimal StochLevel { get => _stochLevel.Value; set => _stochLevel.Value = value; }
	/// <summary>Stop loss in price steps.</summary>
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	/// <summary>Take profit in price steps.</summary>
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	/// <summary>Candle type used for calculations.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	/// <summary>Completed candles to wait after a position change.</summary>
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	/// <summary>
	/// Initialize <see cref="KlossStrategy"/>.
	/// </summary>
	public KlossStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Length of weighted MA", "Indicators")
			.SetOptimize(5, 50, 5);

		_cciPeriod = Param(nameof(CciPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Length of CCI", "Indicators")
			.SetOptimize(5, 30, 5);

		_cciLevel = Param(nameof(CciLevel), 50m)
			.SetGreaterThanZero()
			.SetDisplay("CCI Level", "Distance from zero to trigger signal", "Indicators")
			.SetOptimize(50m, 200m, 10m);

		_stochLevel = Param(nameof(StochLevel), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Level", "Distance from 50 to trigger", "Indicators")
			.SetOptimize(5m, 40m, 5m);

		_stopLoss = Param(nameof(StopLoss), 550m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop loss in price steps", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 550m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit in price steps", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles for calculations", "General");

		_cooldownBars = Param(nameof(CooldownBars), 3)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Trading");
	}

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

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

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

		var ma = new WeightedMovingAverage { Length = MaPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var stoch = new StochasticOscillator();
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(ma, cci, stoch, ProcessCandle).Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue maValue, IIndicatorValue cciValue, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished || !maValue.IsFinal || !cciValue.IsFinal || !stochValue.IsFinal)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var ma = maValue.ToDecimal();
		var cci = cciValue.ToDecimal();
		var stoch = (StochasticOscillatorValue)stochValue;
		if (stoch.K is not decimal stochK || stoch.D is not decimal stochD)
			return;

		var price = candle.ClosePrice;
		var buySignal = cci < -CciLevel && stochK < 50m - StochLevel && stochD < 50m - StochLevel && price > ma;
		var sellSignal = cci > CciLevel && stochK > 50m + StochLevel && stochD > 50m + StochLevel && price < ma;
		var currentSignal = buySignal ? 1 : sellSignal ? -1 : 0;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (currentSignal > 0 && _previousSignal <= 0)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (currentSignal < 0 && _previousSignal >= 0)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}

		if (currentSignal != 0)
			_previousSignal = currentSignal;
	}
}