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Kloss Strategy

The Kloss strategy combines a weighted moving average (WMA), the Commodity Channel Index (CCI), and the Stochastic oscillator. All indicators are evaluated on shifted historical values, allowing signals to be based on past market context. A long position is opened when CCI drops below a negative threshold, the Stochastic main line falls under a deviation from the neutral 50 level, and the shifted price is above the shifted WMA. A short position is opened on the opposite conditions. Optional reverse closing exits an existing position when the opposite signal appears. Stop loss and take profit are set in points from the entry price.

Details

  • Entry Criteria:
    • Long: Shifted CCI below -CciDiffer, shifted Stochastic below 50 - StochDiffer, and shifted price above shifted WMA.
    • Short: Shifted CCI above CciDiffer, shifted Stochastic above 50 + StochDiffer, and shifted price below shifted WMA.
  • Long/Short: Both.
  • Exit Criteria:
    • Reverse signal if RevClose enabled or stop loss / take profit levels.
  • Stops: Absolute stop loss and take profit in points.
  • Filters:
    • Indicator and price shifts via CommonShift allow signal generation from past bars.
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;
	}
}