Español ES
Ver en GitHub

Estrategia JSatl Candle

Esta estrategia utiliza la Media Móvil Jurik (JMA) para construir una tendencia suavizada. Se abre una posición larga cuando el JMA gira hacia arriba después de estar plano o hacia abajo. Se abre una posición corta cuando el JMA gira hacia abajo después de estar plano o hacia arriba. El stop loss y take profit opcionales se aplican como porcentajes del precio de entrada.

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 based on Jurik Moving Average slope changes.
/// Opens long when JMA turns upward and short when it turns downward.
/// Includes optional stop loss and take profit protection.
/// </summary>
public class JSatlCandleStrategy : Strategy
{
	private readonly StrategyParam<int> _jmaLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<bool> _enableStopLoss;
	private readonly StrategyParam<decimal> _takeProfitPercent;

	private decimal? _prevJma;
	private int _prevDirection;

	/// <summary>
	/// JMA period length.
	/// </summary>
	public int JmaLength
	{
		get => _jmaLength.Value;
		set => _jmaLength.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Stop loss percent.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Enable stop loss.
	/// </summary>
	public bool EnableStopLoss
	{
		get => _enableStopLoss.Value;
		set => _enableStopLoss.Value = value;
	}

	/// <summary>
	/// Take profit percent.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	public JSatlCandleStrategy()
	{
		_jmaLength = Param(nameof(JmaLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("JMA Length", "Period for Jurik Moving Average", "Parameters")
			
			.SetOptimize(2, 20, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for candles", "Parameters");

		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percent", "Risk Management")
			
			.SetOptimize(0.5m, 3m, 0.5m);

		_enableStopLoss = Param(nameof(EnableStopLoss), true)
			.SetDisplay("Enable Stop Loss", "Use stop loss", "Risk Management");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit %", "Take profit percent", "Risk Management")
			
			.SetOptimize(1m, 5m, 1m);
	}

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

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

		_prevJma = null;
		_prevDirection = 0;
	}

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

		_prevJma = null;
		_prevDirection = 0;

		var jma = new JurikMovingAverage { Length = JmaLength };

		SubscribeCandles(CandleType)
			.Bind(jma, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPercent * 100m, UnitTypes.Percent),
			stopLoss: EnableStopLoss ? new Unit(StopLossPercent * 100m, UnitTypes.Percent) : null);
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevDirection = _prevJma is decimal prevValue ? Math.Sign(jmaValue - prevValue) : 0;
			_prevJma = jmaValue;
			return;
		}

		var direction = _prevJma is decimal prev ? Math.Sign(jmaValue - prev) : 0;

		if (_prevDirection <= 0 && direction > 0 && Position <= 0)
			BuyMarket();
		else if (_prevDirection >= 0 && direction < 0 && Position >= 0)
			SellMarket();

		_prevDirection = direction;
		_prevJma = jmaValue;
	}
}