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Estrategia BykovTrend ReOpen

Descripción general

La estrategia BykovTrend ReOpen utiliza la lógica de BykovTrend basada en los indicadores Williams %R y Average True Range. Una señal de compra ocurre cuando la tendencia se vuelve alcista y una señal de venta cuando se vuelve bajista. Después de entrar en una posición, la estrategia puede reabrir posiciones adicionales en cada paso de precio predefinido mientras la tendencia continúa. El stop loss y el take profit se aplican desde el precio del último entrada.

Indicador

La estrategia no requiere un archivo de indicador separado. Calcula las señales utilizando:

  • Williams %R con período SSP.
  • ATR con período fijo de 15. La tendencia cambia cuando Williams %R cruza los umbrales -100 + K y -K, donde K = 33 - Risk.

Reglas de operación

  1. En una señal alcista, cierra las posiciones cortas (si está permitido) y abre una posición larga.
  2. En una señal bajista, cierra las posiciones largas (si está permitido) y abre una posición corta.
  3. Mientras una posición está abierta, se añaden nuevas posiciones en la misma dirección cada Price Step unidades hasta alcanzar Max Positions.
  4. Cada posición tiene distancias de stop loss y take profit medidas desde el último precio de entrada.

Parámetros

  • Risk – factor de riesgo que define los umbrales del indicador.
  • SSP – período de Williams %R.
  • Price Step – distancia de precio para añadir una nueva posición.
  • Max Positions – número máximo de posiciones abiertas por lado.
  • Stop Loss – distancia de stop loss en unidades de precio.
  • Take Profit – distancia de take profit en unidades de precio.
  • Enable Long Open – permitir la apertura de posiciones largas.
  • Enable Short Open – permitir la apertura de posiciones cortas.
  • Enable Long Close – permitir el cierre de posiciones largas en señal contraria.
  • Enable Short Close – permitir el cierre de posiciones cortas en señal contraria.
  • Candle Type – marco temporal utilizado para los cálculos.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// BykovTrend strategy with position re-opening.
/// Uses Williams %R and ATR to detect trend changes.
/// Re-opens positions every fixed price step while trend persists.
/// </summary>
public class BykovTrendReOpenStrategy : Strategy
{
	private readonly StrategyParam<int> _risk;
	private readonly StrategyParam<int> _ssp;
	private readonly StrategyParam<decimal> _priceStep;
	private readonly StrategyParam<int> _maxPositions;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<bool> _enableLongOpen;
	private readonly StrategyParam<bool> _enableShortOpen;
	private readonly StrategyParam<bool> _enableLongClose;
	private readonly StrategyParam<bool> _enableShortClose;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _lastBuyPrice;
	private decimal _lastSellPrice;
	private int _buyCount;
	private int _sellCount;
	private bool _trendUp;

	/// <summary>
	/// Risk parameter for trend detection.
	/// </summary>
	public int Risk
	{
		get => _risk.Value;
		set => _risk.Value = value;
	}

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int Ssp
	{
		get => _ssp.Value;
		set => _ssp.Value = value;
	}

	/// <summary>
	/// Price distance to re-open position.
	/// </summary>
	public decimal PriceStep
	{
		get => _priceStep.Value;
		set => _priceStep.Value = value;
	}

	/// <summary>
	/// Maximum number of positions in one direction.
	/// </summary>
	public int MaxPositions
	{
		get => _maxPositions.Value;
		set => _maxPositions.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in price units.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take-profit distance in price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool EnableLongOpen
	{
		get => _enableLongOpen.Value;
		set => _enableLongOpen.Value = value;
	}

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool EnableShortOpen
	{
		get => _enableShortOpen.Value;
		set => _enableShortOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long positions on opposite signals.
	/// </summary>
	public bool EnableLongClose
	{
		get => _enableLongClose.Value;
		set => _enableLongClose.Value = value;
	}

	/// <summary>
	/// Allow closing short positions on opposite signals.
	/// </summary>
	public bool EnableShortClose
	{
		get => _enableShortClose.Value;
		set => _enableShortClose.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BykovTrendReOpenStrategy()
	{
		_risk = Param(nameof(Risk), 3)
			.SetGreaterThanZero()
			.SetDisplay("Risk", "Risk parameter for BykovTrend", "Indicator")
			
			.SetOptimize(1, 10, 1);

		_ssp = Param(nameof(Ssp), 9)
			.SetGreaterThanZero()
			.SetDisplay("SSP", "Williams %R period", "Indicator")
			
			.SetOptimize(5, 20, 1);

		_priceStep = Param(nameof(PriceStep), 300m)
			.SetGreaterThanZero()
			.SetDisplay("Price Step", "Distance for re-open", "Trading")
			
			.SetOptimize(100m, 1000m, 100m);

		_maxPositions = Param(nameof(MaxPositions), 10)
			.SetGreaterThanZero()
			.SetDisplay("Max Positions", "Maximum positions per side", "Trading")
			
			.SetOptimize(1, 20, 1);

		_stopLoss = Param(nameof(StopLoss), 1000m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop-loss distance", "Risk")
			
			.SetOptimize(100m, 2000m, 100m);

		_takeProfit = Param(nameof(TakeProfit), 2000m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take-profit distance", "Risk")
			
			.SetOptimize(100m, 4000m, 100m);

		_enableLongOpen = Param(nameof(EnableLongOpen), true)
			.SetDisplay("Enable Long Open", "Allow long entries", "Trading");

		_enableShortOpen = Param(nameof(EnableShortOpen), true)
			.SetDisplay("Enable Short Open", "Allow short entries", "Trading");

		_enableLongClose = Param(nameof(EnableLongClose), true)
			.SetDisplay("Enable Long Close", "Allow long exits", "Trading");

		_enableShortClose = Param(nameof(EnableShortClose), true)
			.SetDisplay("Enable Short Close", "Allow short exits", "Trading");

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

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

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

		_lastBuyPrice = 0m;
		_lastSellPrice = 0m;
		_buyCount = 0;
		_sellCount = 0;
		_trendUp = false;
	}

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

		var wpr = new WilliamsR { Length = Ssp };
		var atr = new AverageTrueRange { Length = 15 };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(wpr, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var k = 33 - Risk;
		var newTrend = _trendUp;
		if (wpr < -100 + k)
			newTrend = false;
		if (wpr > -k)
			newTrend = true;

		var buySignal = !_trendUp && newTrend;
		var sellSignal = _trendUp && !newTrend;

		if (buySignal)
		{
			if (EnableShortClose)
				CloseShortPositions();
			TryOpenLong(candle.ClosePrice);
		}
		else if (sellSignal)
		{
			if (EnableLongClose)
				CloseLongPositions();
			TryOpenShort(candle.ClosePrice);
		}

		if (Position > 0)
			CheckRebuy(candle.ClosePrice);
		else if (Position < 0)
			CheckResell(candle.ClosePrice);

		_trendUp = newTrend;
	}

	private void TryOpenLong(decimal price)
	{
		if (!EnableLongOpen || Position > 0)
			return;

		var volume = Volume + Math.Abs(Position);
		BuyMarket(volume);
		_lastBuyPrice = price;
		_buyCount = 1;
		LogInfo($"Open long at {price}");
	}

	private void TryOpenShort(decimal price)
	{
		if (!EnableShortOpen || Position < 0)
			return;

		var volume = Volume + Math.Abs(Position);
		SellMarket(volume);
		_lastSellPrice = price;
		_sellCount = 1;
		LogInfo($"Open short at {price}");
	}

	private void CloseLongPositions()
	{
		if (Position <= 0)
			return;

		SellMarket(Math.Abs(Position));
		ResetState();
		LogInfo("Close long positions");
	}

	private void CloseShortPositions()
	{
		if (Position >= 0)
			return;

		BuyMarket(Math.Abs(Position));
		ResetState();
		LogInfo("Close short positions");
	}

	private void CheckRebuy(decimal price)
	{
		if (_buyCount >= MaxPositions)
		{
			CheckStops(price, true);
			return;
		}

		if (price - _lastBuyPrice >= PriceStep)
		{
			BuyMarket(Volume);
			_lastBuyPrice = price;
			_buyCount++;
			LogInfo($"Re-open long at {price}");
		}

		CheckStops(price, true);
	}

	private void CheckResell(decimal price)
	{
		if (_sellCount >= MaxPositions)
		{
			CheckStops(price, false);
			return;
		}

		if (_lastSellPrice - price >= PriceStep)
		{
			SellMarket(Volume);
			_lastSellPrice = price;
			_sellCount++;
			LogInfo($"Re-open short at {price}");
		}

		CheckStops(price, false);
	}

	private void CheckStops(decimal price, bool isLong)
	{
		var entry = isLong ? _lastBuyPrice : _lastSellPrice;

		if (StopLoss > 0)
		{
			var stopPrice = isLong ? entry - StopLoss : entry + StopLoss;
			if (isLong ? price <= stopPrice : price >= stopPrice)
			{
				if (isLong)
					SellMarket(Math.Abs(Position));
				else
					BuyMarket(Math.Abs(Position));

				ResetState();
				LogInfo($"Stop loss triggered at {price}");
				return;
			}
		}

		if (TakeProfit > 0)
		{
			var target = isLong ? entry + TakeProfit : entry - TakeProfit;
			if (isLong ? price >= target : price <= target)
			{
				if (isLong)
					SellMarket(Math.Abs(Position));
				else
					BuyMarket(Math.Abs(Position));

				ResetState();
				LogInfo($"Take profit triggered at {price}");
			}
		}
	}

	private void ResetState()
	{
		_lastBuyPrice = 0m;
		_lastSellPrice = 0m;
		_buyCount = 0;
		_sellCount = 0;
	}
}