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Estrategia JK BullP AutoTrader

El JK BullP AutoTrader es un puerto del Expert Advisor original de MetaTrader que se basa en el oscilador Bulls Power. Interpreta la relación entre dos valores consecutivos de Bulls Power para detectar cuándo la fuerza alcista se está desvaneciendo por encima de la línea cero o cuando cae por debajo de cero y se revierte. Las operaciones largas y cortas están protegidas con stops fijos y un trailing stop incremental que se ajusta a medida que la operación se vuelve rentable.

Detalles

  • Criterios de entrada: Vender cuando Bulls Power de hace dos barras está por encima de la barra anterior y la barra anterior está por encima de cero. Comprar cuando la barra anterior de Bulls Power está por debajo de cero.
  • Largo/Corto: Ambos.
  • Criterios de salida: Take profit fijo, stop loss fijo, o trailing stop alcanzado. Las señales opuestas revierten la posición.
  • Stops: Take profit fijo, stop loss fijo, trailing stop.
  • Valores predeterminados:
    • BullsPeriod = 13
    • TakeProfitPoints = 350
    • StopLossPoints = 100
    • TrailingStopPoints = 100
    • TrailingStepPoints = 40
    • CandleType = TimeSpan.FromHours(1)
  • Filtros:
    • Categoría: Oscilador
    • Dirección: Ambos
    • Indicadores: Bulls Power
    • Stops: Fijo + Trailing
    • Complejidad: Básico
    • Marco temporal: Intradía / Swing (1H)
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
using System;
using System.Linq;
using System.Collections.Generic;

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

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Port of the JK BullP AutoTrader strategy that trades using the Bulls Power indicator.
/// Sells when Bulls Power weakens above zero and buys when it drops below zero with trailing risk control.
/// </summary>
public class JkBullPowerAutoTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _bullsPeriod;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _trailingStopPoints;
	private readonly StrategyParam<decimal> _trailingStepPoints;
	private readonly StrategyParam<DataType> _candleType;

	private BullPower _bullsPower = null!;
	private decimal? _prevBulls;
	private decimal? _prevPrevBulls;

	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;
	private decimal _entryPrice;

	private decimal _priceStep;

	/// <summary>
	/// Bulls Power indicator length.
	/// </summary>
	public int BullsPeriod
	{
		get => _bullsPeriod.Value;
		set => _bullsPeriod.Value = value;
	}

	/// <summary>
	/// Take profit distance in price steps.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Stop loss distance in price steps.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Trailing stop activation distance in price steps.
	/// </summary>
	public decimal TrailingStopPoints
	{
		get => _trailingStopPoints.Value;
		set => _trailingStopPoints.Value = value;
	}

	/// <summary>
	/// Trailing stop step in price steps.
	/// </summary>
	public decimal TrailingStepPoints
	{
		get => _trailingStepPoints.Value;
		set => _trailingStepPoints.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="JkBullPowerAutoTraderStrategy"/> class.
	/// </summary>
	public JkBullPowerAutoTraderStrategy()
	{
		_bullsPeriod = Param(nameof(BullsPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("Bulls Power Period", "Length for Bulls Power indicator", "Indicators")
			
			.SetOptimize(5, 30, 1);

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 350m)
			.SetNotNegative()
			.SetDisplay("Take Profit (pts)", "Take profit distance in price steps", "Risk")
			
			.SetOptimize(50m, 600m, 50m);

		_stopLossPoints = Param(nameof(StopLossPoints), 100m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pts)", "Stop loss distance in price steps", "Risk")
			
			.SetOptimize(50m, 300m, 25m);

		_trailingStopPoints = Param(nameof(TrailingStopPoints), 100m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (pts)", "Profit distance that activates trailing", "Risk");

		_trailingStepPoints = Param(nameof(TrailingStepPoints), 40m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pts)", "Minimal trailing increment", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevBulls = null;
		_prevPrevBulls = null;
		_stopPrice = null;
		_takeProfitPrice = null;
		_entryPrice = 0m;
		_priceStep = 0m;
	}

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

		if (TrailingStopPoints > 0m && TrailingStopPoints <= TrailingStepPoints)
		{
			this.AddErrorLog("Trailing stop must be greater than trailing step.");
			Stop();
			return;
		}

		_priceStep = Security?.PriceStep ?? 1m;
		if (_priceStep <= 0m)
			_priceStep = 1m;

		_bullsPower = new BullPower
		{
			Length = BullsPeriod
		};

		_prevBulls = null;
		_prevPrevBulls = null;
		_stopPrice = null;
		_takeProfitPrice = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_bullsPower, ProcessCandle)
			.Start();

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

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

		UpdateTrailing(candle);

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			UpdateHistory(bullsValue);
			return;
		}

		CheckRisk(candle);

		if (!_bullsPower.IsFormed)
		{
			UpdateHistory(bullsValue);
			return;
		}

		if (_prevBulls is not decimal prevBulls || _prevPrevBulls is not decimal prevPrevBulls)
		{
			UpdateHistory(bullsValue);
			return;
		}

		var sellSignal = prevPrevBulls > prevBulls && prevBulls > 0m && bullsValue < prevBulls;
		var buySignal = prevPrevBulls < prevBulls && prevBulls < 0m && bullsValue > prevBulls;

		if (sellSignal && Position >= 0)
		{
			// Close any existing long position and establish a short.
			var volume = Volume + (Position > 0 ? Position : 0m);
			if (volume > 0)
			{
				SellMarket(volume);
				InitializeTargets(false, candle.ClosePrice);
			}
		}
		else if (buySignal && Position <= 0)
		{
			// Close any existing short position and establish a long.
			var volume = Volume + (Position < 0 ? Math.Abs(Position) : 0m);
			if (volume > 0)
			{
				BuyMarket(volume);
				InitializeTargets(true, candle.ClosePrice);
			}
		}

		UpdateHistory(bullsValue);
	}

	private void UpdateTrailing(ICandleMessage candle)
	{
		if (Position == 0 || TrailingStopPoints <= 0m)
			return;

		var trailingDistance = TrailingStopPoints * _priceStep;
		if (trailingDistance <= 0m)
			return;

		var trailingStep = TrailingStepPoints * _priceStep;

		if (Position > 0)
		{
			// Update trailing stop for long positions when profit exceeds the trigger distance.
			var profit = candle.ClosePrice - _entryPrice;
			if (profit <= trailingDistance)
				return;

			var candidate = candle.ClosePrice - trailingDistance;
			if (!_stopPrice.HasValue || candidate > _stopPrice.Value && (trailingStep <= 0m || candidate - _stopPrice.Value >= trailingStep))
				_stopPrice = candidate;
		}
		else
		{
			// Update trailing stop for short positions when profit exceeds the trigger distance.
			var profit = _entryPrice - candle.ClosePrice;
			if (profit <= trailingDistance)
				return;

			var candidate = candle.ClosePrice + trailingDistance;
			if (!_stopPrice.HasValue || candidate < _stopPrice.Value && (trailingStep <= 0m || _stopPrice.Value - candidate >= trailingStep))
				_stopPrice = candidate;
		}
	}

	private void CheckRisk(ICandleMessage candle)
	{
		if (Position > 0)
		{
			// Manage long exits by stop loss, trailing stop, or take profit.
			if (_stopPrice.HasValue && candle.LowPrice <= _stopPrice.Value)
			{
				SellMarket(Position);
				ResetTargets();
				return;
			}

			if (_takeProfitPrice.HasValue && candle.HighPrice >= _takeProfitPrice.Value)
			{
				SellMarket(Position);
				ResetTargets();
			}
		}
		else if (Position < 0)
		{
			// Manage short exits by stop loss, trailing stop, or take profit.
			if (_stopPrice.HasValue && candle.HighPrice >= _stopPrice.Value)
			{
				BuyMarket(-Position);
				ResetTargets();
				return;
			}

			if (_takeProfitPrice.HasValue && candle.LowPrice <= _takeProfitPrice.Value)
			{
				BuyMarket(-Position);
				ResetTargets();
			}
		}
		else
		{
			ResetTargets();
		}
	}

	private void InitializeTargets(bool isLong, decimal entryPrice)
	{
		_entryPrice = entryPrice;
		var stopDistance = StopLossPoints * _priceStep;
		var takeDistance = TakeProfitPoints * _priceStep;

		_stopPrice = stopDistance > 0m
			? isLong ? entryPrice - stopDistance : entryPrice + stopDistance
			: null;

		_takeProfitPrice = takeDistance > 0m
			? isLong ? entryPrice + takeDistance : entryPrice - takeDistance
			: null;
	}

	private void ResetTargets()
	{
		_stopPrice = null;
		_takeProfitPrice = null;
	}

	private void UpdateHistory(decimal bullsValue)
	{
		_prevPrevBulls = _prevBulls;
		_prevBulls = bullsValue;
	}
}