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Estrategia ColorJFatl Digit TM Plus

Descripción general

La estrategia ColorJFatl Digit TM Plus es un port directo del asesor experto de MetaTrader 5 Exp_ColorJFatl_Digit_Tm_Plus. Opera reversiones de pendiente de una Línea de Tendencia Adaptativa Rápida (FATL) suavizada con una Media Móvil Jurik (JMA). El indicador original publica tres colores (arriba, plano, abajo). La estrategia reacciona cuando el color en la última barra terminada cambia y alinea la posición con la nueva pendiente.

La implementación en StockSharp mantiene el comportamiento de alto nivel de la versión MQL: las órdenes se generan en velas cerradas, los exits basados en tiempo son opcionales, y la entrada de dimensionamiento de lote está representada por el parámetro TradeVolume.

Lógica de señales

  1. Cálculo del indicador

    • Los precios se alimentan a través del filtro digital FATL de 39 taps suministrado con el indicador original.
    • La serie filtrada se suaviza con una Media Móvil Jurik. La longitud, el precio aplicado y la precisión de redondeo pueden personalizarse mediante parámetros.
    • El estado de color se determina por el signo de la diferencia entre los valores suavizados actual y anterior: 2 para pendiente alcista, 0 para pendiente bajista y 1 para neutral/sin cambio.

  2. Condiciones de entrada

    • Entrada larga – habilitada por EnableBuyEntries. Se activa cuando el color de la barra actual se convierte en 2 mientras el color de la barra anterior era menor que 2. Cualquier posición corta existente se cierra primero cuando EnableSellExits es true.
    • Entrada corta – habilitada por EnableSellEntries. Se activa cuando el color de la barra actual se convierte en 0 mientras el color anterior era mayor que 0. Cualquier posición larga existente se cierra primero cuando EnableBuyExits es true.
    • Solo puede haber una posición abierta a la vez. Las órdenes se envían al cierre de la vela de confirmación.

  3. Condiciones de salida

    • Salidas por reversión de pendiente – cuando la pendiente se invierte en la dirección opuesta, el flag correspondiente EnableBuyExits o EnableSellExits cerrará la posición abierta.
    • Salida basada en tiempo – si UseTimeExit está habilitado, una posición se cierra después de mantenerla durante HoldingMinutes minutos.
    • Niveles de protección – StopLossPoints y TakeProfitPoints se expresan en pasos de precio. Se evalúan en cada vela finalizada comparando el máximo/mínimo de sesión con el precio de entrada.

Parámetros

Parámetro Descripción
TradeVolume Cantidad usada para entradas de mercado.
StopLossPoints Distancia del stop de protección en pasos de precio. Establecer en 0 para deshabilitar.
TakeProfitPoints Distancia del objetivo de ganancia en pasos de precio. Establecer en 0 para deshabilitar.
EnableBuyEntries / EnableSellEntries Habilitar o deshabilitar entradas largas/cortas.
EnableBuyExits / EnableSellExits Habilitar o deshabilitar salidas basadas en pendiente.
UseTimeExit Habilita la lógica de salida temporizada.
HoldingMinutes Período de tenencia en minutos cuando el exit temporizado está activo.
CandleType Marco temporal usado para cálculos (por defecto 4 horas).
JmaLength Longitud de suavizado de la Media Móvil Jurik aplicada a la salida FATL.
AppliedPrices Fuente de precio para el filtro digital (cierre, apertura, mediana, Demark, etc.).
RoundingDigits Número de dígitos usados al redondear la línea suavizada.
SignalBar Offset de la barra terminada usada para evaluar el estado del indicador.

Notas

  • La estrategia procesa solo velas completamente finalizadas y por lo tanto funciona bien con backtests históricos.
  • AppliedPrices.Demark reproduce el mismo cálculo que el indicador MQL original.
  • Debido a que StockSharp maneja la ejecución de órdenes de forma asíncrona, el seguimiento interno del precio de entrada se actualiza cada vez que se abre una nueva posición y se borra cada vez que se envía una orden de salida.
using System;
using System.Linq;
using System.Collections.Generic;

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

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ColorJFatl Digit TM Plus strategy converted from MQL.
/// Trades slope changes of a Jurik smoothed FATL digital filter and
/// optionally applies time based and price based exits.
/// </summary>
public class ColorJfatlDigitTmPlusStrategy : Strategy
{
	private static readonly decimal[] FatlCoefficients =
	[
		0.4360409450m, 0.3658689069m, 0.2460452079m, 0.1104506886m,
		-0.0054034585m, -0.0760367731m, -0.0933058722m, -0.0670110374m,
		-0.0190795053m, 0.0259609206m, 0.0502044896m, 0.0477818607m,
		0.0249252327m, -0.0047706151m, -0.0272432537m, -0.0338917071m,
		-0.0244141482m, -0.0055774838m, 0.0128149838m, 0.0226522218m,
		0.0208778257m, 0.0100299086m, -0.0036771622m, -0.0136744850m,
		-0.0160483392m, -0.0108597376m, -0.0016060704m, 0.0069480557m,
		0.0110573605m, 0.0095711419m, 0.0040444064m, -0.0023824623m,
		-0.0067093714m, -0.0072003400m, -0.0047717710m, 0.0005541115m,
		0.0007860160m, 0.0130129076m, 0.0040364019m,
	];

	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;
	private readonly StrategyParam<bool> _enableBuyEntries;
	private readonly StrategyParam<bool> _enableSellEntries;
	private readonly StrategyParam<bool> _enableBuyExits;
	private readonly StrategyParam<bool> _enableSellExits;
	private readonly StrategyParam<bool> _useTimeExit;
	private readonly StrategyParam<int> _holdingMinutes;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _jmaLength;
	private readonly StrategyParam<AppliedPrices> _appliedPrice;
	private readonly StrategyParam<int> _digitRounding;
	private readonly StrategyParam<int> _signalBar;

	private ExponentialMovingAverage _jma;
	private readonly List<decimal> _priceBuffer = new();
	private readonly List<int> _colorHistory = new();

	private decimal? _previousLine;
	private DateTimeOffset? _entryTime;

	/// <summary>
	/// Trading volume used for market orders.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

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

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

	/// <summary>
	/// Enables long entries when an up-slope appears.
	/// </summary>
	public bool EnableBuyEntries
	{
		get => _enableBuyEntries.Value;
		set => _enableBuyEntries.Value = value;
	}

	/// <summary>
	/// Enables short entries when a down-slope appears.
	/// </summary>
	public bool EnableSellEntries
	{
		get => _enableSellEntries.Value;
		set => _enableSellEntries.Value = value;
	}

	/// <summary>
	/// Enables long exit when the filter turns bearish.
	/// </summary>
	public bool EnableBuyExits
	{
		get => _enableBuyExits.Value;
		set => _enableBuyExits.Value = value;
	}

	/// <summary>
	/// Enables short exit when the filter turns bullish.
	/// </summary>
	public bool EnableSellExits
	{
		get => _enableSellExits.Value;
		set => _enableSellExits.Value = value;
	}

	/// <summary>
	/// Enables the time based exit.
	/// </summary>
	public bool UseTimeExit
	{
		get => _useTimeExit.Value;
		set => _useTimeExit.Value = value;
	}

	/// <summary>
	/// Holding period in minutes for the time based exit.
	/// </summary>
	public int HoldingMinutes
	{
		get => _holdingMinutes.Value;
		set => _holdingMinutes.Value = value;
	}

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

	/// <summary>
	/// Jurik smoothing length applied to the digital filter.
	/// </summary>
	public int JmaLength
	{
		get => _jmaLength.Value;
		set => _jmaLength.Value = value;
	}

	/// <summary>
	/// Applied price option for the digital filter input.
	/// </summary>
	public AppliedPrices AppliedPrice
	{
		get => _appliedPrice.Value;
		set => _appliedPrice.Value = value;
	}

	/// <summary>
	/// Precision multiplier used for rounding indicator values.
	/// </summary>
	public int DigitRounding
	{
		get => _digitRounding.Value;
		set => _digitRounding.Value = value;
	}

	/// <summary>
	/// Number of finished bars to look back for signals.
	/// </summary>
	public int SignalBar
	{
		get => _signalBar.Value;
		set => _signalBar.Value = value;
	}

	/// <summary>
	/// Applied price options matching the original MQL enumeration.
	/// </summary>
	public enum AppliedPrices
	{
		Close = 1,
		Open,
		High,
		Low,
		Median,
		Typical,
		Weighted,
		AverageOC,
		AverageOHLC,
		TrendFollow1,
		TrendFollow2,
		Demark,
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public ColorJfatlDigitTmPlusStrategy()
	{
		_tradeVolume = Param(nameof(TradeVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Volume", "Order volume", "Trading");

		_stopLossPoints = Param(nameof(StopLossPoints), 0)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop loss distance in price steps (0=disabled)", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 0)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit distance in price steps (0=disabled)", "Risk");

		_enableBuyEntries = Param(nameof(EnableBuyEntries), true)
			.SetDisplay("Enable Long Entry", "Allow opening long positions", "Signals");

		_enableSellEntries = Param(nameof(EnableSellEntries), true)
			.SetDisplay("Enable Short Entry", "Allow opening short positions", "Signals");

		_enableBuyExits = Param(nameof(EnableBuyExits), true)
			.SetDisplay("Enable Long Exit", "Allow closing long positions", "Signals");

		_enableSellExits = Param(nameof(EnableSellExits), true)
			.SetDisplay("Enable Short Exit", "Allow closing short positions", "Signals");

		_useTimeExit = Param(nameof(UseTimeExit), false)
			.SetDisplay("Use Time Exit", "Enable time based exit", "Exits");

		_holdingMinutes = Param(nameof(HoldingMinutes), 240)
			.SetGreaterThanZero()
			.SetDisplay("Holding Minutes", "Exit after holding for N minutes", "Exits");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Source candles", "General");

		_jmaLength = Param(nameof(JmaLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("JMA Length", "Jurik smoothing length", "Indicator")
			.SetOptimize(3, 30, 1);

		_appliedPrice = Param(nameof(AppliedPrice), AppliedPrices.Close)
			.SetDisplay("Applied Price", "Price source for the filter", "Indicator");

		_digitRounding = Param(nameof(DigitRounding), 0)
			.SetNotNegative()
			.SetDisplay("Digit Rounding", "Rounding precision multiplier", "Indicator");

		_signalBar = Param(nameof(SignalBar), 1)
			.SetGreaterThanZero()
			.SetDisplay("Signal Bar", "Number of finished bars used for signals", "Indicator");
	}

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

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

		_jma = null;
		_priceBuffer.Clear();
		_colorHistory.Clear();
		_previousLine = null;
		_entryTime = null;
	}

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

		Volume = TradeVolume;
		_jma = new ExponentialMovingAverage { Length = JmaLength };

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

		var priceStep = Security?.PriceStep ?? 0m;
		Unit takeProfitUnit = null;
		Unit stopLossUnit = null;

		if (TakeProfitPoints > 0 && priceStep > 0m)
			takeProfitUnit = new Unit(TakeProfitPoints * priceStep, UnitTypes.Absolute);

		if (StopLossPoints > 0 && priceStep > 0m)
			stopLossUnit = new Unit(StopLossPoints * priceStep, UnitTypes.Absolute);

		StartProtection(takeProfit: takeProfitUnit, stopLoss: stopLossUnit);
	}

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

		var price = GetAppliedPrice(candle);
		_priceBuffer.Add(price);
		if (_priceBuffer.Count > FatlCoefficients.Length)
			_priceBuffer.RemoveAt(0);

		if (_priceBuffer.Count < FatlCoefficients.Length)
			return;

		var fatl = 0m;
		for (var i = 0; i < FatlCoefficients.Length; i++)
			fatl += FatlCoefficients[i] * _priceBuffer[_priceBuffer.Count - 1 - i];

		var jmaValue = _jma.Process(new DecimalIndicatorValue(_jma, fatl, candle.OpenTime) { IsFinal = true });
		if (!_jma.IsFormed)
			return;

		var roundedLine = RoundToStep(jmaValue.ToDecimal(), GetRoundingStep());

		var color = 1;
		if (_previousLine.HasValue)
		{
			var diff = roundedLine - _previousLine.Value;
			if (diff > 0m)
				color = 2;
			else if (diff < 0m)
				color = 0;
			else if (_colorHistory.Count > 0)
				color = _colorHistory[0];
		}

		_previousLine = roundedLine;
		_colorHistory.Insert(0, color);
		if (_colorHistory.Count > 100)
			_colorHistory.RemoveAt(_colorHistory.Count - 1);

		if (_colorHistory.Count <= SignalBar)
			return;

		var currentColor = _colorHistory[SignalBar - 1];
		var previousColor = _colorHistory[SignalBar];

		// Time-based exit
		if (UseTimeExit && Position != 0 && _entryTime is not null && HoldingMinutes > 0)
		{
			var elapsed = candle.CloseTime - _entryTime.Value;
			if (elapsed >= TimeSpan.FromMinutes(HoldingMinutes))
			{
				if (Position > 0)
					SellMarket();
				else if (Position < 0)
					BuyMarket();

				_entryTime = null;
			}
		}

		var buyOpenSignal = EnableBuyEntries && currentColor == 2 && previousColor != 2;
		var sellCloseSignal = EnableSellExits && currentColor == 2;
		var sellOpenSignal = EnableSellEntries && currentColor == 0 && previousColor != 0;
		var buyCloseSignal = EnableBuyExits && currentColor == 0;

		if (buyCloseSignal && Position > 0)
		{
			SellMarket();
			_entryTime = null;
		}

		if (sellCloseSignal && Position < 0)
		{
			BuyMarket();
			_entryTime = null;
		}

		if (buyOpenSignal && Position == 0)
		{
			BuyMarket();
			_entryTime = candle.CloseTime;
		}

		if (sellOpenSignal && Position == 0)
		{
			SellMarket();
			_entryTime = candle.CloseTime;
		}
	}

	private decimal GetAppliedPrice(ICandleMessage candle)
		=> AppliedPrice switch
		{
			AppliedPrices.Close => candle.ClosePrice,
			AppliedPrices.Open => candle.OpenPrice,
			AppliedPrices.High => candle.HighPrice,
			AppliedPrices.Low => candle.LowPrice,
			AppliedPrices.Median => (candle.HighPrice + candle.LowPrice) / 2m,
			AppliedPrices.Typical => (candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 3m,
			AppliedPrices.Weighted => (2m * candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4m,
			AppliedPrices.AverageOC => (candle.OpenPrice + candle.ClosePrice) / 2m,
			AppliedPrices.AverageOHLC => (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4m,
			AppliedPrices.TrendFollow1 => candle.ClosePrice > candle.OpenPrice
				? candle.HighPrice
				: candle.ClosePrice < candle.OpenPrice
					? candle.LowPrice
					: candle.ClosePrice,
			AppliedPrices.TrendFollow2 => candle.ClosePrice > candle.OpenPrice
				? (candle.HighPrice + candle.ClosePrice) / 2m
				: candle.ClosePrice < candle.OpenPrice
					? (candle.LowPrice + candle.ClosePrice) / 2m
					: candle.ClosePrice,
			AppliedPrices.Demark => GetDemarkPrice(candle),
			_ => candle.ClosePrice,
		};

	private static decimal GetDemarkPrice(ICandleMessage candle)
	{
		var res = candle.HighPrice + candle.LowPrice + candle.ClosePrice;
		if (candle.ClosePrice < candle.OpenPrice)
			res = (res + candle.LowPrice) / 2m;
		else if (candle.ClosePrice > candle.OpenPrice)
			res = (res + candle.HighPrice) / 2m;
		else
			res = (res + candle.ClosePrice) / 2m;

		return ((res - candle.LowPrice) + (res - candle.HighPrice)) / 2m;
	}

	private decimal GetRoundingStep()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m)
			return 0m;

		var multiplier = (decimal)Math.Pow(10, DigitRounding);
		return step * multiplier;
	}

	private static decimal RoundToStep(decimal value, decimal step)
	{
		if (step <= 0m)
			return value;

		return Math.Round(value / step, MidpointRounding.AwayFromZero) * step;
	}
}