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Estrategia de aleatoriedad RRS

Descripción general

La Estrategia de aleatoriedad RRS es una adaptación StockSharp de "RRS Aleatoriedad en la naturaleza EA" para MetaTrader 4. Emula al asesor experto original generando entradas aleatorias de mercado largas o cortas, aplica niveles de stop-loss y take-profit, opcionalmente rastrea operaciones rentables y realiza liquidaciones basadas en riesgos cuando las pérdidas flotantes exceden el umbral configurado.

Debido a que StockSharp utiliza posiciones netas por valor, no se admiten exposiciones largas y cortas simultáneas. Por lo tanto, el modo "DoubleSide" alterna la dirección de entrada en cada oportunidad en lugar de mantener dos operaciones cubiertas como en MetaTrader.

Lógica de trading

  1. En cada vela terminada, la estrategia evalúa el último precio de mercado obtenido de las operaciones o cotizaciones de Nivel 1.
  2. Si hay una posición abierta, aplica reglas de stop-loss, take-profit y trailing-stop y realiza una verificación del riesgo de la cartera.
  3. Cuando está plano, valida las restricciones de diferencial y volumen antes de abrir una nueva operación:
    • El modo DoubleSide alterna entre entradas largas y cortas.
    • El modo OneSide sigue la regla original EA: un entero aleatorio en [0,5] abre posiciones largas para los valores 1 o 4 y posiciones cortas para 0 o 3.
  4. Los volúmenes comerciales se dibujan uniformemente entre el mínimo y el máximo configurados y están alineados con el paso de volumen del instrumento.

Parámetros

grupo Nombre Descripción
generales Mode Modo de negociación: entradas alternativas (DoubleSide) o entradas cerradas aleatorias (OneSide).
Configuración de lote MinVolume / MaxVolume Rango de volumen para operaciones generadas aleatoriamente.
Protección TakeProfitPoints Distancia de obtención de beneficios en pasos de precio.
Protección StopLossPoints Distancia de stop-loss en pasos de precio.
Protección TrailingStartPoints Distancia de beneficio que permite la gestión del trailing stop.
Protección TrailingGapPoints Compensación entre el precio de mercado y el trailing stop.
Filtros MaxSpreadPoints Spread máximo permitido (en incrementos de precio) para abrir nuevas posiciones.
Filtros SlippagePoints Configuración de deslizamiento informativo (no se aplica automáticamente).
Gestión de riesgos MoneyRiskMode Elija entre pérdida de moneda fija o porcentaje del valor de la cartera.
Gestión de riesgos RiskValue Cantidad de riesgo (moneda o porcentaje según la modalidad).
generales TradeComment Comentario informativo adjunto a los pedidos generados.
generales CandleType Serie de velas que impulsa el ciclo de decisión.

Notas

  • La estrategia se basa en suscripciones a datos de mercado para velas, cotizaciones y operaciones de nivel 1. Asegúrese de que el tipo de datos seleccionado esté disponible para la seguridad elegida.
  • La lógica del trailing stop refleja la implementación de MQL: se activa después de que el precio gana TrailingStartPoints + TrailingGapPoints pasos y luego sigue el precio a una distancia de TrailingGapPoints.
  • La gestión de riesgos compara el PnL flotante con el umbral de pérdida configurado y liquida la posición cuando se supera el umbral.
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>
/// Randomized trading strategy converted from the "RRS Randomness in Nature" MQL expert advisor.
/// The strategy opens random market orders with optional trailing, stop-loss, take-profit and risk protection.
/// </summary>
public class RrsRandomnessStrategy : Strategy
{
	private readonly StrategyParam<TradingModes> _tradingMode;
	private readonly StrategyParam<decimal> _minVolume;
	private readonly StrategyParam<decimal> _maxVolume;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _trailingStartPoints;
	private readonly StrategyParam<decimal> _trailingGapPoints;
	private readonly StrategyParam<decimal> _maxSpreadPoints;
	private readonly StrategyParam<decimal> _slippagePoints;
	private readonly StrategyParam<RiskModes> _riskMode;
	private readonly StrategyParam<decimal> _riskValue;
	private readonly StrategyParam<string> _tradeComment;
	private readonly StrategyParam<DataType> _candleType;

	private int _tradeCounter;
	private decimal? _trailingStopPrice;
	private bool _openLongNext;
	private decimal _entryPrice;

	/// <summary>
	/// Trading direction selection logic.
	/// </summary>
	public TradingModes Mode
	{
		get => _tradingMode.Value;
		set => _tradingMode.Value = value;
	}

	/// <summary>
	/// Minimal order volume.
	/// </summary>
	public decimal MinVolume
	{
		get => _minVolume.Value;
		set => _minVolume.Value = value;
	}

	/// <summary>
	/// Maximal order volume.
	/// </summary>
	public decimal MaxVolume
	{
		get => _maxVolume.Value;
		set => _maxVolume.Value = value;
	}

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

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

	/// <summary>
	/// Profit distance that enables the trailing stop.
	/// </summary>
	public decimal TrailingStartPoints
	{
		get => _trailingStartPoints.Value;
		set => _trailingStartPoints.Value = value;
	}

	/// <summary>
	/// Trailing stop offset from current price measured in price steps.
	/// </summary>
	public decimal TrailingGapPoints
	{
		get => _trailingGapPoints.Value;
		set => _trailingGapPoints.Value = value;
	}

	/// <summary>
	/// Maximal spread allowed for opening trades (price steps).
	/// </summary>
	public decimal MaxSpreadPoints
	{
		get => _maxSpreadPoints.Value;
		set => _maxSpreadPoints.Value = value;
	}

	/// <summary>
	/// Slippage tolerance in price steps (informational parameter).
	/// </summary>
	public decimal SlippagePoints
	{
		get => _slippagePoints.Value;
		set => _slippagePoints.Value = value;
	}

	/// <summary>
	/// Risk management mode.
	/// </summary>
	public RiskModes MoneyRiskMode
	{
		get => _riskMode.Value;
		set => _riskMode.Value = value;
	}

	/// <summary>
	/// Risk value in account currency or percent depending on the mode.
	/// </summary>
	public decimal RiskValue
	{
		get => _riskValue.Value;
		set => _riskValue.Value = value;
	}

	/// <summary>
	/// Trade comment stored for informational purposes.
	/// </summary>
	public string TradeComment
	{
		get => _tradeComment.Value;
		set => _tradeComment.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="RrsRandomnessStrategy"/> class.
	/// </summary>
	public RrsRandomnessStrategy()
	{
		_tradingMode = Param(nameof(Mode), TradingModes.DoubleSide)
			.SetDisplay("Trading Mode", "Select whether a trade is chosen every cycle or only on random matches.", "General");

		_minVolume = Param(nameof(MinVolume), 0.01m)
			.SetGreaterThanZero()
			.SetDisplay("Min Volume", "Minimal volume for a market order.", "Lot Settings");

		_maxVolume = Param(nameof(MaxVolume), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Max Volume", "Maximum volume for a market order.", "Lot Settings");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 2000m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take-profit distance in price steps.", "Protection");

		_stopLossPoints = Param(nameof(StopLossPoints), 3000m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop-loss distance in price steps.", "Protection");

		_trailingStartPoints = Param(nameof(TrailingStartPoints), 1500m)
			.SetNotNegative()
			.SetDisplay("Trailing Start", "Profit distance that enables the trailing stop.", "Protection");

		_trailingGapPoints = Param(nameof(TrailingGapPoints), 1000m)
			.SetNotNegative()
			.SetDisplay("Trailing Gap", "Offset between current price and trailing stop.", "Protection");

		_maxSpreadPoints = Param(nameof(MaxSpreadPoints), 100m)
			.SetNotNegative()
			.SetDisplay("Max Spread", "Maximum spread allowed for new trades (price steps).", "Filters");

		_slippagePoints = Param(nameof(SlippagePoints), 3m)
			.SetNotNegative()
			.SetDisplay("Slippage", "Expected slippage in price steps. Used for reference only.", "Filters");

		_riskMode = Param(nameof(MoneyRiskMode), RiskModes.BalancePercentage)
			.SetDisplay("Risk Mode", "Choose whether risk is fixed or percentage based.", "Risk Management");

		_riskValue = Param(nameof(RiskValue), 5m)
			.SetNotNegative()
			.SetDisplay("Risk Value", "Risk amount in currency or percent.", "Risk Management");

		_tradeComment = Param(nameof(TradeComment), "RRS")
			.SetDisplay("Trade Comment", "Informational comment attached to generated orders.", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type used to trigger the strategy logic.", "General");
	}

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

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

		_tradeCounter = 0;
		_trailingStopPrice = null;
		_openLongNext = true;
		_entryPrice = 0m;
	}

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

		SubscribeCandles(CandleType)
			.Bind(ProcessCandle)
			.Start();
	}

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

		var price = candle.ClosePrice;

		ApplyProtection(price);
		ApplyTrailing(price);
		TryOpenTrade();
	}

	private void ApplyProtection(decimal marketPrice)
	{
		if (Position == 0)
			return;

		var priceStep = Security.PriceStep ?? 0.0001m;
		if (priceStep <= 0m)
			priceStep = 0.0001m;

		var entryPrice = _entryPrice;
		if (entryPrice <= 0m)
			return;

		if (Position > 0)
		{
			if (StopLossPoints > 0m)
			{
				var stopPrice = entryPrice - StopLossPoints * priceStep;
				if (marketPrice <= stopPrice)
				{
					SellMarket(Math.Abs(Position));
					_trailingStopPrice = null;
					return;
				}
			}

			if (TakeProfitPoints > 0m)
			{
				var takePrice = entryPrice + TakeProfitPoints * priceStep;
				if (marketPrice >= takePrice)
				{
					SellMarket(Math.Abs(Position));
					_trailingStopPrice = null;
				}
			}
		}
		else if (Position < 0)
		{
			if (StopLossPoints > 0m)
			{
				var stopPrice = entryPrice + StopLossPoints * priceStep;
				if (marketPrice >= stopPrice)
				{
					BuyMarket(Math.Abs(Position));
					_trailingStopPrice = null;
					return;
				}
			}

			if (TakeProfitPoints > 0m)
			{
				var takePrice = entryPrice - TakeProfitPoints * priceStep;
				if (marketPrice <= takePrice)
				{
					BuyMarket(Math.Abs(Position));
					_trailingStopPrice = null;
				}
			}
		}
	}

	private void ApplyTrailing(decimal marketPrice)
	{
		if (Position == 0 || TrailingGapPoints <= 0m || TrailingStartPoints <= 0m)
			return;

		var priceStep = Security.PriceStep ?? 0m;
		if (priceStep <= 0m)
			return;

		var entryPrice = _entryPrice;
		if (entryPrice <= 0m)
			return;

		var gap = TrailingGapPoints * priceStep;
		var triggerDistance = (TrailingStartPoints + TrailingGapPoints) * priceStep;

		if (Position > 0)
		{
			var profit = marketPrice - entryPrice;
			if (profit > triggerDistance)
			{
				var candidate = marketPrice - gap;
				if (_trailingStopPrice == null || candidate > _trailingStopPrice)
					_trailingStopPrice = candidate;
			}

			if (_trailingStopPrice != null && marketPrice <= _trailingStopPrice)
			{
				SellMarket(Math.Abs(Position));
				_trailingStopPrice = null;
			}
		}
		else if (Position < 0)
		{
			var profit = entryPrice - marketPrice;
			if (profit > triggerDistance)
			{
				var candidate = marketPrice + gap;
				if (_trailingStopPrice == null || candidate < _trailingStopPrice)
					_trailingStopPrice = candidate;
			}

			if (_trailingStopPrice != null && marketPrice >= _trailingStopPrice)
			{
				BuyMarket(Math.Abs(Position));
				_trailingStopPrice = null;
			}
		}
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		if (Position != 0m && _entryPrice == 0m)
			_entryPrice = trade.Trade.Price;

		if (Position == 0m)
			_entryPrice = 0m;
	}

	private void ClosePosition()
	{
		var volume = Math.Abs(Position);
		if (volume <= 0m)
			return;

		if (Position > 0)
			SellMarket(volume);
		else if (Position < 0)
			BuyMarket(volume);
	}

	private void TryOpenTrade()
	{
		if (Position != 0)
			return;

		if (_openLongNext)
		{
			BuyMarket(Volume);
		}
		else
		{
			SellMarket(Volume);
		}

		_openLongNext = !_openLongNext;
		_tradeCounter++;
	}

	/// <summary>
	/// Trading mode options.
	/// </summary>
	public enum TradingModes
	{
		/// <summary>
		/// Alternate between long and short entries every cycle.
		/// </summary>
		DoubleSide,

		/// <summary>
		/// Enter only when the random generator matches specific values.
		/// </summary>
		OneSide,
	}

	/// <summary>
	/// Risk management configuration.
	/// </summary>
	public enum RiskModes
	{
		/// <summary>
		/// Risk is defined as a fixed currency value.
		/// </summary>
		FixedMoney,

		/// <summary>
		/// Risk is calculated as a percentage of the portfolio value.
		/// </summary>
		BalancePercentage,
	}
}