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Estrategia de mandíbula de francotirador

La Estrategia Sniper Jaw transfiere el asesor experto MetaTrader 4 SniperJawEA.mq4 a la estrategia de alto nivel de StockSharp API. El sistema analiza el indicador Bill Williams' Alligator en el precio medio de la vela. Una operación sólo se inicia cuando las tres medias móviles suavizadas (mandíbula, dientes y labios) se apilan en estricto orden alcista o bajista y todas avanzan en la misma dirección en comparación con la vela finalizada anterior.

Lógica de trading

  1. Alligator reconstrucción: tres SmoothedMovingAverage instancias calculan la mandíbula, los dientes y los labios en la mediana de la vela (High + Low) / 2. Cada línea se puede avanzar su propio número de barras para reflejar el trazado de MetaTrader.
  2. Confirmación de tendencia: se produce un sesgo largo cuando los valores desplazados satisfacen jaw < teeth < lips y cada línea es más alta que en la vela anterior. Se necesita un sesgo corto jaw > teeth > lips con las tres líneas moviéndose hacia abajo en comparación con la barra anterior.
  3. Gestión de entradas: la estrategia abre solo una posición a la vez. Cuando UseEntryToExit está habilitado y se activa una nueva señal opuesta, la exposición actual se aplana primero y la nueva orden se envía en la siguiente señal.
  4. Salidas de protección: las distancias de stop-loss y take-profit se definen en pips y se convierten utilizando el valor PriceStep. Tanto las posiciones largas como las cortas se supervisan en cada vela terminada y se cierran una vez que se alcanza cualquiera de los umbrales.
  5. Limitación de señal: el EA original evitó entradas duplicadas al verificar la marca de tiempo de la barra. El puerto almacena el tiempo de la última vela de señal y omite órdenes adicionales durante la misma barra.

Parámetros

Parámetro Predeterminado Descripción
OrderVolume 0.1 Tamaño comercial en lotes o contratos pasados a BuyMarket/SellMarket.
EnableTrading true Switch maestro que permite deshabilitar nuevas entradas manteniendo activa la gestión de riesgos.
UseEntryToExit true Cierra una posición existente antes de armar una señal opuesta. Refleja el indicador "Entrada a Salida" del EA.
StopLossPips 20 Distancia del tope de protección al precio de entrada. Cero desactiva la parada.
TakeProfitPips 50 Distancia del objetivo de beneficio al precio de entrada. Cero desactiva el objetivo.
MinimumBars 60 Número requerido de velas terminadas antes de que se evalúe la primera señal.
JawPeriod / TeethPeriod / LipsPeriod 13 / 8 / 5 Longitud de las medias móviles suavizadas que forman las líneas Alligator.
JawShift / TeethShift / LipsShift 8 / 5 / 3 Desplazamiento hacia adelante (en barras) utilizado para alinear los buffers Alligator con la versión MetaTrader.
CandleType 1 hour time frame Suscripción a la serie de velas primarias. Ajústelo para que coincida con el gráfico utilizado en MetaTrader.

Notas de uso

  • La implementación solo evalúa velas terminadas (CandleStates.Finished) para evitar valores parcialmente formados.
  • Los niveles de parada y objetivo se rastrean internamente; la estrategia emite órdenes de mercado para aplanar la posición cuando se viola un nivel.
  • La conversión de pasos de precio sigue la convención común de Forex: los símbolos de 5 y 3 decimales tratan un pip como diez pasos de precio.
  • Agregue la estrategia a un esquema junto con un conector, una cartera y una configuración de seguridad. Después de iniciar la estrategia, el panel del gráfico mostrará la serie de velas y las líneas Alligator reconstruidas para una validación visual rápida.
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>
/// Trend-following system converted from the MetaTrader expert advisor "SniperJawEA.mq4".
/// The strategy aligns the Alligator jaw, teeth, and lips smoothed moving averages on the median price.
/// A long signal appears when all three lines stack upward and each line rises compared with the previous candle.
/// A short signal requires the inverse stacking and downward slope. Optional settings mirror the original EA: pip-based
/// stop-loss and take-profit distances plus an "entry-to-exit" switch that liquidates the opposite position before opening a new trade.
/// </summary>
public class SniperJawStrategy : Strategy
{
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<bool> _enableTrading;
	private readonly StrategyParam<bool> _useEntryToExit;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _minimumBars;
	private readonly StrategyParam<int> _jawPeriod;
	private readonly StrategyParam<int> _jawShift;
	private readonly StrategyParam<int> _teethPeriod;
	private readonly StrategyParam<int> _teethShift;
	private readonly StrategyParam<int> _lipsPeriod;
	private readonly StrategyParam<int> _lipsShift;
	private readonly StrategyParam<DataType> _candleType;

	private SmoothedMovingAverage _jaw;
	private SmoothedMovingAverage _teeth;
	private SmoothedMovingAverage _lips;

	private decimal?[] _jawHistory;
	private decimal?[] _teethHistory;
	private decimal?[] _lipsHistory;

	private decimal _pipSize;
	private decimal? _longStopPrice;
	private decimal? _longTakePrice;
	private decimal? _shortStopPrice;
	private decimal? _shortTakePrice;
	private bool _longExitRequested;
	private bool _shortExitRequested;
	private int _finishedCandles;
	private DateTimeOffset? _lastSignalTime;

	/// <summary>
	/// Initializes <see cref="SniperJawStrategy"/> parameters.
	/// </summary>
	public SniperJawStrategy()
	{
		_orderVolume = Param(nameof(OrderVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Trade size in lots or contracts", "Trading");

		_enableTrading = Param(nameof(EnableTrading), true)
			.SetDisplay("Enable Trading", "Master switch for signal execution", "Trading");

		_useEntryToExit = Param(nameof(UseEntryToExit), true)
			.SetDisplay("Use Entry To Exit", "Close opposite exposure before opening a new trade", "Trading");

		_stopLossPips = Param(nameof(StopLossPips), 20)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Protective stop distance converted with the price step", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 50)
			.SetNotNegative()
			.SetDisplay("Take Profit (pips)", "Optional profit target distance; zero disables it", "Risk");

		_minimumBars = Param(nameof(MinimumBars), 1)
			.SetGreaterThanZero()
			.SetDisplay("Minimum Bars", "Required number of finished candles before trading", "Filters");

		_jawPeriod = Param(nameof(JawPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("Jaw Period", "Smoothed moving average length for the jaw line", "Alligator");

		_jawShift = Param(nameof(JawShift), 0)
			.SetNotNegative()
			.SetDisplay("Jaw Shift", "Forward shift applied to jaw readings", "Alligator");

		_teethPeriod = Param(nameof(TeethPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Teeth Period", "Smoothed moving average length for the teeth line", "Alligator");

		_teethShift = Param(nameof(TeethShift), 0)
			.SetNotNegative()
			.SetDisplay("Teeth Shift", "Forward shift applied to teeth readings", "Alligator");

		_lipsPeriod = Param(nameof(LipsPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Lips Period", "Smoothed moving average length for the lips line", "Alligator");

		_lipsShift = Param(nameof(LipsShift), 0)
			.SetNotNegative()
			.SetDisplay("Lips Shift", "Forward shift applied to lips readings", "Alligator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle series used for signals", "Data");
	}

	/// <summary>
	/// Trade volume expressed in lots or contracts.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Master switch for enabling or disabling signal execution.
	/// </summary>
	public bool EnableTrading
	{
		get => _enableTrading.Value;
		set => _enableTrading.Value = value;
	}

	/// <summary>
	/// Close the opposite position before opening a new trade when a fresh signal arrives.
	/// </summary>
	public bool UseEntryToExit
	{
		get => _useEntryToExit.Value;
		set => _useEntryToExit.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in pips; zero disables the protective stop.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in pips; zero disables the target.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Minimum number of finished candles required before the system evaluates signals.
	/// </summary>
	public int MinimumBars
	{
		get => _minimumBars.Value;
		set => _minimumBars.Value = value;
	}

	/// <summary>
	/// Length of the jaw smoothed moving average.
	/// </summary>
	public int JawPeriod
	{
		get => _jawPeriod.Value;
		set => _jawPeriod.Value = value;
	}

	/// <summary>
	/// Forward shift applied to jaw readings when aligning them with candles.
	/// </summary>
	public int JawShift
	{
		get => _jawShift.Value;
		set => _jawShift.Value = value;
	}

	/// <summary>
	/// Length of the teeth smoothed moving average.
	/// </summary>
	public int TeethPeriod
	{
		get => _teethPeriod.Value;
		set => _teethPeriod.Value = value;
	}

	/// <summary>
	/// Forward shift applied to teeth readings when aligning them with candles.
	/// </summary>
	public int TeethShift
	{
		get => _teethShift.Value;
		set => _teethShift.Value = value;
	}

	/// <summary>
	/// Length of the lips smoothed moving average.
	/// </summary>
	public int LipsPeriod
	{
		get => _lipsPeriod.Value;
		set => _lipsPeriod.Value = value;
	}

	/// <summary>
	/// Forward shift applied to lips readings when aligning them with candles.
	/// </summary>
	public int LipsShift
	{
		get => _lipsShift.Value;
		set => _lipsShift.Value = value;
	}

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

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

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

		_jaw = null;
		_teeth = null;
		_lips = null;
		_jawHistory = null;
		_teethHistory = null;
		_lipsHistory = null;

		_pipSize = 0m;
		_longStopPrice = null;
		_longTakePrice = null;
		_shortStopPrice = null;
		_shortTakePrice = null;
		_longExitRequested = false;
		_shortExitRequested = false;
		_finishedCandles = 0;
		_lastSignalTime = null;
	}

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

		_jaw = new SmoothedMovingAverage { Length = JawPeriod };
		_teeth = new SmoothedMovingAverage { Length = TeethPeriod };
		_lips = new SmoothedMovingAverage { Length = LipsPeriod };

		_jawHistory = CreateHistoryBuffer(JawShift);
		_teethHistory = CreateHistoryBuffer(TeethShift);
		_lipsHistory = CreateHistoryBuffer(LipsShift);

		_pipSize = CalculatePipSize();
		_finishedCandles = 0;
		_lastSignalTime = null;

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

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

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

		if (trade.Order?.Security != Security)
			return;

		var entryPrice = trade.Trade.Price;

		if (Position > 0)
		{
			_longStopPrice = StopLossPips > 0 ? entryPrice - StopLossPips * _pipSize : (decimal?)null;
			_longTakePrice = TakeProfitPips > 0 ? entryPrice + TakeProfitPips * _pipSize : (decimal?)null;
			_longExitRequested = false;
			_shortExitRequested = false;
			_shortStopPrice = null;
			_shortTakePrice = null;
		}
		else if (Position < 0)
		{
			_shortStopPrice = StopLossPips > 0 ? entryPrice + StopLossPips * _pipSize : (decimal?)null;
			_shortTakePrice = TakeProfitPips > 0 ? entryPrice - TakeProfitPips * _pipSize : (decimal?)null;
			_shortExitRequested = false;
			_longExitRequested = false;
			_longStopPrice = null;
			_longTakePrice = null;
		}
		else
		{
			_longStopPrice = null;
			_longTakePrice = null;
			_shortStopPrice = null;
			_shortTakePrice = null;
			_longExitRequested = false;
			_shortExitRequested = false;
		}
	}

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

		_finishedCandles++;

		if (Position > 0)
		{
			ManageLong(candle);
		}
		else if (Position < 0)
		{
			ManageShort(candle);
		}

		var median = (candle.HighPrice + candle.LowPrice) / 2m;

		var jawValue = _jaw.Process(new DecimalIndicatorValue(_jaw, median, candle.OpenTime) { IsFinal = true });
		var teethValue = _teeth.Process(new DecimalIndicatorValue(_teeth, median, candle.OpenTime) { IsFinal = true });
		var lipsValue = _lips.Process(new DecimalIndicatorValue(_lips, median, candle.OpenTime) { IsFinal = true });

		if (!_jaw.IsFormed || !_teeth.IsFormed || !_lips.IsFormed)
			return;

		var jawCurrent = jawValue.ToDecimal();
		var teethCurrent = teethValue.ToDecimal();
		var lipsCurrent = lipsValue.ToDecimal();

		if (_finishedCandles < MinimumBars)
			return;

		var isUptrend = jawCurrent < teethCurrent && teethCurrent < lipsCurrent;

		var isDowntrend = jawCurrent > teethCurrent && teethCurrent > lipsCurrent;

		if (!EnableTrading)
			return;

		// removed IsOnline guard

		if (isUptrend)
		{
			if (Position < 0 && UseEntryToExit)
			{
				RequestShortExit();
				return;
			}

			if (Position != 0)
				return;

			if (_lastSignalTime == candle.OpenTime)
				return;

			BuyMarket(volume: OrderVolume);
			_lastSignalTime = candle.OpenTime;
		}
		else if (isDowntrend)
		{
			if (Position > 0 && UseEntryToExit)
			{
				RequestLongExit();
				return;
			}

			if (Position != 0)
				return;

			if (_lastSignalTime == candle.OpenTime)
				return;

			SellMarket(volume: OrderVolume);
			_lastSignalTime = candle.OpenTime;
		}
	}

	private void ManageLong(ICandleMessage candle)
	{
		if (_longTakePrice is decimal take && candle.HighPrice >= take)
		{
			RequestLongExit();
			return;
		}

		if (_longStopPrice is decimal stop && candle.LowPrice <= stop)
		{
			RequestLongExit();
		}
	}

	private void ManageShort(ICandleMessage candle)
	{
		if (_shortTakePrice is decimal take && candle.LowPrice <= take)
		{
			RequestShortExit();
			return;
		}

		if (_shortStopPrice is decimal stop && candle.HighPrice >= stop)
		{
			RequestShortExit();
		}
	}

	private void RequestLongExit()
	{
		if (_longExitRequested || Position <= 0)
			return;

		_longExitRequested = true;
		SellMarket(volume: Position);
	}

	private void RequestShortExit()
	{
		if (_shortExitRequested || Position >= 0)
			return;

		_shortExitRequested = true;
		BuyMarket(volume: Math.Abs(Position));
	}

	private static decimal?[] CreateHistoryBuffer(int shift)
	{
		var size = Math.Max(shift + 3, 3);
		return new decimal?[size];
	}

	private static void UpdateHistory(decimal?[] buffer, decimal value)
	{
		if (buffer.Length == 0)
			return;

		Array.Copy(buffer, 1, buffer, 0, buffer.Length - 1);
		buffer[^1] = value;
	}

	private static bool TryGetShiftedValue(decimal?[] buffer, int offsetFromEnd, out decimal value)
	{
		value = 0m;

		if (buffer.Length < offsetFromEnd)
			return false;

		var index = buffer.Length - offsetFromEnd;
		if (index < 0)
			return false;

		if (buffer[index] is not decimal stored)
			return false;

		value = stored;
		return true;
	}

	private decimal CalculatePipSize()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m)
			return 1m;

		var decimals = Security?.Decimals ?? 0;
		if (decimals == 3 || decimals == 5)
			return step * 10m;

		return step;
	}
}