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ストキャスティクス・フェイラー・スイング戦略

ストキャスティクス・フェイラー・スイングは、80以上でより低い高値、または20以下でより高い安値をオシレーターで監視します。 インジケーターが新たな極値に達せずに反転すると、しばしばトレンド転換を示します。

テストでは年平均リターンが約70%であることが示されています。株式市場で最も良いパフォーマンスを発揮します。

この戦略は、20以下でより高い安値が形成され%Kが%Dを上抜けした時に買い、または80以上でより低い高値が発生し%Kが下抜けした時に売ります。

トレードには小さなパーセントストップを用い、ストキャスティクスが前のスイングレベルを逆方向にクロスした時にポジションを閉じます。

詳細

  • エントリー条件: インジケーターシグナル
  • ロング/ショート: 両方
  • エグジット条件: ストップロスまたは逆シグナル
  • ストップ: はい、パーセントベース
  • デフォルト値:
    • CandleType = 15 minute
    • KPeriod = 14
    • DPeriod = 3
    • OversoldLevel = 20
    • OverboughtLevel = 80
    • StopLossPercent = 2
  • フィルター:
    • カテゴリ: リバーサル
    • 方向: 両方
    • インジケーター: Stochastic
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// K Failure Swing strategy.
/// A trough of %K below OversoldLevel that is higher than the previous such trough arms a long, which opens when %K then crosses
/// above %D; peaks above OverboughtLevel arm shorts the same way. A position closes when %K crosses back through the swing that armed it,
/// and a percent stop limits the loss.
/// </summary>
public class StochasticFailureSwingStrategy : Strategy
{
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	// The last two values, the last trough and peak in the extreme zones, and the swings that arm an entry.
	private decimal? _last;
	private decimal? _beforeLast;
	private decimal? _lastTrough;
	private decimal? _lastPeak;
	private decimal? _armedLong;
	private decimal? _armedShort;
	private decimal _exitLevel;
	private decimal? _prevK;
	private decimal? _prevD;

	/// <summary>
	/// Period for %K.
	/// </summary>
	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	/// <summary>
	/// Period for %D.
	/// </summary>
	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

	/// <summary>
	/// %K level below which troughs count.
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

	/// <summary>
	/// %K level above which peaks count.
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public StochasticFailureSwingStrategy()
	{
		_kPeriod = Param(nameof(KPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("K Period", "Period for %K", "Indicators");

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("D Period", "Period for %D", "Indicators");

		_oversoldLevel = Param(nameof(OversoldLevel), 20m)
			.SetDisplay("Oversold Level", "%K level below which troughs count", "Levels");

		_overboughtLevel = Param(nameof(OverboughtLevel), 80m)
			.SetDisplay("Overbought Level", "%K level above which peaks count", "Levels");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

	private void ResetState()
	{
		_last = null;
		_beforeLast = null;
		_lastTrough = null;
		_lastPeak = null;
		_armedLong = null;
		_armedShort = null;
		_exitLevel = default;
		_prevK = null;
		_prevD = null;
	}

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

		ResetState();

		var oscillator = new StochasticOscillator
		{
			K = { Length = KPeriod },
			D = { Length = DPeriod },
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(oscillator, ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished || !value.IsFormed || value.IsEmpty || value is not IStochasticOscillatorValue { K: decimal current, D: decimal signal })
			return;

		if (_last is decimal last)
		{
			// The previous value is a trough or a peak once the current one turns away from it.
			if (_beforeLast is decimal beforeLast)
			{
				if (last < beforeLast && last < current && last < OversoldLevel)
				{
					_armedLong = _lastTrough is decimal trough && last > trough ? last : null;
					_lastTrough = last;
				}
				else if (last > beforeLast && last > current && last > OverboughtLevel)
				{
					_armedShort = _lastPeak is decimal peak && last < peak ? last : null;
					_lastPeak = last;
				}
			}

			var longTrigger = _prevK is decimal pk && _prevD is decimal pd && pk <= pd && current > signal;
			var shortTrigger = _prevK is decimal pk2 && _prevD is decimal pd2 && pk2 >= pd2 && current < signal;
			var armedLong = longTrigger ? _armedLong : null;
			var armedShort = shortTrigger ? _armedShort : null;

			if (longTrigger)
				_armedLong = null;

			if (shortTrigger)
				_armedShort = null;

			if (IsFormedAndOnlineAndAllowTrading())
			{
				if (Position > 0)
				{
					if (current < _exitLevel)
						SellMarket(Position);
				}
				else if (Position < 0)
				{
					if (current > _exitLevel)
						BuyMarket(-Position);
				}
				else if (armedLong is decimal longSwing)
				{
					BuyMarket(Volume);
					_exitLevel = longSwing;
				}
				else if (armedShort is decimal shortSwing)
				{
					SellMarket(Volume);
					_exitLevel = shortSwing;
				}
			}
		}

		_beforeLast = _last;
		_last = current;
		_prevK = current;
		_prevD = signal;
	}
}