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Stochastic ダイナミックゾーン戦略

Stochastic Dynamic Zones 戦略は、Stochastic オシレーターと動的な買われすぎ/売られすぎゾーンを中心に構築されています。

テストでは年間平均リターン約 52% を示しています。暗号通貨市場で最もよく機能します。

インジケーターがイントラデイ (5m) データ上のトレンド変化を Stochastic が確認したときにシグナルが発動します。これにより、この手法はアクティブトレーダーに適しています。

ストップは ATR の倍数と StochPeriod、StochKPeriod などの要素に依存します。リスクとリワードのバランスをとるためにこれらのデフォルト値を調整してください。

詳細

  • エントリー条件: インジケーター条件については実装を参照してください。
  • ロング/ショート: 両方。
  • エグジット条件: 反対のシグナルまたはストップロジック。
  • ストップ: はい、インジケーターベースの計算を使用。
  • デフォルト値:
    • StochPeriod = 14
    • StochKPeriod = 3
    • StochDPeriod = 3
    • LookbackPeriod = 20
    • StandardDeviationFactor = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 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 (5m)
    • 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
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

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

/// <summary>
/// Strategy based on Stochastic Oscillator with dynamic overbought and oversold zones.
/// </summary>
public class StochasticWithDynamicZonesStrategy : Strategy
{
	private readonly StrategyParam<int> _stochKPeriod;
	private readonly StrategyParam<int> _stochDPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _stdDevFactor;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevStochK;
	private decimal _stochSum;
	private decimal _stochSqSum;
	private int _stochCount;
	private int _cooldownRemaining;
	private DateTimeOffset? _lastEntryTime;
	private bool _wasBelowOversold;
	private readonly Queue<decimal> _stochQueue = new();

	public int StochKPeriod
	{
		get => _stochKPeriod.Value;
		set => _stochKPeriod.Value = value;
	}

	public int StochDPeriod
	{
		get => _stochDPeriod.Value;
		set => _stochDPeriod.Value = value;
	}

	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	public decimal StdDevFactor
	{
		get => _stdDevFactor.Value;
		set => _stdDevFactor.Value = value;
	}

	public int SignalCooldownBars
	{
		get => _signalCooldownBars.Value;
		set => _signalCooldownBars.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public StochasticWithDynamicZonesStrategy()
	{
		_stochKPeriod = Param(nameof(StochKPeriod), 14)
			.SetDisplay("Stoch %K Period", "Smoothing period for %K", "Indicators");

		_stochDPeriod = Param(nameof(StochDPeriod), 3)
			.SetDisplay("Stoch %D Period", "Smoothing period for %D", "Indicators");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 40)
			.SetDisplay("Lookback Period", "Period for dynamic zones", "Indicators");

		_stdDevFactor = Param(nameof(StdDevFactor), 3.0m)
			.SetDisplay("StdDev Factor", "Factor for dynamic zones", "Indicators");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 240)
			.SetDisplay("Signal Cooldown", "Bars to wait between signals", "Trading")
			.SetGreaterThanZero();

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).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();

		_prevStochK = 50m;
		_stochSum = 0m;
		_stochSqSum = 0m;
		_stochCount = 0;
		_cooldownRemaining = 0;
		_lastEntryTime = null;
		_wasBelowOversold = false;
		_stochQueue.Clear();
	}

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

		_prevStochK = 50m;
		_stochSum = 0m;
		_stochSqSum = 0m;
		_stochCount = 0;
		_cooldownRemaining = 0;
		_lastEntryTime = null;
		_wasBelowOversold = false;
		_stochQueue.Clear();

		var stochastic = new StochasticOscillator
		{
			K = { Length = StochKPeriod },
			D = { Length = StochDPeriod },
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(stochastic, ProcessCandle)
			.Start();

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

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

		if (!stochValue.IsFormed)
			return;

		var stochTyped = (StochasticOscillatorValue)stochValue;

		if (stochTyped.K is not decimal stochK)
			return;

		_stochQueue.Enqueue(stochK);
		_stochSum += stochK;
		_stochSqSum += stochK * stochK;
		_stochCount++;

		if (_stochCount > LookbackPeriod)
		{
			var removed = _stochQueue.Dequeue();
			_stochSum -= removed;
			_stochSqSum -= removed * removed;
			_stochCount = LookbackPeriod;
		}

		if (_stochCount < LookbackPeriod)
		{
			_prevStochK = stochK;
			return;
		}

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var average = _stochSum / _stochCount;
		var variance = (_stochSqSum / _stochCount) - (average * average);
		var stdDev = variance <= 0m ? 0m : (decimal)Math.Sqrt((double)variance);
		var dynamicOversold = Math.Max(10m, average - StdDevFactor * stdDev);
		var entryOversold = Math.Min(dynamicOversold, 10m);
		var isReversingUp = stochK > _prevStochK;

		if (Position > 0 && stochK >= 50m)
		{
			SellMarket();
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (_cooldownRemaining == 0 && !HasEntryToday(candle) && _wasBelowOversold && stochK >= entryOversold && isReversingUp && Position == 0)
		{
			BuyMarket();
			_cooldownRemaining = SignalCooldownBars;
			_lastEntryTime = candle.CloseTime != default ? candle.CloseTime : candle.OpenTime;
		}
		_wasBelowOversold = stochK < entryOversold;
		_prevStochK = stochK;
	}

	private bool HasEntryToday(ICandleMessage candle)
	{
		if (!_lastEntryTime.HasValue)
			return false;

		var candleTime = candle.CloseTime != default ? candle.CloseTime : candle.OpenTime;
		return (candleTime.Date - _lastEntryTime.Value.Date).TotalDays < 3;
	}
}