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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 Ecng.Common;

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

/// <summary>
/// Stochastic Oscillator with dynamic overbought and oversold zones.
/// The zones are the average of %K over <see cref="LookbackPeriod"/> bars plus/minus
/// <see cref="StandardDeviationFactor"/> standard deviations. Buys when %K crosses above %D inside the oversold zone
/// and sells when %K crosses below %D inside the overbought zone; the opposite signal reverses the position.
/// </summary>
public class StochasticWithDynamicZonesStrategy : Strategy
{
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<int> _stochKPeriod;
	private readonly StrategyParam<int> _stochDPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _standardDeviationFactor;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _kSmoothing;
	private SimpleMovingAverage _dLine;
	private SimpleMovingAverage _zoneAverage;
	private StandardDeviation _zoneStdDev;
	private decimal? _prevK;
	private decimal? _prevD;

	/// <summary>
	/// Stochastic lookback period.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period of %K.
	/// </summary>
	public int StochKPeriod
	{
		get => _stochKPeriod.Value;
		set => _stochKPeriod.Value = value;
	}

	/// <summary>
	/// Period of %D.
	/// </summary>
	public int StochDPeriod
	{
		get => _stochDPeriod.Value;
		set => _stochDPeriod.Value = value;
	}

	/// <summary>
	/// Lookback period for the dynamic zones.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation factor for the dynamic zones.
	/// </summary>
	public decimal StandardDeviationFactor
	{
		get => _standardDeviationFactor.Value;
		set => _standardDeviationFactor.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="StochasticWithDynamicZonesStrategy"/>.
	/// </summary>
	public StochasticWithDynamicZonesStrategy()
	{
		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Stochastic lookback period", "Indicators");

		_stochKPeriod = Param(nameof(StochKPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stoch %K Period", "Smoothing period of %K", "Indicators");

		_stochDPeriod = Param(nameof(StochDPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stoch %D Period", "Period of %D", "Indicators");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for dynamic zones", "Indicators");

		_standardDeviationFactor = Param(nameof(StandardDeviationFactor), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("StdDev Factor", "Standard deviation factor for dynamic zones", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_kSmoothing = null;
		_dLine = null;
		_zoneAverage = null;
		_zoneStdDev = null;
		_prevK = null;
		_prevD = null;
	}

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

		var rawK = new StochasticK { Length = StochPeriod };
		_kSmoothing = new SimpleMovingAverage { Length = StochKPeriod };
		_dLine = new SimpleMovingAverage { Length = StochDPeriod };
		_zoneAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_zoneStdDev = new StandardDeviation { Length = LookbackPeriod };

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

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

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

		var k = _kSmoothing.Process(rawKValue, candle.ServerTime, true).ToDecimal();
		if (!_kSmoothing.IsFormed)
			return;

		var d = _dLine.Process(k, candle.ServerTime, true).ToDecimal();
		var average = _zoneAverage.Process(k, candle.ServerTime, true).ToDecimal();
		var stdDev = _zoneStdDev.Process(k, candle.ServerTime, true).ToDecimal();

		var prevK = _prevK;
		var prevD = _prevD;
		_prevK = k;
		_prevD = d;

		if (!_dLine.IsFormed || !_zoneAverage.IsFormed || !_zoneStdDev.IsFormed)
			return;

		if (prevK is not decimal pk || prevD is not decimal pd)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var oversold = average - StandardDeviationFactor * stdDev;
		var overbought = average + StandardDeviationFactor * stdDev;

		var crossUp = pk <= pd && k > d;
		var crossDown = pk >= pd && k < d;

		if (crossUp && k < oversold && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (crossDown && k > overbought && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}