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1-2-3リバーサル戦略

1-2-3リバーサル戦略は、価格動向の中で強気の1-2-3パターンを探します。本日の安値が昨日の安値を下回り、昨日の安値が3本前の安値を下回り、2本前の安値が4本前の安値を下回り、2本前の高値が3本前の高値を下回った場合にロングポジションを開きます。設定されたバー数後、または価格が移動平均線を上回って終値を付けた際に取引を決済します。

詳細

  • エントリー条件:
    • 現在の安値 < 前回の安値。
    • 前回の安値 < 3本前の安値。
    • 2本前の安値 < 4本前の安値。
    • 2本前の高値 < 3本前の高値。
  • ロング/ショート: ロングのみ。
  • エグジット条件:
    • DaysToHold バー保持、または終値が移動平均線を上抜け。
  • ストップ: なし。
  • デフォルト値:
    • DaysToHold = 7
    • MaLength = 200
  • フィルター:
    • カテゴリ: リバーサル
    • 方向: ロングのみ
    • インジケーター: Price action, SMA
    • ストップ: いいえ
    • 複雑さ: 低
    • 時間軸: 日足
    • 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>
/// One-Two-Three Reversal Strategy.
/// A long opens on a bullish 1-2-3 pattern: the current low is below the previous low, the previous low is below the low
/// three bars ago, the low two bars ago is below the low four bars ago and the high two bars ago is below the high three
/// bars ago. The long closes after DaysToHold bars or when the close crosses above the MaLength SMA.
/// </summary>
public class OneTwoThreeReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _daysToHold;
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<ICandleMessage> _history = [];
	private decimal? _prevClose;
	private decimal? _prevMa;
	private int _barsInPosition;

	/// <summary>
	/// Bars to hold the position.
	/// </summary>
	public int DaysToHold
	{
		get => _daysToHold.Value;
		set => _daysToHold.Value = value;
	}

	/// <summary>
	/// SMA period of the exit.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public OneTwoThreeReversalStrategy()
	{
		_daysToHold = Param(nameof(DaysToHold), 7)
			.SetGreaterThanZero()
			.SetDisplay("Days To Hold", "Bars to hold the position", "Trading");

		_maLength = Param(nameof(MaLength), 200)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "SMA period of the exit", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

	private void ResetState()
	{
		_history.Clear();
		_prevClose = null;
		_prevMa = null;
		_barsInPosition = 0;
	}

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

		ResetState();

		var sma = new SimpleMovingAverage { Length = MaLength };

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

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

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

		_history.Add(candle);
		if (_history.Count > 5)
			_history.RemoveAt(0);

		decimal? ma = smaValue.IsFormed ? smaValue.GetValue<decimal>() : null;
		var prevClose = _prevClose;
		var prevMa = _prevMa;
		_prevClose = candle.ClosePrice;
		_prevMa = ma;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			_barsInPosition++;

			var crossAboveMa = ma is decimal m && prevMa is decimal pm && prevClose is decimal pc && pc <= pm && candle.ClosePrice > m;

			if (_barsInPosition >= DaysToHold || crossAboveMa)
			{
				SellMarket(Position);
				_barsInPosition = 0;
			}

			return;
		}

		if (_history.Count < 5)
			return;

		// _history[4] is the current bar, _history[0] is the bar four bars ago.
		var current = _history[4];
		var bar1 = _history[3];
		var bar2 = _history[2];
		var bar3 = _history[1];
		var bar4 = _history[0];

		var pattern = current.LowPrice < bar1.LowPrice
			&& bar1.LowPrice < bar3.LowPrice
			&& bar2.LowPrice < bar4.LowPrice
			&& bar2.HighPrice < bar3.HighPrice;

		if (pattern && Position == 0)
		{
			BuyMarket(Volume);
			_barsInPosition = 0;
		}
	}
}