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Williams Alligator ATR Strategy

This strategy uses the Williams Alligator indicator combined with an ATR-based stop-loss. A long position is opened when the Lips line crosses above the Jaw line. The position is closed when the Lips cross below the Jaw or when price falls to an ATR-based stop level.

Details

  • Entry Criteria: Lips crossing above Jaw.
  • Exit Criteria: Lips crossing below Jaw or ATR stop-loss.
  • Indicators: Smoothed Moving Averages, Average True Range.
  • Type: Long only.
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>
/// Williams Alligator strategy with ATR-based stop-loss.
/// Uses three smoothed moving averages (Jaw, Teeth, Lips) for trend detection.
/// </summary>
public class WilliamsAlligatorAtrStrategy : Strategy
{
	private readonly StrategyParam<int> _jawLength;
	private readonly StrategyParam<int> _teethLength;
	private readonly StrategyParam<int> _lipsLength;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private bool _prevLipsAboveJaw;
	private bool _prevLipsBelowJaw;
	private bool _isInitialized;
	private decimal _entryPrice;
	private int _cooldownRemaining;

	public int JawLength { get => _jawLength.Value; set => _jawLength.Value = value; }
	public int TeethLength { get => _teethLength.Value; set => _teethLength.Value = value; }
	public int LipsLength { get => _lipsLength.Value; set => _lipsLength.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public WilliamsAlligatorAtrStrategy()
	{
		_jawLength = Param(nameof(JawLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("Jaw Length", "Alligator jaw period", "Alligator");

		_teethLength = Param(nameof(TeethLength), 8)
			.SetGreaterThanZero()
			.SetDisplay("Teeth Length", "Alligator teeth period", "Alligator");

		_lipsLength = Param(nameof(LipsLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Lips Length", "Alligator lips period", "Alligator");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for stop-loss", "ATR");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for stop-loss", "ATR");

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

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevLipsAboveJaw = false;
		_prevLipsBelowJaw = false;
		_isInitialized = false;
		_entryPrice = 0m;
		_cooldownRemaining = 0;
	}

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

		var jaw = new SmoothedMovingAverage { Length = JawLength };
		var lips = new SmoothedMovingAverage { Length = LipsLength };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(jaw, lips, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevLipsAboveJaw = lipsVal > jawVal;
			_prevLipsBelowJaw = lipsVal < jawVal;
			_isInitialized = true;
			return;
		}

		if (!_isInitialized)
		{
			_prevLipsAboveJaw = lipsVal > jawVal;
			_prevLipsBelowJaw = lipsVal < jawVal;
			_isInitialized = true;
			return;
		}

		var lipsAboveJaw = lipsVal > jawVal;
		var lipsBelowJaw = lipsVal < jawVal;

		// Check ATR stop for existing positions
		if (Position > 0 && _entryPrice > 0 && atrVal > 0)
		{
			if (candle.ClosePrice <= _entryPrice - AtrMultiplier * atrVal)
			{
				SellMarket(Math.Abs(Position));
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
				_prevLipsAboveJaw = lipsAboveJaw;
				_prevLipsBelowJaw = lipsBelowJaw;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0 && atrVal > 0)
		{
			if (candle.ClosePrice >= _entryPrice + AtrMultiplier * atrVal)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
				_prevLipsAboveJaw = lipsAboveJaw;
				_prevLipsBelowJaw = lipsBelowJaw;
				return;
			}
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevLipsAboveJaw = lipsAboveJaw;
			_prevLipsBelowJaw = lipsBelowJaw;
			return;
		}

		// Long entry: lips crosses above jaw
		if (!_prevLipsAboveJaw && lipsAboveJaw && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = candle.ClosePrice;
			_cooldownRemaining = CooldownBars;
		}
		// Short entry: lips crosses below jaw
		else if (!_prevLipsBelowJaw && lipsBelowJaw && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = candle.ClosePrice;
			_cooldownRemaining = CooldownBars;
		}

		_prevLipsAboveJaw = lipsAboveJaw;
		_prevLipsBelowJaw = lipsBelowJaw;
	}
}