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全ダイバージェンス戦略

全ダイバージェンス戦略は、移動平均トレンドでフィルタリングされた RSI の強気・弱気ダイバージェンスを探します。価格が安値を更新しながら RSI が移動平均の上で高い安値を形成するときにロングポジションを開きます。価格が高値を更新しながら RSI が移動平均の下で低い高値を形成するときにショートポジションを開きます。オプションのストップロスとテイクプロフィット保護がポジションを自動的に決済し、移動平均リスクコントロールがトレンドに逆らった複数の終値の後に決済します。

詳細

  • エントリー条件:
    • 移動平均に対する価格の位置がトレンドを定義します。
    • ロング: 価格が安値を更新、RSI が高い安値、価格が MA の上。
    • ショート: 価格が高値を更新、RSI が低い高値、価格が MA の下。
  • ロング/ショート: 両方。
  • エグジット条件:
    • 逆シグナルまたは MA リスク退出。
  • ストップ: オプションのストップロスとテイクプロフィット。
  • デフォルト値:
    • MaLength = 50
    • RsiLength = 14
    • MaRiskCandles = 3
    • UseProtection = False
  • フィルター:
    • カテゴリ: ダイバージェンス
    • 方向: 両方
    • インジケーター: RSI, Moving Average
    • ストップ: オプション
    • 複雑さ: 中程度
    • 時間軸: 任意
    • 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: はい
    • 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>
/// All Divergences strategy.
/// Confirms price swing lows and highs as pivots with PivotSide bars on each side and compares each new pivot with the previous
/// one. A lower price low with a higher RSI low while the close is above the moving average goes long; a higher price high
/// with a lower RSI high while the close is below the moving average goes short, reversing an opposite position. A position
/// is also closed after MaRiskCandles consecutive closes on the wrong side of the moving average, and optional percent
/// stop-loss and take-profit protect it.
/// </summary>
public class AllDivergencesStrategy : Strategy
{
	private const int _pivotSide = 5;

	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _maRiskCandles;
	private readonly StrategyParam<bool> _useProtection;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<(decimal high, decimal low, decimal rsi)> _bars = [];
	private decimal? _lastPivotLow;
	private decimal _lastPivotLowRsi;
	private decimal? _lastPivotHigh;
	private decimal _lastPivotHighRsi;
	private int _closesBelowMa;
	private int _closesAboveMa;

	/// <summary>
	/// Moving average period.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Consecutive closes against the moving average that close a position.
	/// </summary>
	public int MaRiskCandles
	{
		get => _maRiskCandles.Value;
		set => _maRiskCandles.Value = value;
	}

	/// <summary>
	/// Enable percent stop-loss and take-profit.
	/// </summary>
	public bool UseProtection
	{
		get => _useProtection.Value;
		set => _useProtection.Value = value;
	}

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

	/// <summary>
	/// Take-profit percentage used when protection is enabled.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AllDivergencesStrategy()
	{
		_maLength = Param(nameof(MaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "Moving average period", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_maRiskCandles = Param(nameof(MaRiskCandles), 3)
			.SetGreaterThanZero()
			.SetDisplay("MA Risk Candles", "Consecutive closes against the MA that close a position", "Risk");

		_useProtection = Param(nameof(UseProtection), false)
			.SetDisplay("Use Protection", "Enable percent stop-loss and take-profit", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop-loss percentage used when protection is enabled", "Risk");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 4m)
			.SetNotNegative()
			.SetDisplay("Take Profit %", "Take-profit percentage used when protection is enabled", "Risk");

		_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()
	{
		return [(Security, CandleType)];
	}

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

	private void ResetState()
	{
		_bars.Clear();
		_lastPivotLow = null;
		_lastPivotLowRsi = 0m;
		_lastPivotHigh = null;
		_lastPivotHighRsi = 0m;
		_closesBelowMa = 0;
		_closesAboveMa = 0;
	}

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

		ResetState();

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ma = new SimpleMovingAverage { Length = MaLength };

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

		if (UseProtection)
			StartProtection(new Unit(TakeProfitPercent, UnitTypes.Percent), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true);

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
				DrawIndicator(oscillators, rsi);
		}
	}

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

		_bars.Add((candle.HighPrice, candle.LowPrice, rsi));

		var window = 2 * _pivotSide + 1;
		if (_bars.Count > window)
			_bars.RemoveAt(0);

		var close = candle.ClosePrice;
		_closesBelowMa = close < ma ? _closesBelowMa + 1 : 0;
		_closesAboveMa = close > ma ? _closesAboveMa + 1 : 0;

		if (_bars.Count < window)
			return;

		var bullishDivergence = false;
		var bearishDivergence = false;

		// The middle bar of the window is a pivot once PivotSide bars on each side have finished.
		var (pivotHigh, pivotLow, pivotRsi) = _bars[_pivotSide];
		var isPivotLow = true;
		var isPivotHigh = true;

		for (var i = 0; i < window; i++)
		{
			if (i == _pivotSide)
				continue;

			if (_bars[i].low <= pivotLow)
				isPivotLow = false;

			if (_bars[i].high >= pivotHigh)
				isPivotHigh = false;
		}

		if (isPivotLow)
		{
			if (_lastPivotLow is decimal prevLow)
				bullishDivergence = pivotLow < prevLow && pivotRsi > _lastPivotLowRsi;

			_lastPivotLow = pivotLow;
			_lastPivotLowRsi = pivotRsi;
		}

		if (isPivotHigh)
		{
			if (_lastPivotHigh is decimal prevHigh)
				bearishDivergence = pivotHigh > prevHigh && pivotRsi < _lastPivotHighRsi;

			_lastPivotHigh = pivotHigh;
			_lastPivotHighRsi = pivotRsi;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (bullishDivergence && close > ma && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (bearishDivergence && close < ma && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && _closesBelowMa >= MaRiskCandles)
			SellMarket(Position);
		else if (Position < 0 && _closesAboveMa >= MaRiskCandles)
			BuyMarket(-Position);
	}
}