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自動トレンドライン戦略

直近のピボット高値と安値を結ぶことで動的なサポートとレジスタンスのトレンドラインを構築します。価格がレジスタンスラインを上回って終値をつけたときにロングシグナルが発生し、価格がサポートラインを下回ったときにショートシグナルが発火します。

詳細

  • エントリー条件:
    • ロング: 終値がレジスタンストレンドラインを上抜け。
    • ショート: 終値がサポートトレンドラインを下抜け。
  • エグジット条件:
    • 反対シグナルまたはポジション転換。
  • インジケーター:
    • ピボットベースのトレンドライン。
  • ストップ: なし。
  • デフォルト値:
    • LeftBars = 100
    • RightBars = 15
  • フィルター:
    • トレンドフォロー
    • 単一時間軸
    • インジケーター: ピボットトレンドライン
    • ストップ: なし
    • 複雑さ: 低
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Automatic trendlines strategy.
/// A pivot high is a high above the LeftBars candles before it and the RightBars candles after it, and a pivot low is the
/// mirror. The resistance line connects the last two pivot highs and the support line the last two pivot lows, both extended
/// to the current candle. A close crossing above resistance goes long and a close crossing below support goes short,
/// reversing an opposite position.
/// </summary>
public class AutomaticTrendlinesStrategy : Strategy
{
	private readonly StrategyParam<int> _leftBars;
	private readonly StrategyParam<int> _rightBars;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<(decimal high, decimal low)> _window = [];
	private int _barIndex;
	private (int index, decimal price)? _lastHigh;
	private (int index, decimal price)? _prevHigh;
	private (int index, decimal price)? _lastLow;
	private (int index, decimal price)? _prevLow;
	private decimal? _prevClose;
	private decimal? _prevResistance;
	private decimal? _prevSupport;

	/// <summary>
	/// Candles before a pivot it must exceed.
	/// </summary>
	public int LeftBars
	{
		get => _leftBars.Value;
		set => _leftBars.Value = value;
	}

	/// <summary>
	/// Candles after a pivot it must exceed.
	/// </summary>
	public int RightBars
	{
		get => _rightBars.Value;
		set => _rightBars.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AutomaticTrendlinesStrategy()
	{
		_leftBars = Param(nameof(LeftBars), 100)
			.SetGreaterThanZero()
			.SetDisplay("Left Bars", "Candles before a pivot it must exceed", "Pivots");

		_rightBars = Param(nameof(RightBars), 15)
			.SetGreaterThanZero()
			.SetDisplay("Right Bars", "Candles after a pivot it must exceed", "Pivots");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(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();
		ResetState();
	}

	private void ResetState()
	{
		_window.Clear();
		_barIndex = -1;
		_lastHigh = null;
		_prevHigh = null;
		_lastLow = null;
		_prevLow = null;
		_prevClose = null;
		_prevResistance = null;
		_prevSupport = null;
	}

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

		ResetState();

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

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

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

		_barIndex++;
		_window.Add((candle.HighPrice, candle.LowPrice));

		var size = LeftBars + RightBars + 1;
		if (_window.Count > size)
			_window.RemoveAt(0);

		if (_window.Count == size)
			DetectPivots();

		var close = candle.ClosePrice;
		var resistance = LineValue(_prevHigh, _lastHigh);
		var support = LineValue(_prevLow, _lastLow);

		var prevClose = _prevClose;
		var prevResistance = _prevResistance;
		var prevSupport = _prevSupport;
		_prevClose = close;
		_prevResistance = resistance;
		_prevSupport = support;

		if (prevClose is not decimal pc)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var crossUp = resistance is decimal res && prevResistance is decimal prevRes && pc <= prevRes && close > res;
		var crossDown = support is decimal sup && prevSupport is decimal prevSup && pc >= prevSup && close < sup;

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

	private void DetectPivots()
	{
		var (pivotHigh, pivotLow) = _window[LeftBars];
		var isHigh = true;
		var isLow = true;

		for (var i = 0; i < _window.Count; i++)
		{
			if (i == LeftBars)
				continue;

			if (_window[i].high >= pivotHigh)
				isHigh = false;

			if (_window[i].low <= pivotLow)
				isLow = false;
		}

		var pivotIndex = _barIndex - RightBars;

		if (isHigh)
		{
			_prevHigh = _lastHigh;
			_lastHigh = (pivotIndex, pivotHigh);
		}

		if (isLow)
		{
			_prevLow = _lastLow;
			_lastLow = (pivotIndex, pivotLow);
		}
	}

	private decimal? LineValue((int index, decimal price)? first, (int index, decimal price)? second)
	{
		if (first is not (int i1, decimal p1) || second is not (int i2, decimal p2) || i2 == i1)
			return null;

		var slope = (p2 - p1) / (i2 - i1);
		return p2 + slope * (_barIndex - i2);
	}
}