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弱気ウィック・リバーサル戦略

この戦略は、弱気ローソク足がユーザー定義のパーセント閾値を超える長い下ヒゲを形成したときに買いを入れます。オプションのEMAフィルターは、トレンド方向を確認するために終値が移動平均線を上回ることを要求します。前のローソク足の高値を上回る終値でポジションがクローズされます。

詳細

  • エントリー条件: 下ヒゲが閾値以下の弱気ローソク足かつ取引ウィンドウ内；オプションでEMAを上回る価格。
  • ロング/ショート: ロングのみ。
  • エグジット条件: 終値 > 前の高値。
  • ストップ: なし。
  • デフォルト値:
    • 閾値 = -1 (%)
    • EMAフィルター無効、EMA期間 = 200
    • 開始時刻 = 2014-01-01、終了時刻 = 2099-01-01
    • ローソク足の時間軸 = 1分
  • 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: EMA
    • ストップ: いいえ
    • 複雑さ: 低
    • 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: いいえ
    • リスクレベル: 中
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bearish Wick Reversal strategy.
/// Enter long when a bearish candle shows a large lower wick.
/// Exit when price closes above previous candle high.
/// </summary>
public class BearishWickReversalStrategy : Strategy
{
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<bool> _useEmaFilter;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DateTimeOffset> _startTime;
	private readonly StrategyParam<DateTimeOffset> _endTime;

	private ExponentialMovingAverage _ema;
	private decimal _previousHigh;
	private decimal _previousLow;
	private int _cooldown;

	/// <summary>
	/// Percentage threshold for lower wick (negative value).
	/// </summary>
	public decimal Threshold
	{
		get => _threshold.Value;
		set => _threshold.Value = value;
	}

	/// <summary>
	/// Use EMA filter.
	/// </summary>
	public bool UseEmaFilter
	{
		get => _useEmaFilter.Value;
		set => _useEmaFilter.Value = value;
	}

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Trading start time.
	/// </summary>
	public DateTimeOffset StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// Trading end time.
	/// </summary>
	public DateTimeOffset EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="BearishWickReversalStrategy"/>.
	/// </summary>
	public BearishWickReversalStrategy()
	{
		_threshold = Param(nameof(Threshold), -1.5m)
			.SetRange(-5m, 0m)
			.SetDisplay("Long Threshold", "Percentage threshold for lower wick", "Strategy Settings")
			;

		_useEmaFilter = Param(nameof(UseEmaFilter), false)
			.SetDisplay("Use EMA Filter", "Enable EMA trend filter", "Trend Filter");

		_emaPeriod = Param(nameof(EmaPeriod), 200)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Period for EMA trend filter", "Trend Filter")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for candles", "General");

		_startTime = Param(nameof(StartTime), new DateTimeOffset(new DateTime(2014, 1, 1)))
			.SetDisplay("Start Time", "Trading window start", "Time Settings");

		_endTime = Param(nameof(EndTime), new DateTimeOffset(new DateTime(2099, 1, 1)))
			.SetDisplay("End Time", "Trading window end", "Time Settings");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousHigh = 0m;
		_previousLow = 0m;
		_cooldown = 0;
		_ema = null;
	}

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

		_ema = new EMA { Length = EmaPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_ema, ProcessCandle)
			.Start();

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

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

		var time = candle.OpenTime;
		if (time < StartTime || time > EndTime)
		{
			_previousHigh = candle.HighPrice;
			return;
		}

		if (_cooldown > 0)
			_cooldown--;

		var longCondition = false;
		var shortCondition = false;

		// Bearish candle with large lower wick -> potential reversal up
		if (candle.ClosePrice < candle.OpenPrice)
		{
			var percentageSize = 100m * (candle.LowPrice - candle.ClosePrice) / candle.ClosePrice;
			longCondition = percentageSize <= Threshold;
		}

		// Bullish candle with large upper wick -> potential reversal down
		if (candle.ClosePrice > candle.OpenPrice)
		{
			var percentageSize = 100m * (candle.HighPrice - candle.ClosePrice) / candle.ClosePrice;
			shortCondition = percentageSize >= -Threshold;
		}

		if (longCondition && Position <= 0 && _cooldown == 0)
		{
			BuyMarket();
			_cooldown = 60;
		}
		else if (shortCondition && Position >= 0 && _cooldown == 0)
		{
			SellMarket();
			_cooldown = 60;
		}

		// Exit long when close above previous high
		if (Position > 0 && _previousHigh > 0 && candle.ClosePrice > _previousHigh)
		{
			SellMarket();
			_cooldown = 60;
		}
		// Exit short when close below previous low
		else if (Position < 0 && _previousLow > 0 && candle.ClosePrice < _previousLow)
		{
			BuyMarket();
			_cooldown = 60;
		}

		_previousHigh = candle.HighPrice;
		_previousLow = candle.LowPrice;
	}
}