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BTCUSD 調整可能SLTP戦略

この戦略はSMA(10)とSMA(25)のクロスオーバーにEMA(150)フィルターを組み合わせてBTCUSDを取引します。ロングエントリーはプルバックを待ちます：クロスオーバー後に戻り率が追跡され、価格がそのレベルを再度上抜けるとロングポジションが建てられます。ショートエントリーは価格がEMAを下回っている間に弱気クロスオーバーが発生した時点で即座に実行されます。

エグジットは調整可能なテイクプロフィット、ストップロス、ブレイクイーブン距離を使用します。EMA(150)の下でSMA(10)がSMA(25)を下抜ける場合もロングポジションは決済されます。

詳細

  • エントリー条件:
    • ロング：SMA(10)がSMA(25)を上抜け、その後価格が設定パーセンテージ分戻り、戻りレベルを再上抜け。
    • ショート：EMA(150)の下でSMA(10)がSMA(25)を下抜け。
  • ロング/ショート: ロングとショート。
  • エグジット条件:
    • 設定可能なテイクプロフィット、ストップロス、ブレイクイーブン距離。
    • EMA(150)の下でSMA(10)がSMA(25)を下抜けた際にロング決済。
  • ストップ: あり（ポイント単位で調整可能）。
  • デフォルト値:
    • FastSmaLength = 10
    • SlowSmaLength = 25
    • EmaFilterLength = 150
    • TakeProfitDistance = 1000
    • StopLossDistance = 250
    • BreakEvenTrigger = 500
    • RetracementPercentage = 0.01
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: ロング & ショート
    • インジケーター: SMA, EMA
    • ストップ: あり
    • 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: いいえ
    • 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>
/// BTCUSD Adjustable SLTP strategy.
/// A bullish SMA(FastSmaLength)/SMA(SlowSmaLength) crossover arms a long setup at close * (1 - RetracementPercentage); the long opens
/// when the close crosses back above that level. A bearish crossover cancels the setup, closes a long while the close is below
/// EMA(EmaFilterLength) and in that case also opens a short. Take profit, stop loss and break-even trigger are distances in price
/// steps from the entry close; once the trigger is reached the stop moves to the entry price.
/// </summary>
public class BtcusdAdjustableSltpStrategy : Strategy
{
	private readonly StrategyParam<int> _fastSmaLength;
	private readonly StrategyParam<int> _slowSmaLength;
	private readonly StrategyParam<int> _emaFilterLength;
	private readonly StrategyParam<decimal> _takeProfitDistance;
	private readonly StrategyParam<decimal> _stopLossDistance;
	private readonly StrategyParam<decimal> _breakEvenTrigger;
	private readonly StrategyParam<decimal> _retracementPercentage;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevFast;
	private decimal? _prevSlow;
	private decimal? _prevClose;
	private decimal? _retracementLevel;
	private decimal _entryPrice;
	private bool _breakEven;

	/// <summary>
	/// Fast SMA period.
	/// </summary>
	public int FastSmaLength
	{
		get => _fastSmaLength.Value;
		set => _fastSmaLength.Value = value;
	}

	/// <summary>
	/// Slow SMA period.
	/// </summary>
	public int SlowSmaLength
	{
		get => _slowSmaLength.Value;
		set => _slowSmaLength.Value = value;
	}

	/// <summary>
	/// EMA filter period.
	/// </summary>
	public int EmaFilterLength
	{
		get => _emaFilterLength.Value;
		set => _emaFilterLength.Value = value;
	}

	/// <summary>
	/// Take profit distance in price steps.
	/// </summary>
	public decimal TakeProfitDistance
	{
		get => _takeProfitDistance.Value;
		set => _takeProfitDistance.Value = value;
	}

	/// <summary>
	/// Stop loss distance in price steps.
	/// </summary>
	public decimal StopLossDistance
	{
		get => _stopLossDistance.Value;
		set => _stopLossDistance.Value = value;
	}

	/// <summary>
	/// Profit in price steps that moves the stop to the entry price.
	/// </summary>
	public decimal BreakEvenTrigger
	{
		get => _breakEvenTrigger.Value;
		set => _breakEvenTrigger.Value = value;
	}

	/// <summary>
	/// Retracement below the crossover close as a fraction (0.01 = 1%).
	/// </summary>
	public decimal RetracementPercentage
	{
		get => _retracementPercentage.Value;
		set => _retracementPercentage.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BtcusdAdjustableSltpStrategy()
	{
		_fastSmaLength = Param(nameof(FastSmaLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast SMA Length", "Fast SMA period", "Indicators");

		_slowSmaLength = Param(nameof(SlowSmaLength), 25)
			.SetGreaterThanZero()
			.SetDisplay("Slow SMA Length", "Slow SMA period", "Indicators");

		_emaFilterLength = Param(nameof(EmaFilterLength), 150)
			.SetGreaterThanZero()
			.SetDisplay("EMA Filter Length", "EMA filter period", "Indicators");

		_takeProfitDistance = Param(nameof(TakeProfitDistance), 1000m)
			.SetNotNegative()
			.SetDisplay("Take Profit Distance", "Take profit distance in price steps", "Risk");

		_stopLossDistance = Param(nameof(StopLossDistance), 250m)
			.SetNotNegative()
			.SetDisplay("Stop Loss Distance", "Stop loss distance in price steps", "Risk");

		_breakEvenTrigger = Param(nameof(BreakEvenTrigger), 500m)
			.SetNotNegative()
			.SetDisplay("Break Even Trigger", "Profit in price steps that moves the stop to the entry price", "Risk");

		_retracementPercentage = Param(nameof(RetracementPercentage), 0.01m)
			.SetNotNegative()
			.SetDisplay("Retracement Percentage", "Retracement below the crossover close as a fraction", "Entry");

		_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();
	}

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

		ResetState();

		var fast = new SimpleMovingAverage { Length = FastSmaLength };
		var slow = new SimpleMovingAverage { Length = SlowSmaLength };
		var ema = new ExponentialMovingAverage { Length = EmaFilterLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, ema, ProcessCandle)
			.Start();

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

	private void ResetState()
	{
		_prevFast = null;
		_prevSlow = null;
		_prevClose = null;
		_retracementLevel = null;
		_entryPrice = 0;
		_breakEven = false;
	}

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

		var close = candle.ClosePrice;
		var prevFast = _prevFast;
		var prevSlow = _prevSlow;
		var prevClose = _prevClose;

		_prevFast = fast;
		_prevSlow = slow;
		_prevClose = close;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (CheckStops(candle))
			return;

		if (prevFast is not decimal pf || prevSlow is not decimal ps || prevClose is not decimal pc)
			return;

		var bullCross = pf <= ps && fast > slow;
		var bearCross = pf >= ps && fast < slow;

		if (bullCross)
		{
			_retracementLevel = close * (1m - RetracementPercentage);
		}
		else if (bearCross)
		{
			_retracementLevel = null;

			if (close < ema)
			{
				if (Position >= 0)
					Enter(false, close);

				return;
			}
		}

		if (_retracementLevel is decimal level && pc <= level && close > level && Position <= 0)
		{
			_retracementLevel = null;
			Enter(true, close);
		}
	}

	private void Enter(bool isLong, decimal price)
	{
		var volume = Volume + Math.Abs(Position);

		if (isLong)
			BuyMarket(volume);
		else
			SellMarket(volume);

		_entryPrice = price;
		_breakEven = false;
	}

	private bool CheckStops(ICandleMessage candle)
	{
		if (Position == 0 || _entryPrice <= 0)
			return false;

		var step = Security?.PriceStep ?? 1m;
		var take = TakeProfitDistance * step;
		var stopDistance = StopLossDistance * step;
		var trigger = BreakEvenTrigger * step;

		if (Position > 0)
		{
			decimal? stop = _breakEven ? _entryPrice : StopLossDistance > 0 ? _entryPrice - stopDistance : null;

			if ((stop is decimal s && candle.LowPrice <= s) || (TakeProfitDistance > 0 && candle.HighPrice >= _entryPrice + take))
			{
				SellMarket(Position);
				_entryPrice = 0;
				return true;
			}

			if (BreakEvenTrigger > 0 && candle.HighPrice - _entryPrice >= trigger)
				_breakEven = true;
		}
		else
		{
			decimal? stop = _breakEven ? _entryPrice : StopLossDistance > 0 ? _entryPrice + stopDistance : null;

			if ((stop is decimal s && candle.HighPrice >= s) || (TakeProfitDistance > 0 && candle.LowPrice <= _entryPrice - take))
			{
				BuyMarket(-Position);
				_entryPrice = 0;
				return true;
			}

			if (BreakEvenTrigger > 0 && _entryPrice - candle.LowPrice >= trigger)
				_breakEven = true;
		}

		return false;
	}
}