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ローソク足の実体形状戦略

ローソク足がその値幅内のどこで始値と終値をつけるかに基づいて取引する戦略。 ローソク足が安値付近で始まり高値付近で終わるとき（強い強気圧力）にロングで参入します。 ローソク足が高値付近で始まり安値付近で終わるとき（強い弱気圧力）にショートで参入します。

このアプローチは純粋にプライスアクションに基づいており、あらゆる流動性の高い市場に適用できます。

詳細

  • エントリー条件:
    • ロング: Open near Low && Close near High
    • ショート: Open near High && Close near Low
  • ロング/ショート: 両方
  • エグジット条件: 逆シグナル
  • ストップ: いいえ
  • デフォルト値:
    • BodyThreshold = 0.2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • フィルター:
    • カテゴリ: ローソク足パターン
    • 方向: 両方
    • インジケーター: なし
    • ストップ: いいえ
    • 複雑さ: 基本
    • 時間軸: イントラデイ
    • 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.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Candle Body Shapes strategy.
/// "Near" means within BodyThreshold of the candle range. A candle that opens near its low and closes near its high goes long,
/// one that opens near its high and closes near its low goes short; the opposite signal reverses the position.
/// </summary>
public class CandleBodyShapesStrategy : Strategy
{
	private readonly StrategyParam<decimal> _bodyThreshold;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Fraction of the candle range that counts as near its high or low.
	/// </summary>
	public decimal BodyThreshold
	{
		get => _bodyThreshold.Value;
		set => _bodyThreshold.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public CandleBodyShapesStrategy()
	{
		_bodyThreshold = Param(nameof(BodyThreshold), 0.2m)
			.SetRange(0m, 1m)
			.SetDisplay("Body Threshold", "Fraction of the candle range that counts as near its high or low", "Pattern");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		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;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var range = candle.HighPrice - candle.LowPrice;

		if (range <= 0)
			return;

		var near = BodyThreshold * range;
		var openNearLow = candle.OpenPrice - candle.LowPrice <= near;
		var openNearHigh = candle.HighPrice - candle.OpenPrice <= near;
		var closeNearLow = candle.ClosePrice - candle.LowPrice <= near;
		var closeNearHigh = candle.HighPrice - candle.ClosePrice <= near;

		if (openNearLow && closeNearHigh && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (openNearHigh && closeNearLow && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}