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Chaikinモメンタム・スキャルピング戦略

このスキャルピング戦略はChaikinオシレーターを使用してモメンタムの変化を捉えます。オシレーターがゼロを上抜けし、価格が200期間SMAの上にある場合にロングを建てます。ゼロを下抜けし価格がSMAの下にある場合にショートを建てます。ATRの倍数でストップロスとテイクプロフィットのレベルを定義します。

詳細

  • エントリー条件: Chaikinオシレーターがゼロを上/下抜けし、価格がSMAの上/下にある。
  • ロング/ショート: 両方。
  • エグジット条件: ATRベースのストップロスとテイクプロフィット。
  • ストップ: はい。
  • デフォルト値:
    • FastLength = 3
    • SlowLength = 10
    • SmaLength = 200
    • AtrLength = 14
    • AtrMultiplierSL = 1.5m
    • AtrMultiplierTP = 2.0m
    • CandleType = TimeSpan.FromHours(1)
  • フィルター:
    • カテゴリ: Momentum
    • 方向: 両方
    • インジケーター: Chaikin Oscillator, SMA, ATR
    • ストップ: はい
    • 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.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Chaikin Momentum Scalper strategy.
/// The Chaikin oscillator is EMA(FastLength) minus EMA(SlowLength) of the accumulation/distribution line. A cross above zero with the
/// close above SMA(SmaLength) goes long, a cross below zero with the close below the SMA goes short, reversing an opposite position.
/// Each entry freezes a stop AtrMultiplierSL ATRs and a target AtrMultiplierTP ATRs away.
/// </summary>
public class ChaikinMomentumScalperStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrMultiplierSl;
	private readonly StrategyParam<decimal> _atrMultiplierTp;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _fastAdl;
	private ExponentialMovingAverage _slowAdl;
	private decimal _adl;
	private decimal? _prevOscillator;
	private decimal? _stopPrice;
	private decimal? _targetPrice;

	/// <summary>
	/// Fast EMA period of the oscillator.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow EMA period of the oscillator.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Period of the trend SMA.
	/// </summary>
	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiple of the stop.
	/// </summary>
	public decimal AtrMultiplierSL
	{
		get => _atrMultiplierSl.Value;
		set => _atrMultiplierSl.Value = value;
	}

	/// <summary>
	/// ATR multiple of the target.
	/// </summary>
	public decimal AtrMultiplierTP
	{
		get => _atrMultiplierTp.Value;
		set => _atrMultiplierTp.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ChaikinMomentumScalperStrategy()
	{
		_fastLength = Param(nameof(FastLength), 3)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast EMA period of the oscillator", "Chaikin");

		_slowLength = Param(nameof(SlowLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period of the oscillator", "Chaikin");

		_smaLength = Param(nameof(SmaLength), 200)
			.SetGreaterThanZero()
			.SetDisplay("SMA Length", "Period of the trend SMA", "Trend");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period", "Risk");

		_atrMultiplierSl = Param(nameof(AtrMultiplierSL), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier SL", "ATR multiple of the stop", "Risk");

		_atrMultiplierTp = Param(nameof(AtrMultiplierTP), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier TP", "ATR multiple of the target", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(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()
	{
		_fastAdl = null;
		_slowAdl = null;
		_adl = 0m;
		_prevOscillator = null;
		_stopPrice = null;
		_targetPrice = null;
	}

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

		ResetState();

		_fastAdl = new ExponentialMovingAverage { Length = FastLength };
		_slowAdl = new ExponentialMovingAverage { Length = SlowLength };
		var sma = new SimpleMovingAverage { Length = SmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(sma, atr, ProcessCandle)
			.Start();

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

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

		var range = candle.HighPrice - candle.LowPrice;

		if (range > 0)
			_adl += ((candle.ClosePrice - candle.LowPrice) - (candle.HighPrice - candle.ClosePrice)) / range * candle.TotalVolume;

		var fast = _fastAdl.Process(new DecimalIndicatorValue(_fastAdl, _adl, candle.OpenTime) { IsFinal = true });
		var slow = _slowAdl.Process(new DecimalIndicatorValue(_slowAdl, _adl, candle.OpenTime) { IsFinal = true });

		if (!fast.IsFormed || !slow.IsFormed)
			return;

		var oscillator = fast.GetValue<decimal>() - slow.GetValue<decimal>();
		var prevOscillator = _prevOscillator;
		_prevOscillator = oscillator;

		if (!smaValue.IsFormed || !atrValue.IsFormed || prevOscillator is not decimal prev)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Stop and target frozen at entry.
		if (Position > 0 && _stopPrice is decimal longStop && _targetPrice is decimal longTarget && (candle.LowPrice <= longStop || candle.HighPrice >= longTarget))
		{
			SellMarket(Position);
			_stopPrice = null;
			_targetPrice = null;
			return;
		}

		if (Position < 0 && _stopPrice is decimal shortStop && _targetPrice is decimal shortTarget && (candle.HighPrice >= shortStop || candle.LowPrice <= shortTarget))
		{
			BuyMarket(-Position);
			_stopPrice = null;
			_targetPrice = null;
			return;
		}

		var close = candle.ClosePrice;
		var sma = smaValue.GetValue<decimal>();
		var atr = atrValue.GetValue<decimal>();

		if (prev <= 0 && oscillator > 0 && close > sma && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - atr * AtrMultiplierSL;
			_targetPrice = close + atr * AtrMultiplierTP;
		}
		else if (prev >= 0 && oscillator < 0 && close < sma && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + atr * AtrMultiplierSL;
			_targetPrice = close - atr * AtrMultiplierTP;
		}
	}
}