日本語
GitHub で見る

CP Strat ORB 戦略

この戦略は、ニューヨーク市場のオープニングレンジ（9:30-9:45）のブレイクアウトをリテストと組み合わせてトレードします。価格がレンジ高値を上抜けてその上に戻って終値をつけた後にロングエントリーし、価格がレンジ安値を下抜けてその下に戻って終値をつけた後にショートエントリーします。イグジットは固定のストップロスとテイクプロフィットを使用します。

詳細

  • エントリー条件: NYオープニングレンジのブレイクアウトに続くリテストと、レンジ境界を超えた終値。
  • ロング/ショート: 両方。
  • エグジット条件: 固定のテイクプロフィットまたはストップロス。
  • ストップ: あり。
  • デフォルト値:
    • MinRangePoints = 60m
    • StopPoints = 20m
    • TakePoints = 60m
    • MaxTradesPerSession = 3
    • CandleType = TimeSpan.FromMinutes(1)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 両方
    • インジケーター: なし
    • 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.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// CP Strat ORB strategy.
/// The New York opening range spans 9:30-9:45 local exchange time and is traded only when it is at least MinRangePoints wide.
/// After a close above the range high, a later candle that dips back to the high and closes above it buys; after a close below
/// the range low, a candle that rallies back to the low and closes below it sells short. At most MaxTradesPerSession entries
/// are taken per day and every trade has a fixed StopPoints stop and TakePoints target.
/// </summary>
public class CpStratOrbStrategy : Strategy
{
	private static readonly TimeSpan _rangeStart = new(9, 30, 0);
	private static readonly TimeSpan _rangeEnd = new(9, 45, 0);
	private static readonly TimeZoneInfo _newYork = TimeZoneInfo.FindSystemTimeZoneById("America/New_York");

	private readonly StrategyParam<decimal> _minRangePoints;
	private readonly StrategyParam<decimal> _stopPoints;
	private readonly StrategyParam<decimal> _takePoints;
	private readonly StrategyParam<int> _maxTradesPerSession;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _sessionDate;
	private decimal? _rangeHigh;
	private decimal? _rangeLow;
	private bool _brokeUp;
	private bool _brokeDown;
	private int _tradesToday;

	/// <summary>
	/// Minimum opening range width in points.
	/// </summary>
	public decimal MinRangePoints
	{
		get => _minRangePoints.Value;
		set => _minRangePoints.Value = value;
	}

	/// <summary>
	/// Stop loss in points.
	/// </summary>
	public decimal StopPoints
	{
		get => _stopPoints.Value;
		set => _stopPoints.Value = value;
	}

	/// <summary>
	/// Take profit in points.
	/// </summary>
	public decimal TakePoints
	{
		get => _takePoints.Value;
		set => _takePoints.Value = value;
	}

	/// <summary>
	/// Maximum entries per session.
	/// </summary>
	public int MaxTradesPerSession
	{
		get => _maxTradesPerSession.Value;
		set => _maxTradesPerSession.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public CpStratOrbStrategy()
	{
		_minRangePoints = Param(nameof(MinRangePoints), 60m)
			.SetNotNegative()
			.SetDisplay("Min Range", "Minimum opening range width in points", "Range");

		_stopPoints = Param(nameof(StopPoints), 20m)
			.SetNotNegative()
			.SetDisplay("Stop Points", "Stop loss in points", "Risk");

		_takePoints = Param(nameof(TakePoints), 60m)
			.SetNotNegative()
			.SetDisplay("Take Points", "Take profit in points", "Risk");

		_maxTradesPerSession = Param(nameof(MaxTradesPerSession), 3)
			.SetGreaterThanZero()
			.SetDisplay("Max Trades", "Maximum entries per session", "Risk");

		_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();
		_sessionDate = null;
		ResetSession();
	}

	private void ResetSession()
	{
		_rangeHigh = null;
		_rangeLow = null;
		_brokeUp = false;
		_brokeDown = false;
		_tradesToday = 0;
	}

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

		_sessionDate = null;
		ResetSession();

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

		var step = Security?.PriceStep ?? 1m;
		StartProtection(
			TakePoints > 0 ? new Unit(TakePoints * step, UnitTypes.Absolute) : new Unit(),
			StopPoints > 0 ? new Unit(StopPoints * step, UnitTypes.Absolute) : new Unit(),
			useMarketOrders: true);

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

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

		var local = TimeZoneInfo.ConvertTimeFromUtc(DateTime.SpecifyKind(candle.OpenTime, DateTimeKind.Utc), _newYork);

		if (_sessionDate != local.Date)
		{
			_sessionDate = local.Date;
			ResetSession();
		}

		var timeOfDay = local.TimeOfDay;

		if (timeOfDay < _rangeStart)
			return;

		if (timeOfDay < _rangeEnd)
		{
			_rangeHigh = _rangeHigh is decimal high ? Math.Max(high, candle.HighPrice) : candle.HighPrice;
			_rangeLow = _rangeLow is decimal low ? Math.Min(low, candle.LowPrice) : candle.LowPrice;
			return;
		}

		if (_rangeHigh is not decimal rangeHigh || _rangeLow is not decimal rangeLow)
			return;

		var step = Security?.PriceStep ?? 1m;
		if (rangeHigh - rangeLow < MinRangePoints * step)
			return;

		var close = candle.ClosePrice;

		var longSignal = _brokeUp && candle.LowPrice <= rangeHigh && close > rangeHigh;
		var shortSignal = _brokeDown && candle.HighPrice >= rangeLow && close < rangeLow;

		if (close > rangeHigh)
			_brokeUp = true;

		if (close < rangeLow)
			_brokeDown = true;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0 || _tradesToday >= MaxTradesPerSession)
			return;

		if (longSignal)
		{
			BuyMarket(Volume);
			_tradesToday++;
			_brokeUp = false;
		}
		else if (shortSignal)
		{
			SellMarket(Volume);
			_tradesToday++;
			_brokeDown = false;
		}
	}
}