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Dkoderweb Repainting Issue Fix 戦略

この戦略は、シンプルなジグザグアプローチを使ってハーモニックパターンを検出し、価格がフィボナッチリトレースメントレベルに戻ったときにトレードを行います。強気パターンが形成され、価格がエントリー窓まで引き戻されると、戦略は事前に定義されたテイクプロフィットとストップロスのレベルでロングポジションを開きます。弱気パターンは逆方向に同じロジックを発動させます。

詳細

  • エントリー条件:
    • ロング: ABCDハーモニックパターンかつ終値がエントリーFibonacciレベル以下。
    • ショート: ABCDハーモニックパターンかつ終値がエントリーFibonacciレベル以上。
  • ロング/ショート: 両方。
  • エグジット条件:
    • 価格がテイクプロフィットまたはストップロスのFibonacciレベルに到達。
  • ストップ: はい。
  • デフォルト値:
    • TradeSize = 1
    • EntryRate = 0.382
    • TakeProfitRate = 0.618
    • StopLossRate = -0.618
  • フィルター:
    • カテゴリ: パターン認識
    • 方向: 両方
    • インジケーター: ZigZag
    • ストップ: はい
    • 複雑さ: 中程度
    • 時間軸: 短期
    • 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: はい
    • 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>
/// Harmonic ABCD pattern strategy with Fibonacci entry, target and stop.
/// A zigzag point is set when the candle colour flips: the higher high of the two candles after an up-to-down flip,
/// the lower low after a down-to-up flip. The last four points A, B, C, D form an ABCD pattern when BC retraces 0.382-0.886 of AB
/// and CD extends 1.13-2.618 of BC; D below C is bullish and D above C bearish.
/// Fibonacci levels are measured from D back over the C-D range. A bullish pattern buys when the close is at or below the EntryRate level,
/// a bearish one sells when the close is at or above it. The TakeProfitRate and StopLossRate levels at entry close the position.
/// </summary>
public class DkoderwebRepaintingIssueFixStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tradeSize;
	private readonly StrategyParam<decimal> _entryRate;
	private readonly StrategyParam<decimal> _takeProfitRate;
	private readonly StrategyParam<decimal> _stopLossRate;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _points = [];
	private ICandleMessage _prevCandle;
	private int _direction;
	private decimal? _takePrice;
	private decimal? _stopPrice;

	/// <summary>
	/// Order volume.
	/// </summary>
	public decimal TradeSize { get => _tradeSize.Value; set => _tradeSize.Value = value; }

	/// <summary>
	/// Fibonacci rate of the entry level.
	/// </summary>
	public decimal EntryRate { get => _entryRate.Value; set => _entryRate.Value = value; }

	/// <summary>
	/// Fibonacci rate of the take profit level.
	/// </summary>
	public decimal TakeProfitRate { get => _takeProfitRate.Value; set => _takeProfitRate.Value = value; }

	/// <summary>
	/// Fibonacci rate of the stop loss level.
	/// </summary>
	public decimal StopLossRate { get => _stopLossRate.Value; set => _stopLossRate.Value = value; }

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public DkoderwebRepaintingIssueFixStrategy()
	{
		_tradeSize = Param(nameof(TradeSize), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Size", "Order volume", "Trading");

		_entryRate = Param(nameof(EntryRate), 0.382m)
			.SetDisplay("Entry Rate", "Fibonacci rate of the entry level", "Fibonacci");

		_takeProfitRate = Param(nameof(TakeProfitRate), 0.618m)
			.SetDisplay("Take Profit Rate", "Fibonacci rate of the take profit level", "Fibonacci");

		_stopLossRate = Param(nameof(StopLossRate), -0.618m)
			.SetDisplay("Stop Loss Rate", "Fibonacci rate of the stop loss level", "Fibonacci");

		_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();
	}

	private void ResetState()
	{
		_points.Clear();
		_prevCandle = null;
		_direction = 0;
		_takePrice = null;
		_stopPrice = null;
	}

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

		ResetState();
		Volume = TradeSize;

		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;

		UpdateZigZag(candle);
		_prevCandle = candle;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if ((_takePrice is decimal take && candle.HighPrice >= take) || (_stopPrice is decimal stop && candle.LowPrice <= stop))
			{
				SellMarket(Position);
				_takePrice = null;
				_stopPrice = null;
				return;
			}
		}
		else if (Position < 0)
		{
			if ((_takePrice is decimal take && candle.LowPrice <= take) || (_stopPrice is decimal stop && candle.HighPrice >= stop))
			{
				BuyMarket(-Position);
				_takePrice = null;
				_stopPrice = null;
				return;
			}
		}

		if (_points.Count < 4)
			return;

		var a = _points[^4];
		var b = _points[^3];
		var c = _points[^2];
		var d = _points[^1];

		var ab = Math.Abs(a - b);
		var bc = Math.Abs(b - c);
		var cd = Math.Abs(c - d);

		if (ab == 0m || bc == 0m)
			return;

		var abc = bc / ab;
		var bcd = cd / bc;

		if (abc < 0.382m || abc > 0.886m || bcd < 1.13m || bcd > 2.618m)
			return;

		decimal Fib(decimal rate) => d > c ? d - cd * rate : d + cd * rate;

		var close = candle.ClosePrice;

		if (d < c && close <= Fib(EntryRate) && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_takePrice = Fib(TakeProfitRate);
			_stopPrice = Fib(StopLossRate);
		}
		else if (d > c && close >= Fib(EntryRate) && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_takePrice = Fib(TakeProfitRate);
			_stopPrice = Fib(StopLossRate);
		}
	}

	private void UpdateZigZag(ICandleMessage candle)
	{
		if (_prevCandle is not { } prev)
			return;

		var isUp = candle.ClosePrice >= candle.OpenPrice;
		var isDown = candle.ClosePrice <= candle.OpenPrice;
		var prevIsUp = prev.ClosePrice >= prev.OpenPrice;
		var prevIsDown = prev.ClosePrice <= prev.OpenPrice;

		var prevDirection = _direction;
		_direction = prevIsUp && isDown ? -1 : prevIsDown && isUp ? 1 : prevDirection;

		decimal? point = null;

		if (prevIsUp && isDown && prevDirection != -1)
			point = Math.Max(candle.HighPrice, prev.HighPrice);
		else if (prevIsDown && isUp && prevDirection != 1)
			point = Math.Min(candle.LowPrice, prev.LowPrice);

		if (point is decimal p)
		{
			_points.Add(p);
			if (_points.Count > 5)
				_points.RemoveAt(0);
		}
	}
}