日本語
GitHub で見る

Donky MA TP SL 戦略

この戦略は、2つのテイクプロフィット目標とストップロスを伴う移動平均クロスオーバーをトレードします。速いSMAが遅いSMAを上抜けするとロング、下抜けするとショートに入ります。ポジションの半分を最初の目標で決済し、残りを2番目の目標またはストップロスで決済します。

詳細

  • エントリー条件:
    • ロング: 速いSMAが遅いSMAを上抜け。
    • ショート: 速いSMAが遅いSMAを下抜け。
  • ロング/ショート: 両方。
  • エグジット条件: 2つの固定テイクプロフィットレベルまたは固定ストップロス。
  • ストップ: はい。
  • デフォルト値:
    • FastLength = 10
    • SlowLength = 30
    • TakeProfit1Pct = 0.03m
    • TakeProfit2Pct = 0.06m
    • StopLossPct = 0.01m
    • CandleType = TimeSpan.FromMinutes(1)
  • フィルター:
    • カテゴリ: トレンド
    • 方向: 両方
    • インジケーター: SMA
    • 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: 低
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>
/// Donky MA TP SL strategy.
/// The fast SMA crossing above the slow SMA goes long and crossing below goes short, reversing an opposite position.
/// Half of the position closes at the first take-profit level and the remainder at the second level or at the stop-loss.
/// The levels are fractions of the entry price (0.03 means 3%).
/// </summary>
public class DonkyMaTpSlStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _takeProfit1Pct;
	private readonly StrategyParam<decimal> _takeProfit2Pct;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevFast;
	private decimal? _prevSlow;
	private decimal _entryPrice;
	private bool _firstTargetDone;

	/// <summary>
	/// Fast SMA length.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow SMA length.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// First take-profit distance as a fraction of the entry price.
	/// </summary>
	public decimal TakeProfit1Pct
	{
		get => _takeProfit1Pct.Value;
		set => _takeProfit1Pct.Value = value;
	}

	/// <summary>
	/// Second take-profit distance as a fraction of the entry price.
	/// </summary>
	public decimal TakeProfit2Pct
	{
		get => _takeProfit2Pct.Value;
		set => _takeProfit2Pct.Value = value;
	}

	/// <summary>
	/// Stop-loss distance as a fraction of the entry price.
	/// </summary>
	public decimal StopLossPct
	{
		get => _stopLossPct.Value;
		set => _stopLossPct.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public DonkyMaTpSlStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast SMA length", "Indicators");

		_slowLength = Param(nameof(SlowLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow SMA length", "Indicators");

		_takeProfit1Pct = Param(nameof(TakeProfit1Pct), 0.03m)
			.SetNotNegative()
			.SetDisplay("Take Profit 1", "First target as a fraction of the entry price", "Risk");

		_takeProfit2Pct = Param(nameof(TakeProfit2Pct), 0.06m)
			.SetNotNegative()
			.SetDisplay("Take Profit 2", "Second target as a fraction of the entry price", "Risk");

		_stopLossPct = Param(nameof(StopLossPct), 0.01m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop distance as a fraction of the entry price", "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();
		ResetState();
	}

	private void ResetState()
	{
		_prevFast = null;
		_prevSlow = null;
		_entryPrice = 0m;
		_firstTargetDone = false;
	}

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

		ResetState();

		var fast = new SimpleMovingAverage { Length = FastLength };
		var slow = new SimpleMovingAverage { Length = SlowLength };

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

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

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

		var prevFast = _prevFast;
		var prevSlow = _prevSlow;
		_prevFast = fast;
		_prevSlow = slow;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (ManagePosition(candle))
			return;

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

		var crossUp = pf <= ps && fast > slow;
		var crossDown = pf >= ps && fast < slow;

		if (crossUp && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_entryPrice = candle.ClosePrice;
			_firstTargetDone = false;
		}
		else if (crossDown && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_entryPrice = candle.ClosePrice;
			_firstTargetDone = false;
		}
	}

	// Returns true when the position was closed completely on this candle.
	private bool ManagePosition(ICandleMessage candle)
	{
		if (Position == 0 || _entryPrice <= 0)
			return false;

		if (Position > 0)
		{
			var stop = _entryPrice * (1 - StopLossPct);
			var target1 = _entryPrice * (1 + TakeProfit1Pct);
			var target2 = _entryPrice * (1 + TakeProfit2Pct);

			if (StopLossPct > 0 && candle.LowPrice <= stop)
			{
				SellMarket(Position);
				return true;
			}

			if (TakeProfit2Pct > 0 && candle.HighPrice >= target2)
			{
				SellMarket(Position);
				return true;
			}

			if (!_firstTargetDone && TakeProfit1Pct > 0 && candle.HighPrice >= target1)
			{
				_firstTargetDone = true;
				SellMarket(Position / 2);
			}
		}
		else
		{
			var stop = _entryPrice * (1 + StopLossPct);
			var target1 = _entryPrice * (1 - TakeProfit1Pct);
			var target2 = _entryPrice * (1 - TakeProfit2Pct);
			var volume = Math.Abs(Position);

			if (StopLossPct > 0 && candle.HighPrice >= stop)
			{
				BuyMarket(volume);
				return true;
			}

			if (TakeProfit2Pct > 0 && candle.LowPrice <= target2)
			{
				BuyMarket(volume);
				return true;
			}

			if (!_firstTargetDone && TakeProfit1Pct > 0 && candle.LowPrice <= target1)
			{
				_firstTargetDone = true;
				BuyMarket(volume / 2);
			}
		}

		return false;
	}
}