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Forex ハンマーと首吊り線戦略

この戦略は古典的なローソク足のリバーサルパターン、強気のハンマーと弱気の首吊り線を取引します。ハンマーの後にロング、首吊り線の後にショートでエントリーし、固定本数のバーの間ポジションを保持します。

保有期間が終了するか保護ストップに触れるとポジションを決済します。

詳細

  • エントリー条件: ロングにハンマー、ショートに首吊り線。
  • ロング/ショート: 両方。
  • エグジット条件: 保有期間またはストップロス/テイクプロフィット。
  • ストップ: あり。
  • デフォルト値:
    • CandleType = TimeSpan.FromMinutes(5)
    • BodyLengthMultiplier = 5
    • ShadowRatio = 1
    • HoldPeriods = 26
  • フィルター:
    • カテゴリ: パターン
    • 方向: 両方
    • インジケーター: Candlestick
    • 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>
/// Forex Hammer and Hanging Man strategy.
/// A candle qualifies when its range exceeds BodyLengthMultiplier times its body and its lower shadow is longer than ShadowRatio
/// times its upper shadow. A bullish one is a hammer and goes long, a bearish one is a hanging man and goes short, reversing an
/// opposite position. A position is closed after HoldPeriods candles.
/// </summary>
public class ForexHammerAndHangingManStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _bodyLengthMultiplier;
	private readonly StrategyParam<decimal> _shadowRatio;
	private readonly StrategyParam<int> _holdPeriods;

	private int _barsInPosition;

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

	/// <summary>
	/// How many bodies the candle range must exceed.
	/// </summary>
	public decimal BodyLengthMultiplier
	{
		get => _bodyLengthMultiplier.Value;
		set => _bodyLengthMultiplier.Value = value;
	}

	/// <summary>
	/// How many upper shadows the lower shadow must exceed.
	/// </summary>
	public decimal ShadowRatio
	{
		get => _shadowRatio.Value;
		set => _shadowRatio.Value = value;
	}

	/// <summary>
	/// Candles a position is held.
	/// </summary>
	public int HoldPeriods
	{
		get => _holdPeriods.Value;
		set => _holdPeriods.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public ForexHammerAndHangingManStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_bodyLengthMultiplier = Param(nameof(BodyLengthMultiplier), 5m)
			.SetNotNegative()
			.SetDisplay("Body Multiplier", "How many bodies the candle range must exceed", "Pattern");

		_shadowRatio = Param(nameof(ShadowRatio), 1m)
			.SetNotNegative()
			.SetDisplay("Shadow Ratio", "How many upper shadows the lower shadow must exceed", "Pattern");

		_holdPeriods = Param(nameof(HoldPeriods), 26)
			.SetGreaterThanZero()
			.SetDisplay("Hold Periods", "Candles a position is held", "Trading");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_barsInPosition = 0;
	}

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

		_barsInPosition = 0;

		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 body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var range = candle.HighPrice - candle.LowPrice;
		var lowerShadow = Math.Min(candle.OpenPrice, candle.ClosePrice) - candle.LowPrice;
		var upperShadow = candle.HighPrice - Math.Max(candle.OpenPrice, candle.ClosePrice);

		var shape = range > 0 && range > BodyLengthMultiplier * body && lowerShadow > ShadowRatio * upperShadow;
		var hammer = shape && candle.ClosePrice > candle.OpenPrice;
		var hangingMan = shape && candle.ClosePrice < candle.OpenPrice;

		if (hammer && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsInPosition = 0;
			return;
		}

		if (hangingMan && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsInPosition = 0;
			return;
		}

		if (Position == 0)
			return;

		_barsInPosition++;

		if (_barsInPosition < HoldPeriods)
			return;

		if (Position > 0)
			SellMarket(Position);
		else
			BuyMarket(-Position);
	}
}