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ゲーム理論取引戦略

ゲーム理論取引戦略は、群集行動分析、流動性トラップの検出、機関投資家のフロー、ナッシュ均衡ゾーンを組み合わせ、逆張りとモメンタムの動きを取引します。

RSIの極値と出来高スパイクを監視して群集の買いや売りを検出します。直近の高値・安値付近の流動性トラップ、売買代金累計（A/D）、スマートマネーの偏りがエントリーを絞り込みます。移動平均と標準偏差から構築した価格帯がナッシュ均衡を定義し、リバーサル取引に活用されます。価格が均衡に近い場合や機関投資家の出来高が現れた場合にポジションサイズが調整されます。

詳細

  • データ: 価格と出来高のローソク足。
  • エントリー条件: 逆張り、モメンタム、またはナッシュリバーサルシグナル。
  • エグジット条件: ストップロス / テイクプロフィット、または反対シグナル。
  • ストップ: オプションのストップロスとテイクプロフィット。
  • デフォルト値:
    • RsiLength = 14
    • VolumeMaLength = 20
    • HerdThreshold = 2.0
    • LiquidityLookback = 50
    • InstVolumeMultiplier = 2.5
    • InstMaLength = 21
    • NashPeriod = 100
    • NashDeviation = 0.02
    • UseStopLoss = True
    • StopLossPercent = 2
    • UseTakeProfit = True
    • TakeProfitPercent = 5
  • フィルター:
    • カテゴリ: 混合逆張り/モメンタム
    • 方向: ロング & ショート
    • インジケーター: RSI, SMA, Accumulation/Distribution, StandardDeviation, Highest/Lowest
    • 複雑さ: 上級
    • 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>
/// Game theory trading strategy.
/// Herd behaviour is an RSI extreme (above 70 or below 30) on volume above HerdThreshold times its VolumeMaLength average. A liquidity
/// trap is a sweep beyond the LiquidityLookback high or low that closes back inside. Institutional flow is volume above
/// InstVolumeMultiplier times its average, and the smart money bias is the accumulation/distribution line against its InstMaLength
/// average. The Nash equilibrium is the NashPeriod SMA with bands one standard deviation away.
/// Longs come from herd selling into a bear trap or accumulation (contrarian), institutional buying with accumulation above the
/// InstMaLength SMA (momentum), or a close back above the lower Nash band (reversion); shorts mirror them. The size is increased by
/// half on institutional volume and halved when price is within NashDeviation of the equilibrium. Opposite signals reverse, and
/// optional percent stop loss and take profit close the position.
/// </summary>
public class GameTheoryTradingStrategy : Strategy
{
	private const decimal _rsiOverbought = 70m;
	private const decimal _rsiOversold = 30m;

	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _volumeMaLength;
	private readonly StrategyParam<decimal> _herdThreshold;
	private readonly StrategyParam<int> _liquidityLookback;
	private readonly StrategyParam<decimal> _instVolumeMultiplier;
	private readonly StrategyParam<int> _instMaLength;
	private readonly StrategyParam<int> _nashPeriod;
	private readonly StrategyParam<decimal> _nashDeviation;
	private readonly StrategyParam<bool> _useStopLoss;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<bool> _useTakeProfit;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeMa;
	private SimpleMovingAverage _adMa;
	private decimal? _prevHighest;
	private decimal? _prevLowest;
	private decimal? _prevClose;
	private decimal? _prevUpperBand;
	private decimal? _prevLowerBand;

	/// <summary>
	/// RSI length.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Length of the volume average.
	/// </summary>
	public int VolumeMaLength
	{
		get => _volumeMaLength.Value;
		set => _volumeMaLength.Value = value;
	}

	/// <summary>
	/// Volume to average ratio that marks herd behaviour.
	/// </summary>
	public decimal HerdThreshold
	{
		get => _herdThreshold.Value;
		set => _herdThreshold.Value = value;
	}

	/// <summary>
	/// Candles whose high and low define liquidity pools.
	/// </summary>
	public int LiquidityLookback
	{
		get => _liquidityLookback.Value;
		set => _liquidityLookback.Value = value;
	}

	/// <summary>
	/// Volume to average ratio that marks institutional flow.
	/// </summary>
	public decimal InstVolumeMultiplier
	{
		get => _instVolumeMultiplier.Value;
		set => _instVolumeMultiplier.Value = value;
	}

	/// <summary>
	/// Length of the institutional trend and A/D averages.
	/// </summary>
	public int InstMaLength
	{
		get => _instMaLength.Value;
		set => _instMaLength.Value = value;
	}

	/// <summary>
	/// Period of the Nash equilibrium average and deviation.
	/// </summary>
	public int NashPeriod
	{
		get => _nashPeriod.Value;
		set => _nashPeriod.Value = value;
	}

	/// <summary>
	/// Relative distance from the equilibrium regarded as near it.
	/// </summary>
	public decimal NashDeviation
	{
		get => _nashDeviation.Value;
		set => _nashDeviation.Value = value;
	}

	/// <summary>
	/// Enable the stop loss.
	/// </summary>
	public bool UseStopLoss
	{
		get => _useStopLoss.Value;
		set => _useStopLoss.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Enable the take profit.
	/// </summary>
	public bool UseTakeProfit
	{
		get => _useTakeProfit.Value;
		set => _useTakeProfit.Value = value;
	}

	/// <summary>
	/// Take profit percentage.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public GameTheoryTradingStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI length", "Herd");

		_volumeMaLength = Param(nameof(VolumeMaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume MA Length", "Length of the volume average", "Herd");

		_herdThreshold = Param(nameof(HerdThreshold), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Herd Threshold", "Volume to average ratio that marks herd behaviour", "Herd");

		_liquidityLookback = Param(nameof(LiquidityLookback), 50)
			.SetGreaterThanZero()
			.SetDisplay("Liquidity Lookback", "Candles whose high and low define liquidity pools", "Liquidity");

		_instVolumeMultiplier = Param(nameof(InstVolumeMultiplier), 2.5m)
			.SetGreaterThanZero()
			.SetDisplay("Inst Volume Multiplier", "Volume to average ratio that marks institutional flow", "Institutional");

		_instMaLength = Param(nameof(InstMaLength), 21)
			.SetGreaterThanZero()
			.SetDisplay("Inst MA Length", "Length of the institutional trend and A/D averages", "Institutional");

		_nashPeriod = Param(nameof(NashPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("Nash Period", "Period of the Nash equilibrium average and deviation", "Nash");

		_nashDeviation = Param(nameof(NashDeviation), 0.02m)
			.SetNotNegative()
			.SetDisplay("Nash Deviation", "Relative distance from the equilibrium regarded as near it", "Nash");

		_useStopLoss = Param(nameof(UseStopLoss), true)
			.SetDisplay("Use Stop Loss", "Enable the stop loss", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_useTakeProfit = Param(nameof(UseTakeProfit), true)
			.SetDisplay("Use Take Profit", "Enable the take profit", "Risk");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 5m)
			.SetNotNegative()
			.SetDisplay("Take Profit %", "Take profit percentage", "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()
	{
		_prevHighest = null;
		_prevLowest = null;
		_prevClose = null;
		_prevUpperBand = null;
		_prevLowerBand = null;
	}

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

		ResetState();

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ad = new AccumulationDistributionLine();
		var nashMa = new SimpleMovingAverage { Length = NashPeriod };
		var nashStd = new StandardDeviation { Length = NashPeriod };
		var instMa = new SimpleMovingAverage { Length = InstMaLength };
		var highest = new Highest { Length = LiquidityLookback };
		var lowest = new Lowest { Length = LiquidityLookback };

		_volumeMa = new SimpleMovingAverage { Length = VolumeMaLength };
		_adMa = new SimpleMovingAverage { Length = InstMaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ad, nashMa, nashStd, instMa, highest, lowest, ProcessCandle)
			.Start();

		StartProtection(
			UseTakeProfit && TakeProfitPercent > 0 ? new Unit(TakeProfitPercent, UnitTypes.Percent) : new Unit(),
			UseStopLoss && StopLossPercent > 0 ? new Unit(StopLossPercent, UnitTypes.Percent) : new Unit(),
			useMarketOrders: true);

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
				DrawIndicator(oscillators, rsi);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsi, decimal ad, decimal nashMa, decimal nashStd, decimal instMa, decimal highest, decimal lowest)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var volumeValue = _volumeMa.Process(new DecimalIndicatorValue(_volumeMa, candle.TotalVolume, candle.OpenTime) { IsFinal = true });
		var adValue = _adMa.Process(new DecimalIndicatorValue(_adMa, ad, candle.OpenTime) { IsFinal = true });

		var close = candle.ClosePrice;
		var upperBand = nashMa + nashStd;
		var lowerBand = nashMa - nashStd;

		// Liquidity pools are the extremes of the candles before this one.
		var poolHigh = _prevHighest;
		var poolLow = _prevLowest;
		var prevClose = _prevClose;
		var prevUpper = _prevUpperBand;
		var prevLower = _prevLowerBand;

		_prevHighest = highest;
		_prevLowest = lowest;
		_prevClose = close;
		_prevUpperBand = upperBand;
		_prevLowerBand = lowerBand;

		if (!_volumeMa.IsFormed || !_adMa.IsFormed || poolHigh is not decimal high || poolLow is not decimal low || prevClose is not decimal pc)
			return;

		if (prevUpper is not decimal pUpper || prevLower is not decimal pLower)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var volumeAvg = volumeValue.GetValue<decimal>();
		var adAvg = adValue.GetValue<decimal>();
		var volume = candle.TotalVolume;

		var volumeSpike = volumeAvg > 0 && volume > volumeAvg * HerdThreshold;
		var herdBuying = rsi > _rsiOverbought && volumeSpike;
		var herdSelling = rsi < _rsiOversold && volumeSpike;

		var bullTrap = candle.HighPrice > high && close < high;
		var bearTrap = candle.LowPrice < low && close > low;

		var institutional = volumeAvg > 0 && volume > volumeAvg * InstVolumeMultiplier;
		var accumulation = ad > adAvg;
		var distribution = ad < adAvg;

		var contrarianLong = herdSelling && (bearTrap || accumulation);
		var contrarianShort = herdBuying && (bullTrap || distribution);

		var momentumLong = institutional && accumulation && close > instMa && close > candle.OpenPrice;
		var momentumShort = institutional && distribution && close < instMa && close < candle.OpenPrice;

		var nashLong = pc < pLower && close > lowerBand;
		var nashShort = pc > pUpper && close < upperBand;

		var size = Volume;
		if (institutional)
			size *= 1.5m;
		if (nashMa > 0 && Math.Abs(close - nashMa) / nashMa <= NashDeviation)
			size /= 2m;

		if ((contrarianLong || momentumLong || nashLong) && Position <= 0)
			BuyMarket(size + Math.Abs(Position));
		else if ((contrarianShort || momentumShort || nashShort) && Position >= 0)
			SellMarket(size + Math.Abs(Position));
	}
}