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Grim Slash 戦略

Grim Slashは、現在のローソク足の安値が前回の終値をテストしたときに買い、高値が前回の高値に達したときに手仕舞いするシンプルなプライスアクション戦略です。リスクは固定パーセントの利確とストップロスで管理します。

詳細

  • データ: 価格ローソク足.
  • エントリー条件:
    • ロング: 現在の安値が前回の終値に触れるか下回る.
  • エグジット条件: 現在の高値が前回の高値に触れるか超える.
  • ストップ: 利確15%、損切り5%.
  • デフォルト値:
    • TakeProfitPercent = 15
    • StopLossPercent = 5
  • フィルター:
    • カテゴリ: リバーサル
    • 方向: ロングのみ
    • インジケーター: なし
    • 複雑さ: 低
    • 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>
/// Grim Slash strategy.
/// Buys when the candle's low touches or dips below the previous close and exits when the high reaches the previous high.
/// A percent take profit and stop loss manage the risk.
/// </summary>
public class GrimSlashStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevClose;
	private decimal? _prevHigh;

	/// <summary>
	/// Take profit percent from the entry price.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	/// <summary>
	/// Stop loss percent from the entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public GrimSlashStrategy()
	{
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 15m)
			.SetNotNegative()
			.SetDisplay("Take Profit %", "Take profit percent from the entry price", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 5m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percent from 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();
		_prevClose = null;
		_prevHigh = null;
	}

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

		_prevClose = null;
		_prevHigh = null;

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

		StartProtection(
			TakeProfitPercent > 0 ? new Unit(TakeProfitPercent, UnitTypes.Percent) : new Unit(),
			StopLossPercent > 0 ? new Unit(StopLossPercent, UnitTypes.Percent) : 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 prevClose = _prevClose;
		var prevHigh = _prevHigh;

		_prevClose = candle.ClosePrice;
		_prevHigh = candle.HighPrice;

		if (prevClose is not decimal lastClose || prevHigh is not decimal lastHigh)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (candle.HighPrice >= lastHigh)
				SellMarket(Position);
		}
		else if (Position == 0 && candle.LowPrice <= lastClose)
		{
			BuyMarket(Volume);
		}
	}
}