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高値安値ブレイクアウト統計分析戦略

選択した時間軸の高値または安値レベルのブレイクアウトを取引します。設定オプションに基づいてロングまたはショートでエントリーし、固定バー数後にポジションを決済します。

詳細

  • エントリー条件: 終値が選択した高値または安値レベルを越える。
  • ロング/ショート: 両方向。
  • エグジット条件: 逆シグナルまたはHoldingPeriodバー後。
  • ストップ: なし。
  • デフォルト値:
    • EntryOption = LongAtHigh
    • TimeframeOption = Daily
    • HoldingPeriod = 5
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 両方
    • インジケーター: High, Low
    • ストップ: いいえ
    • 複雑さ: 基本
    • 時間軸: イントラデイ (5m)
    • 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>
/// High Low Breakout Statistical Analysis strategy.
/// Tracks the high and low of the previous completed day, week or month (TimeframeOption). Depending on EntryOption it buys or
/// sells when the close crosses above the previous high, or buys or sells when the close crosses below the previous low. The
/// position is closed after HoldingPeriod candles.
/// </summary>
public class HighLowBreakoutStatisticalAnalysisStrategy : Strategy
{
	/// <summary>
	/// Which level to trade and in which direction.
	/// </summary>
	public enum EntryOptions
	{
		/// <summary>
		/// Buy when the close crosses above the previous high.
		/// </summary>
		LongAtHigh,

		/// <summary>
		/// Sell when the close crosses above the previous high.
		/// </summary>
		ShortAtHigh,

		/// <summary>
		/// Buy when the close crosses below the previous low.
		/// </summary>
		LongAtLow,

		/// <summary>
		/// Sell when the close crosses below the previous low.
		/// </summary>
		ShortAtLow,
	}

	/// <summary>
	/// Period the reference high and low are taken from.
	/// </summary>
	public enum TimeframeOptions
	{
		/// <summary>
		/// Previous day.
		/// </summary>
		Daily,

		/// <summary>
		/// Previous week.
		/// </summary>
		Weekly,

		/// <summary>
		/// Previous month.
		/// </summary>
		Monthly,
	}

	private readonly StrategyParam<EntryOptions> _entryOption;
	private readonly StrategyParam<TimeframeOptions> _timeframeOption;
	private readonly StrategyParam<int> _holdingPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _periodStart;
	private decimal _periodHigh;
	private decimal _periodLow;
	private decimal? _prevHigh;
	private decimal? _prevLow;
	private decimal? _prevClose;
	private int _barsInPosition;

	/// <summary>
	/// Which level to trade and in which direction.
	/// </summary>
	public EntryOptions EntryOption
	{
		get => _entryOption.Value;
		set => _entryOption.Value = value;
	}

	/// <summary>
	/// Period the reference high and low are taken from.
	/// </summary>
	public TimeframeOptions TimeframeOption
	{
		get => _timeframeOption.Value;
		set => _timeframeOption.Value = value;
	}

	/// <summary>
	/// Candles to hold a position.
	/// </summary>
	public int HoldingPeriod
	{
		get => _holdingPeriod.Value;
		set => _holdingPeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HighLowBreakoutStatisticalAnalysisStrategy()
	{
		_entryOption = Param(nameof(EntryOption), EntryOptions.LongAtHigh)
			.SetDisplay("Entry Option", "Which level to trade and in which direction", "Trading");

		_timeframeOption = Param(nameof(TimeframeOption), TimeframeOptions.Daily)
			.SetDisplay("Timeframe Option", "Period the reference high and low are taken from", "Trading");

		_holdingPeriod = Param(nameof(HoldingPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Holding Period", "Candles to hold a position", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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()
	{
		_periodStart = null;
		_periodHigh = 0m;
		_periodLow = 0m;
		_prevHigh = null;
		_prevLow = null;
		_prevClose = null;
		_barsInPosition = 0;
	}

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

		ResetState();

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

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

	private DateTime GetPeriodStart(DateTime time)
	{
		var date = time.Date;

		return TimeframeOption switch
		{
			TimeframeOptions.Weekly => date.AddDays(-(((int)date.DayOfWeek + 6) % 7)),
			TimeframeOptions.Monthly => new DateTime(date.Year, date.Month, 1, 0, 0, 0, date.Kind),
			_ => date,
		};
	}

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

		var periodStart = GetPeriodStart(candle.OpenTime);

		if (_periodStart != periodStart)
		{
			if (_periodStart != null)
			{
				_prevHigh = _periodHigh;
				_prevLow = _periodLow;
			}

			_periodStart = periodStart;
			_periodHigh = candle.HighPrice;
			_periodLow = candle.LowPrice;
		}
		else
		{
			_periodHigh = Math.Max(_periodHigh, candle.HighPrice);
			_periodLow = Math.Min(_periodLow, candle.LowPrice);
		}

		var close = candle.ClosePrice;
		var prevClose = _prevClose;
		_prevClose = close;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0)
		{
			_barsInPosition++;

			if (_barsInPosition >= HoldingPeriod)
			{
				if (Position > 0)
					SellMarket(Position);
				else
					BuyMarket(-Position);
			}

			return;
		}

		if (prevClose is not decimal lastClose || _prevHigh is not decimal high || _prevLow is not decimal low)
			return;

		var crossHigh = lastClose <= high && close > high;
		var crossLow = lastClose >= low && close < low;

		switch (EntryOption)
		{
			case EntryOptions.LongAtHigh when crossHigh:
			case EntryOptions.LongAtLow when crossLow:
				BuyMarket(Volume);
				_barsInPosition = 0;
				break;
			case EntryOptions.ShortAtHigh when crossHigh:
			case EntryOptions.ShortAtLow when crossLow:
				SellMarket(Volume);
				_barsInPosition = 0;
				break;
		}
	}
}