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高値安値ブレイクアウトATRトレーリングストップ戦略

この戦略はセッション最初の30分間のレンジのブレイクアウトを取引します。価格が初期の高値または安値を越えると、ATRベースのトレーリングストップを伴うポジションが開かれます。すべてのポジションは指定されたイントラデイ時刻に決済されます。

詳細

  • エントリー条件:
    • ロング: 終値が最初の30分の高値を上抜け
    • ショート: 終値が最初の30分の安値を下抜け
  • ロング/ショート: 設定可能（Direction）。
  • エグジット条件:
    • ATRトレーリングストップまたは対称ターゲット
    • ExitHour:ExitMinuteにすべてのポジションを決済
  • ストップ: あり、ATRベース。
  • デフォルト値:
    • AtrPeriod = 14
    • AtrMultiplier = 3.5m
    • RiskPerTrade = 2m
    • AccountSize = 10000m
    • SessionStartHour = 9
    • SessionStartMinute = 15
    • ExitHour = 15
    • ExitMinute = 15
    • CandleType = TimeSpan.FromMinutes(30)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 設定可能
    • インジケーター: ATR
    • 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.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// High-Low Breakout ATR Trailing Stop strategy.
/// The first candle opening at or after SessionStartHour:SessionStartMinute (UTC) sets the day's opening range. A close crossing
/// above its high buys and a close crossing below its low sells, within the allowed Direction. The stop trails AtrMultiplier ATRs
/// behind the close and a target sits the same distance from the entry. The position size risks RiskPerTrade percent of
/// AccountSize on the stop distance. Everything is closed at ExitHour:ExitMinute and no new trades open after it.
/// </summary>
public class HighLowBreakoutAtrTrailingStopStrategy : Strategy
{
	/// <summary>
	/// Allowed trade directions.
	/// </summary>
	public enum TradeDirections
	{
		/// <summary>
		/// Long trades only.
		/// </summary>
		Long,

		/// <summary>
		/// Short trades only.
		/// </summary>
		Short,

		/// <summary>
		/// Both directions.
		/// </summary>
		Both,
	}

	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _riskPerTrade;
	private readonly StrategyParam<decimal> _accountSize;
	private readonly StrategyParam<int> _sessionStartHour;
	private readonly StrategyParam<int> _sessionStartMinute;
	private readonly StrategyParam<int> _exitHour;
	private readonly StrategyParam<int> _exitMinute;
	private readonly StrategyParam<TradeDirections> _direction;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime _rangeDate;
	private decimal? _rangeHigh;
	private decimal? _rangeLow;
	private decimal? _prevClose;
	private decimal _stopPrice;
	private decimal _targetPrice;

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Trailing stop and target distance in ATRs.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Percent of the account risked per trade.
	/// </summary>
	public decimal RiskPerTrade
	{
		get => _riskPerTrade.Value;
		set => _riskPerTrade.Value = value;
	}

	/// <summary>
	/// Account size used for position sizing.
	/// </summary>
	public decimal AccountSize
	{
		get => _accountSize.Value;
		set => _accountSize.Value = value;
	}

	/// <summary>
	/// Session start hour (UTC).
	/// </summary>
	public int SessionStartHour
	{
		get => _sessionStartHour.Value;
		set => _sessionStartHour.Value = value;
	}

	/// <summary>
	/// Session start minute.
	/// </summary>
	public int SessionStartMinute
	{
		get => _sessionStartMinute.Value;
		set => _sessionStartMinute.Value = value;
	}

	/// <summary>
	/// Hour all positions are closed (UTC).
	/// </summary>
	public int ExitHour
	{
		get => _exitHour.Value;
		set => _exitHour.Value = value;
	}

	/// <summary>
	/// Minute all positions are closed.
	/// </summary>
	public int ExitMinute
	{
		get => _exitMinute.Value;
		set => _exitMinute.Value = value;
	}

	/// <summary>
	/// Allowed trade directions.
	/// </summary>
	public TradeDirections Direction
	{
		get => _direction.Value;
		set => _direction.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HighLowBreakoutAtrTrailingStopStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period", "Indicators");

		_atrMultiplier = Param(nameof(AtrMultiplier), 3.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "Trailing stop and target distance in ATRs", "Risk");

		_riskPerTrade = Param(nameof(RiskPerTrade), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Risk Per Trade %", "Percent of the account risked per trade", "Risk");

		_accountSize = Param(nameof(AccountSize), 10000m)
			.SetGreaterThanZero()
			.SetDisplay("Account Size", "Account size used for position sizing", "Risk");

		_sessionStartHour = Param(nameof(SessionStartHour), 9)
			.SetRange(0, 23)
			.SetDisplay("Session Start Hour", "Session start hour (UTC)", "Session");

		_sessionStartMinute = Param(nameof(SessionStartMinute), 15)
			.SetRange(0, 59)
			.SetDisplay("Session Start Minute", "Session start minute", "Session");

		_exitHour = Param(nameof(ExitHour), 15)
			.SetRange(0, 23)
			.SetDisplay("Exit Hour", "Hour all positions are closed (UTC)", "Session");

		_exitMinute = Param(nameof(ExitMinute), 15)
			.SetRange(0, 59)
			.SetDisplay("Exit Minute", "Minute all positions are closed", "Session");

		_direction = Param(nameof(Direction), TradeDirections.Both)
			.SetDisplay("Direction", "Allowed trade directions", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).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()
	{
		_rangeDate = default;
		_rangeHigh = null;
		_rangeLow = null;
		_prevClose = null;
		_stopPrice = 0m;
		_targetPrice = 0m;
	}

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

		ResetState();

		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

	private decimal GetEntryVolume(decimal stopDistance)
	{
		var volume = stopDistance > 0 ? AccountSize * RiskPerTrade / 100m / stopDistance : 0m;

		var step = Security?.VolumeStep ?? 0m;
		if (step > 0)
			volume = Math.Floor(volume / step) * step;

		var min = Security?.MinVolume ?? 0m;
		if (volume <= 0 || volume < min)
			return Volume;

		var max = Security?.MaxVolume;
		if (max is decimal maxVolume && maxVolume > 0 && volume > maxVolume)
			volume = maxVolume;

		return volume;
	}

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

		var openTime = candle.OpenTime;
		var timeOfDay = openTime.TimeOfDay;
		var sessionStart = new TimeSpan(SessionStartHour, SessionStartMinute, 0);
		var exitTime = new TimeSpan(ExitHour, ExitMinute, 0);
		var close = candle.ClosePrice;

		var prevClose = _prevClose;
		_prevClose = close;

		// The first candle of the session sets the opening range.
		if (_rangeDate != openTime.Date && timeOfDay >= sessionStart)
		{
			_rangeDate = openTime.Date;
			_rangeHigh = candle.HighPrice;
			_rangeLow = candle.LowPrice;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (timeOfDay >= exitTime || timeOfDay < sessionStart)
		{
			if (Position > 0)
				SellMarket(Position);
			else if (Position < 0)
				BuyMarket(-Position);

			return;
		}

		var distance = AtrMultiplier * atr;

		if (Position > 0)
		{
			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _targetPrice)
			{
				SellMarket(Position);
				return;
			}

			_stopPrice = Math.Max(_stopPrice, close - distance);
			return;
		}

		if (Position < 0)
		{
			if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _targetPrice)
			{
				BuyMarket(-Position);
				return;
			}

			_stopPrice = Math.Min(_stopPrice, close + distance);
			return;
		}

		if (_rangeDate != openTime.Date || _rangeHigh is not decimal high || _rangeLow is not decimal low || prevClose is not decimal lastClose)
			return;

		if (Direction != TradeDirections.Short && lastClose <= high && close > high)
		{
			BuyMarket(GetEntryVolume(distance));
			_stopPrice = close - distance;
			_targetPrice = close + distance;
		}
		else if (Direction != TradeDirections.Long && lastClose >= low && close < low)
		{
			SellMarket(GetEntryVolume(distance));
			_stopPrice = close + distance;
			_targetPrice = close - distance;
		}
	}
}