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Ichimoku Clouds Strategy Long and Short

This strategy uses the Tenkan-sen and Kijun-sen crossover of the Ichimoku indicator. Crosses are classified as strong, neutral or weak depending on the Tenkan value relative to the cloud. Depending on the selected trading mode, it opens long or short positions when the chosen signal strength occurs. Optional percentage-based take profit and stop loss can close positions or opposite signals as configured.

Details

  • Entry Criteria:
    • Tenkan-sen crosses above Kijun-sen and the signal strength matches selected long options.
    • Tenkan-sen crosses below Kijun-sen and the signal strength matches selected short options.
  • Long/Short: Configurable, default long.
  • Exit Criteria:
    • Opposite signals as defined by exit options.
    • Optional take profit or stop loss percentages.
  • Stops: Percentage take-profit and stop-loss.
  • Default Values:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanPeriod = 52
    • TakeProfitPct = 0
    • StopLossPct = 0
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Ichimoku
    • Stops: Optional
    • Complexity: Medium
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Ichimoku Clouds strategy allowing long or short modes with customizable signal strength filters and optional take-profit / stop-loss levels.
/// Entry is triggered by Tenkan-sen crossing Kijun-sen and classified as strong, neutral or weak depending on the cloud position.
/// </summary>
public class IchimokuCloudsLongAndShortStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanPeriod;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<string> _tradeDirection;
	private readonly StrategyParam<string> _entrySignalOptionsLong;
	private readonly StrategyParam<string> _exitSignalOptionsLong;
	private readonly StrategyParam<string> _entrySignalOptionsShort;
	private readonly StrategyParam<string> _exitSignalOptionsShort;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevTenkan;
	private decimal _entryPrice;
	private decimal _prevKijun;

	/// <summary>
	/// Tenkan-sen period.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}

	/// <summary>
	/// Kijun-sen period.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}

	/// <summary>
	/// Senkou Span B period.
	/// </summary>
	public int SenkouSpanPeriod
	{
		get => _senkouSpanPeriod.Value;
		set => _senkouSpanPeriod.Value = value;
	}

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

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

	/// <summary>
	/// Trading mode (Long or Short).
	/// </summary>
	public string TradeDirection
	{
		get => _tradeDirection.Value;
		set => _tradeDirection.Value = value;
	}

	/// <summary>
	/// Entry signal options when trading long.
	/// </summary>
	public string EntrySignalOptionsLong
	{
		get => _entrySignalOptionsLong.Value;
		set => _entrySignalOptionsLong.Value = value;
	}

	/// <summary>
	/// Exit signal options when trading long.
	/// </summary>
	public string ExitSignalOptionsLong
	{
		get => _exitSignalOptionsLong.Value;
		set => _exitSignalOptionsLong.Value = value;
	}

	/// <summary>
	/// Entry signal options when trading short.
	/// </summary>
	public string EntrySignalOptionsShort
	{
		get => _entrySignalOptionsShort.Value;
		set => _entrySignalOptionsShort.Value = value;
	}

	/// <summary>
	/// Exit signal options when trading short.
	/// </summary>
	public string ExitSignalOptionsShort
	{
		get => _exitSignalOptionsShort.Value;
		set => _exitSignalOptionsShort.Value = value;
	}

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

	/// <summary>
	/// Initialize Ichimoku Clouds Long/Short strategy.
	/// </summary>
	public IchimokuCloudsLongAndShortStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
		.SetGreaterThanZero()
		.SetDisplay("Tenkan Period", "Tenkan-sen period", "Indicators");

		_kijunPeriod = Param(nameof(KijunPeriod), 26)
		.SetGreaterThanZero()
		.SetDisplay("Kijun Period", "Kijun-sen period", "Indicators");

		_senkouSpanPeriod = Param(nameof(SenkouSpanPeriod), 52)
		.SetGreaterThanZero()
		.SetDisplay("Senkou Span Period", "Senkou Span B period", "Indicators");

		_takeProfitPct = Param(nameof(TakeProfitPct), 0m)
		.SetDisplay("Take Profit %", "Take profit percentage (0 - disabled)", "Risk Management");

		_stopLossPct = Param(nameof(StopLossPct), 0m)
		.SetDisplay("Stop Loss %", "Stop loss percentage (0 - disabled)", "Risk Management");

		_tradeDirection = Param(nameof(TradeDirection), "Long")
		.SetDisplay("Trading Mode", "Trade direction: Long or Short", "General");

		_entrySignalOptionsLong = Param(nameof(EntrySignalOptionsLong), "Bullish All")
		.SetDisplay("Entry Signal (Long)", "Entry signal filter for long mode", "Long Mode Signals");

		_exitSignalOptionsLong = Param(nameof(ExitSignalOptionsLong), "Bearish Weak")
		.SetDisplay("Exit Signal (Long)", "Exit signal filter for long mode", "Long Mode Signals");

		_entrySignalOptionsShort = Param(nameof(EntrySignalOptionsShort), "None")
		.SetDisplay("Entry Signal (Short)", "Entry signal filter for short mode", "Short Mode Signals");

		_exitSignalOptionsShort = Param(nameof(ExitSignalOptionsShort), "None")
		.SetDisplay("Exit Signal (Short)", "Exit signal filter for short mode", "Short Mode Signals");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
		.SetDisplay("Candle Type", "Candle type for the strategy", "General");
	}

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

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

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

		var ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanPeriod }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
		.BindEx(ichimoku, ProcessCandle)
		.Start();

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

	private enum SignalStrengths
	{
		Strong,
		Neutral,
		Weak
	}

	private static bool IsSignalAllowed(string option, SignalStrengths strength, bool bullish)
	{
		if (option == "None")
			return false;

		if (bullish)
		{
			return option switch
			{
				"Bullish Strong" => strength == SignalStrengths.Strong,
				"Bullish Neutral" => strength == SignalStrengths.Neutral,
				"Bullish Weak" => strength == SignalStrengths.Weak,
				"Bullish Strong and Neutral" => strength is SignalStrengths.Strong or SignalStrengths.Neutral,
				"Bullish Neutral and Weak" => strength is SignalStrengths.Neutral or SignalStrengths.Weak,
				"Bullish Strong and Weak" => strength is SignalStrengths.Strong or SignalStrengths.Weak,
				"Bullish All" => true,
				_ => false
			};
		}

		return option switch
		{
			"Bearish Strong" => strength == SignalStrengths.Strong,
			"Bearish Neutral" => strength == SignalStrengths.Neutral,
			"Bearish Weak" => strength == SignalStrengths.Weak,
			"Bearish Strong and Neutral" => strength is SignalStrengths.Strong or SignalStrengths.Neutral,
			"Bearish Neutral and Weak" => strength is SignalStrengths.Neutral or SignalStrengths.Weak,
			"Bearish Strong and Weak" => strength is SignalStrengths.Strong or SignalStrengths.Weak,
			"Bearish All" => true,
			_ => false
		};
	}

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

		if (ichimokuValue is not IchimokuValue ichimoku)
			return;

		if (ichimoku.Tenkan is not decimal tenkan)
			return;

		if (ichimoku.Kijun is not decimal kijun)
			return;

		if (ichimoku.SenkouA is not decimal senkouA)
			return;

		if (ichimoku.SenkouB is not decimal senkouB)
			return;

		var upperCloud = Math.Max(senkouA, senkouB);
		var lowerCloud = Math.Min(senkouA, senkouB);

		var crossUp = tenkan > kijun && _prevTenkan <= _prevKijun;
		var crossDown = tenkan < kijun && _prevTenkan >= _prevKijun;

		if (crossUp)
		{
			var strength = tenkan > upperCloud ? SignalStrengths.Strong : tenkan < lowerCloud ? SignalStrengths.Weak : SignalStrengths.Neutral;

			if (TradeDirection == "Long" && IsSignalAllowed(EntrySignalOptionsLong, strength, true) && Position <= 0)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
			}
			else if (TradeDirection == "Short" && IsSignalAllowed(ExitSignalOptionsShort, strength, true) && Position < 0)
			{
				BuyMarket();
			}
		}
		else if (crossDown)
		{
			var strength = tenkan < lowerCloud ? SignalStrengths.Strong : tenkan > upperCloud ? SignalStrengths.Weak : SignalStrengths.Neutral;

			if (TradeDirection == "Short" && IsSignalAllowed(EntrySignalOptionsShort, strength, false) && Position >= 0)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
			}
			else if (TradeDirection == "Long" && IsSignalAllowed(ExitSignalOptionsLong, strength, false) && Position > 0)
			{
				SellMarket();
			}
		}

		if (Position > 0)
		{
			if (TakeProfitPct > 0 && candle.ClosePrice >= _entryPrice * (1 + TakeProfitPct / 100m))
				SellMarket();
			else if (StopLossPct > 0 && candle.ClosePrice <= _entryPrice * (1 - StopLossPct / 100m))
				SellMarket();
		}
		else if (Position < 0)
		{
			if (TakeProfitPct > 0 && candle.ClosePrice <= _entryPrice * (1 - TakeProfitPct / 100m))
				BuyMarket();
			else if (StopLossPct > 0 && candle.ClosePrice >= _entryPrice * (1 + StopLossPct / 100m))
				BuyMarket();
		}

		_prevTenkan = tenkan;
		_prevKijun = kijun;
	}
}