日本語
GitHub で見る

ICT Master Suite Trading IQ戦略

ICT Master Suite戦略は、日次セッションの高値と安値のブレイクアウトを取引します。価格がセッション高値を上回って終値を付けた場合にロングポジションを建て、セッション安値を下回って終値を付けた場合にショートポジションを建てます。ポジションはATRベースのトレーリングストップで管理されます。

詳細

  • エントリー条件:
    • 価格が現在のセッション高値を上回って終値を付けた場合（ロング）。
    • 価格が現在のセッション安値を下回って終値を付けた場合（ショート）。
  • ロング/ショート: ロングおよびショート。
  • エグジット条件:
    • ATRベースのトレーリングストップ。
  • ストップ: ATRトレーリングストップ。
  • デフォルト値:
    • AtrPeriod = 14
    • AtrMultiplier = 1.5
    • AllowLong = true
    • AllowShort = true
  • 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: ATR
    • ストップ: はい
    • 複雑さ: 低
    • 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>
/// ICT Master Suite session breakout strategy.
/// The session is the UTC day. A close above the high of the session's earlier candles goes long and a close below their low goes short,
/// reversing an opposite position. An open position is protected by a trailing stop AtrMultiplier ATRs away from the close that only moves
/// in the trade's favour; the position closes when a candle touches it.
/// </summary>
public class IctMasterSuiteTradingIqStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<bool> _allowLong;
	private readonly StrategyParam<bool> _allowShort;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _sessionDate;
	private decimal _sessionHigh;
	private decimal _sessionLow;
	private decimal? _stopPrice;

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

	/// <summary>
	/// ATR multiplier for the trailing stop distance.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Allow long trades.
	/// </summary>
	public bool AllowLong
	{
		get => _allowLong.Value;
		set => _allowLong.Value = value;
	}

	/// <summary>
	/// Allow short trades.
	/// </summary>
	public bool AllowShort
	{
		get => _allowShort.Value;
		set => _allowShort.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public IctMasterSuiteTradingIqStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR calculation period", "Risk Management")
			.SetOptimize(5, 30, 1);

		_atrMultiplier = Param(nameof(AtrMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for the trailing stop", "Risk Management")
			.SetOptimize(1m, 3m, 0.5m);

		_allowLong = Param(nameof(AllowLong), true)
			.SetDisplay("Allow Long", "Enable long trades", "General");

		_allowShort = Param(nameof(AllowShort), true)
			.SetDisplay("Allow Short", "Enable short trades", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
	}

	private void ResetState()
	{
		_sessionDate = null;
		_sessionHigh = 0m;
		_sessionLow = 0m;
		_stopPrice = null;
	}

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

		ResetState();

		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

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

		var date = candle.OpenTime.Date;

		// The first candle of a session only opens the range; breakouts need earlier candles of the same session.
		if (_sessionDate != date)
		{
			_sessionDate = date;
			_sessionHigh = candle.HighPrice;
			_sessionLow = candle.LowPrice;
			ManageStop(candle, atrValue);
			return;
		}

		var sessionHigh = _sessionHigh;
		var sessionLow = _sessionLow;

		_sessionHigh = Math.Max(_sessionHigh, candle.HighPrice);
		_sessionLow = Math.Min(_sessionLow, candle.LowPrice);

		if (ManageStop(candle, atrValue))
			return;

		if (!atrValue.IsFormed || !IsFormedAndOnlineAndAllowTrading())
			return;

		var atr = atrValue.GetValue<decimal>();
		var close = candle.ClosePrice;

		if (AllowLong && close > sessionHigh && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - atr * AtrMultiplier;
		}
		else if (AllowShort && close < sessionLow && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + atr * AtrMultiplier;
		}
	}

	// Returns true when the position was closed by the trailing stop on this candle.
	private bool ManageStop(ICandleMessage candle, IIndicatorValue atrValue)
	{
		if (Position == 0)
		{
			_stopPrice = null;
			return false;
		}

		if (_stopPrice is not decimal stop)
			return false;

		if (Position > 0 && candle.LowPrice <= stop)
		{
			SellMarket(Position);
			_stopPrice = null;
			return true;
		}

		if (Position < 0 && candle.HighPrice >= stop)
		{
			BuyMarket(-Position);
			_stopPrice = null;
			return true;
		}

		if (atrValue.IsFormed)
		{
			var distance = atrValue.GetValue<decimal>() * AtrMultiplier;

			_stopPrice = Position > 0
				? Math.Max(stop, candle.ClosePrice - distance)
				: Math.Min(stop, candle.ClosePrice + distance);
		}

		return false;
	}
}