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Intelle city World Cycle ATH ATL対数戦略

この戦略はスケーリングされた移動平均を使用してPi Cycleの概念に基づいた史上最高値（ATH）と史上最安値（ATL）のシグナルをマークします。

スケーリングされたATH長期MAが短期MAを下抜けると売り、スケーリングされたATL長期MAが短期MAを上抜けると買いとなります。

詳細

  • エントリー条件: スケーリングされたATH長期SMAがATH短期SMAを下抜けで売り。スケーリングされたATL長期SMAがATL短期SMAを上抜けで買い。
  • ロング/ショート: 両方。
  • エグジット条件: 逆方向シグナル。
  • ストップ: いいえ。
  • デフォルト値:
    • AthLongLength = 350
    • AthShortLength = 111
    • AtlLongLength = 471
    • AtlShortLength = 150
    • CandleType = TimeSpan.FromDays(1)
  • フィルター:
    • カテゴリ: トレンド
    • 方向: 両方
    • インジケーター: SMA, EMA
    • ストップ: いいえ
    • 複雑さ: 基本
    • 時間軸: 日足
    • 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>
/// Strategy based on Pi Cycle concept using scaled moving averages.
/// </summary>
public class IntelleCityWorldCycleAthAtlLogarithmicStrategy : Strategy
{
	private readonly StrategyParam<int> _athLongLength;
	private readonly StrategyParam<int> _athShortLength;
	private readonly StrategyParam<int> _atlLongLength;
	private readonly StrategyParam<int> _atlShortLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevAthLong;
	private decimal _prevAthShort;
	private decimal _prevAtlLong;
	private decimal _prevAtlShort;

	public int AthLongLength { get => _athLongLength.Value; set => _athLongLength.Value = value; }
	public int AthShortLength { get => _athShortLength.Value; set => _athShortLength.Value = value; }
	public int AtlLongLength { get => _atlLongLength.Value; set => _atlLongLength.Value = value; }
	public int AtlShortLength { get => _atlShortLength.Value; set => _atlShortLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public IntelleCityWorldCycleAthAtlLogarithmicStrategy()
	{
		_athLongLength = Param(nameof(AthLongLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("ATH Long MA", "Length for ATH long moving average", "Strategy Parameters")
			
			.SetOptimize(200, 500, 50);

		_athShortLength = Param(nameof(AthShortLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("ATH Short MA", "Length for ATH short moving average", "Strategy Parameters")
			
			.SetOptimize(50, 200, 10);

		_atlLongLength = Param(nameof(AtlLongLength), 70)
			.SetGreaterThanZero()
			.SetDisplay("ATL Long MA", "Length for ATL long moving average", "Strategy Parameters")
			
			.SetOptimize(300, 600, 50);

		_atlShortLength = Param(nameof(AtlShortLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("ATL Short MA", "Length for ATL short moving average", "Strategy Parameters")
			
			.SetOptimize(50, 200, 10);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy", "Strategy Parameters");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();

		_prevAthLong = _prevAthShort = _prevAtlLong = _prevAtlShort = 0m;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var maAthLong = new SimpleMovingAverage { Length = AthLongLength };
		var maAthShort = new SimpleMovingAverage { Length = AthShortLength };
		var maAtlLong = new SimpleMovingAverage { Length = AtlLongLength };
		var maAtlShort = new ExponentialMovingAverage { Length = AtlShortLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(maAthLong, maAthShort, maAtlLong, maAtlShort, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

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

	private void ProcessCandle(ICandleMessage candle, decimal athLong, decimal athShort, decimal atlLong, decimal atlShort)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevAthLong != 0 && _prevAthShort != 0 && Position == 0)
		{
			// ATH cross down: long MA crosses below short MA -> sell signal
			if (_prevAthLong >= _prevAthShort && athLong < athShort)
				SellMarket();

			// ATL cross up: long MA crosses above short MA -> buy signal
			if (_prevAtlLong <= _prevAtlShort && atlLong > atlShort)
				BuyMarket();
		}

		_prevAthLong = athLong;
		_prevAthShort = athShort;
		_prevAtlLong = atlLong;
		_prevAtlShort = atlShort;
	}
}