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イントラデイ・出来高スイング戦略

この戦略は、当日または前日の出来高によって定義されたスイング領域に価格が入ったときにトレードします。

詳細

  • エントリー条件:
    • ロング: 価格が上方スイング領域に進入する。
    • ショート: 価格が下方スイング領域に進入する。
  • ロング/ショート: 両方向。
  • エグジット条件:
    • 逆シグナル。
  • ストップ: いいえ。
  • デフォルト値:
    • RegionMustClose = true
    • CandleType = 1 minute
  • 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: 出来高
    • ストップ: いいえ
    • 複雑さ: 中
    • 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.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Intraday volume swings strategy.
/// A swing high forms when three consecutive candles make higher highs on rising volume, a swing low when three make lower lows
/// on rising volume. While the run continues the swing region spans the high and low of its candles. Once it ends, the most
/// extreme region of the day is kept, and the previous day's regions stay active as well. Price pushing up into a high swing
/// region (from the current or previous day) goes long, price pushing down into a low swing region goes short, reversing an
/// opposite position. With RegionMustClose the candle has to close inside the region, otherwise touching it is enough.
/// </summary>
public class IntradayVolumeSwingsStrategy : Strategy
{
	private readonly StrategyParam<bool> _regionMustClose;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime _currentDay;
	private int _barCount;
	private decimal _prevClose;
	private decimal _high1;
	private decimal _high2;
	private decimal _low1;
	private decimal _low2;
	private decimal _volume1;
	private bool _lowBar1;
	private bool _lowBar2;
	private bool _highBar1;
	private bool _highBar2;
	private bool _prevSwingLow;
	private bool _prevSwingHigh;
	private decimal? _runLowTop;
	private decimal? _runLowBottom;
	private decimal? _runHighTop;
	private decimal? _runHighBottom;
	private decimal? _dayLowTop;
	private decimal? _dayLowBottom;
	private decimal? _dayHighTop;
	private decimal? _dayHighBottom;
	private decimal? _prevDayLowTop;
	private decimal? _prevDayLowBottom;
	private decimal? _prevDayHighTop;
	private decimal? _prevDayHighBottom;

	/// <summary>
	/// Require the candle to close inside the region to trigger.
	/// </summary>
	public bool RegionMustClose
	{
		get => _regionMustClose.Value;
		set => _regionMustClose.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public IntradayVolumeSwingsStrategy()
	{
		_regionMustClose = Param(nameof(RegionMustClose), true)
			.SetDisplay("Region Must Close", "Candle must close inside the region to trigger", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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()
	{
		_currentDay = default;
		_barCount = 0;
		_prevClose = _high1 = _high2 = _low1 = _low2 = _volume1 = 0m;
		_lowBar1 = _lowBar2 = _highBar1 = _highBar2 = false;
		_prevSwingLow = _prevSwingHigh = false;
		_runLowTop = _runLowBottom = _runHighTop = _runHighBottom = null;
		_dayLowTop = _dayLowBottom = _dayHighTop = _dayHighBottom = null;
		_prevDayLowTop = _prevDayLowBottom = _prevDayHighTop = _prevDayHighBottom = null;
	}

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

		var day = candle.OpenTime.Date;
		if (_currentDay != day)
		{
			if (_currentDay != default)
			{
				_prevDayLowTop = _dayLowTop;
				_prevDayLowBottom = _dayLowBottom;
				_prevDayHighTop = _dayHighTop;
				_prevDayHighBottom = _dayHighBottom;
			}

			_currentDay = day;
			_dayLowTop = _dayLowBottom = _dayHighTop = _dayHighBottom = null;
		}

		var hasHistory = _barCount > 0;
		var risingVolume = hasHistory && candle.TotalVolume > _volume1;
		var lowBar = risingVolume && candle.LowPrice < _low1;
		var highBar = risingVolume && candle.HighPrice > _high1;

		var swingLow = lowBar && _lowBar1 && _lowBar2;
		var swingHigh = highBar && _highBar1 && _highBar2;

		var top3 = Math.Max(candle.HighPrice, Math.Max(_high1, _high2));
		var bottom3 = Math.Min(candle.LowPrice, Math.Min(_low1, _low2));

		if (swingLow)
		{
			_runLowTop = _prevSwingLow && _runLowTop is decimal t ? Math.Max(t, candle.HighPrice) : top3;
			_runLowBottom = _prevSwingLow && _runLowBottom is decimal b ? Math.Min(b, candle.LowPrice) : bottom3;
		}
		else if (_prevSwingLow && _runLowTop is decimal lowTop && _runLowBottom is decimal lowBottom)
		{
			// Keep the lowest swing low region of the day.
			if (_dayLowBottom is not decimal dayBottom || lowBottom < dayBottom)
			{
				_dayLowTop = lowTop;
				_dayLowBottom = lowBottom;
			}

			_runLowTop = _runLowBottom = null;
		}

		if (swingHigh)
		{
			_runHighTop = _prevSwingHigh && _runHighTop is decimal t ? Math.Max(t, candle.HighPrice) : top3;
			_runHighBottom = _prevSwingHigh && _runHighBottom is decimal b ? Math.Min(b, candle.LowPrice) : bottom3;
		}
		else if (_prevSwingHigh && _runHighTop is decimal highTop && _runHighBottom is decimal highBottom)
		{
			// Keep the highest swing high region of the day.
			if (_dayHighTop is not decimal dayTop || highTop > dayTop)
			{
				_dayHighTop = highTop;
				_dayHighBottom = highBottom;
			}

			_runHighTop = _runHighBottom = null;
		}

		if (hasHistory && IsFormedAndOnlineAndAllowTrading())
		{
			var goLong = EntersHighRegion(candle, _dayHighBottom) || EntersHighRegion(candle, _prevDayHighBottom);
			var goShort = EntersLowRegion(candle, _dayLowTop) || EntersLowRegion(candle, _prevDayLowTop);

			if (goLong && !goShort && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (goShort && !goLong && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
		}

		_barCount++;
		_prevClose = candle.ClosePrice;
		_volume1 = candle.TotalVolume;
		_high2 = _high1;
		_high1 = candle.HighPrice;
		_low2 = _low1;
		_low1 = candle.LowPrice;
		_lowBar2 = _lowBar1;
		_lowBar1 = lowBar;
		_highBar2 = _highBar1;
		_highBar1 = highBar;
		_prevSwingLow = swingLow;
		_prevSwingHigh = swingHigh;
	}

	// Price comes from below the region bottom and reaches it.
	private bool EntersHighRegion(ICandleMessage candle, decimal? bottom)
	{
		if (bottom is not decimal level || _prevClose >= level)
			return false;

		return RegionMustClose ? candle.ClosePrice >= level : candle.HighPrice >= level;
	}

	// Price comes from above the region top and reaches it.
	private bool EntersLowRegion(ICandleMessage candle, decimal? top)
	{
		if (top is not decimal level || _prevClose <= level)
			return false;

		return RegionMustClose ? candle.ClosePrice <= level : candle.LowPrice <= level;
	}
}