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IU 上位時間軸 MA クロス戦略

IU Higher Timeframe MA Cross戦略は、ユーザーが選択した時間軸で計算された高速移動平均が、別の時間軸の低速移動平均を上抜けまたは下抜けたときに取引します。強気クロスでロングポジション、弱気クロスでショートポジションを開きます。ストップロスは前のローソク足の極値に設定され、テイクプロフィットは設定可能なリスク・リワード比を使用します。

詳細

  • データ: 指定した時間軸のローソク足。
  • エントリー条件:
    • ロング: MA1がMA2を上抜け。
    • ショート: MA1がMA2を下抜け。
  • エグジット条件: ストップロスまたはテイクプロフィット到達。
  • ストップ: 前のローソク足の高値/安値に RiskToReward 乗数を適用。
  • デフォルト値:
    • Ma1CandleType = 60m
    • Ma1Length = 20
    • Ma1Type = MovingAverageTypeEnum.Exponential
    • Ma2CandleType = 60m
    • Ma2Length = 50
    • Ma2Type = MovingAverageTypeEnum.Exponential
    • RiskToReward = 2
  • フィルター:
    • カテゴリ: トレンド
    • 方向: ロング & ショート
    • インジケーター: 移動平均
    • 複雑さ: 低
    • リスクレベル: 中
using System;
using System.Linq;
using System.Collections.Generic;
using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;
using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;



public class IUHigherTimeframeMACrossStrategy : Strategy
{
	private readonly StrategyParam<decimal> _riskToReward;
	private readonly StrategyParam<DataType> _ma1CandleType;
	private readonly StrategyParam<int> _ma1Length;
	private readonly StrategyParam<MovingAverageTypes> _ma1Type;
	private readonly StrategyParam<DataType> _ma2CandleType;
	private readonly StrategyParam<int> _ma2Length;
	private readonly StrategyParam<MovingAverageTypes> _ma2Type;

	private decimal? _ma1;
	private decimal? _ma2;
	private decimal? _prevMa1;
	private decimal? _prevMa2;

	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;

	private decimal? _prevLow;
	private decimal? _prevHigh;

	private ICandleMessage _lastMa1Candle;

	private DecimalLengthIndicator _ma1Indicator;
	private DecimalLengthIndicator _ma2Indicator;

	public IUHigherTimeframeMACrossStrategy()
	{
		_riskToReward = Param(nameof(RiskToReward), 2m)
		.SetGreaterThanZero()
		.SetDisplay("RTR", "Risk to reward ratio", "Protection")
		
		.SetOptimize(1m, 5m, 0.5m);

		_ma1CandleType = Param(nameof(Ma1CandleType), TimeSpan.FromMinutes(60).TimeFrame())
		.SetDisplay("MA1 Timeframe", "Timeframe for first MA", "Moving Averages");

		_ma1Length = Param(nameof(Ma1Length), 20)
		.SetGreaterThanZero()
		.SetDisplay("MA1 Length", "Period for first MA", "Moving Averages")
		
		.SetOptimize(5, 100, 5);

		_ma1Type = Param(nameof(Ma1Type), MovingAverageTypes.Exponential)
		.SetDisplay("MA1 Type", "Type of first MA", "Moving Averages");

		_ma2CandleType = Param(nameof(Ma2CandleType), TimeSpan.FromMinutes(60).TimeFrame())
		.SetDisplay("MA2 Timeframe", "Timeframe for second MA", "Moving Averages");

		_ma2Length = Param(nameof(Ma2Length), 50)
		.SetGreaterThanZero()
		.SetDisplay("MA2 Length", "Period for second MA", "Moving Averages")
		
		.SetOptimize(10, 200, 5);

		_ma2Type = Param(nameof(Ma2Type), MovingAverageTypes.Exponential)
		.SetDisplay("MA2 Type", "Type of second MA", "Moving Averages");
	}

	public decimal RiskToReward { get => _riskToReward.Value; set => _riskToReward.Value = value; }
	public DataType Ma1CandleType { get => _ma1CandleType.Value; set => _ma1CandleType.Value = value; }
	public int Ma1Length { get => _ma1Length.Value; set => _ma1Length.Value = value; }
	public MovingAverageTypes Ma1Type { get => _ma1Type.Value; set => _ma1Type.Value = value; }
	public DataType Ma2CandleType { get => _ma2CandleType.Value; set => _ma2CandleType.Value = value; }
	public int Ma2Length { get => _ma2Length.Value; set => _ma2Length.Value = value; }
	public MovingAverageTypes Ma2Type { get => _ma2Type.Value; set => _ma2Type.Value = value; }

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	=> [(Security, Ma1CandleType), (Security, Ma2CandleType)];

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

		_ma1 = null;
		_ma2 = null;
		_prevMa1 = null;
		_prevMa2 = null;
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
		_prevLow = null;
		_prevHigh = null;
		_lastMa1Candle = null;
		_ma1Indicator = null;
		_ma2Indicator = null;
	}

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

		_ma1Indicator = CreateMa(Ma1Type, Ma1Length);
		_ma2Indicator = CreateMa(Ma2Type, Ma2Length);

		var ma1Sub = SubscribeCandles(Ma1CandleType);
		ma1Sub.Bind(_ma1Indicator, ProcessMa1).Start();

		var ma2Sub = SubscribeCandles(Ma2CandleType);
		ma2Sub.Bind(_ma2Indicator, ProcessMa2).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, ma1Sub);
			DrawIndicator(area, _ma1Indicator);
			DrawIndicator(area, _ma2Indicator);
			DrawOwnTrades(area);
		}
	}

	private void ProcessMa1(ICandleMessage candle, decimal value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_lastMa1Candle != null)
		{
			_prevLow = _lastMa1Candle.LowPrice;
			_prevHigh = _lastMa1Candle.HighPrice;
		}
		_lastMa1Candle = candle;

		_prevMa1 = _ma1;
		_ma1 = value;

		if (Position > 0)
		{
			if (_stopPrice.HasValue && candle.LowPrice <= _stopPrice)
				CloseLong();
			else if (_takePrice.HasValue && candle.HighPrice >= _takePrice)
				CloseLong();
		}
		else if (Position < 0)
		{
			if (_stopPrice.HasValue && candle.HighPrice >= _stopPrice)
				CloseShort();
			else if (_takePrice.HasValue && candle.LowPrice <= _takePrice)
				CloseShort();
		}

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevMa1.HasValue && _prevMa2.HasValue && _ma1.HasValue && _ma2.HasValue && Position == 0)
		{
			var crossUp = _prevMa1 < _prevMa2 && _ma1 > _ma2;
			var crossDown = _prevMa1 > _prevMa2 && _ma1 < _ma2;

			if (crossUp)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				var sl = _prevLow ?? candle.LowPrice;
				_stopPrice = sl;
				_takePrice = (_entryPrice - sl) * RiskToReward + _entryPrice;
			}
			else if (crossDown)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				var sl = _prevHigh ?? candle.HighPrice;
				_stopPrice = sl;
				_takePrice = _entryPrice - (sl - _entryPrice) * RiskToReward;
			}
		}
	}

	private void ProcessMa2(ICandleMessage candle, decimal value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_prevMa2 = _ma2;
		_ma2 = value;
	}

	private void CloseLong()
	{
		SellMarket(Position);
		ResetProtection();
	}

	private void CloseShort()
	{
		BuyMarket(Math.Abs(Position));
		ResetProtection();
	}

	private void ResetProtection()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
	}

	private static DecimalLengthIndicator CreateMa(MovingAverageTypes type, int length)
	{
		return type switch
		{
			MovingAverageTypes.Simple => new SMA { Length = length },
			MovingAverageTypes.Exponential => new EMA { Length = length },
			MovingAverageTypes.Smoothed => new SmoothedMovingAverage { Length = length },
			MovingAverageTypes.Weighted => new WeightedMovingAverage { Length = length },
			MovingAverageTypes.VolumeWeighted => new VolumeWeightedMovingAverage { Length = length },
			_ => new SMA { Length = length },
		};
	}

	public enum MovingAverageTypes
	{
		Simple,
		Exponential,
		Smoothed,
		Weighted,
		VolumeWeighted
	}
}