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IU Open Equal to High Low Strategy

Enters long on the first candle of the day when its open equals its low and enters short when the open equals the high. Stop loss uses the prior candle and take profit is based on the RiskReward ratio.

Details

  • Entry Criteria:
    • Long: first candle's open equals its low.
    • Short: first candle's open equals its high.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Stop loss at the previous candle low for long, previous candle high for short.
    • Take profit calculated from entry price using RiskReward.
  • Stops: Yes.
  • Default Values:
    • RiskReward = 2.
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame().
  • Filters:
    • Category: Pattern
    • Direction: Both
    • Indicators: Price action
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium

using System;
using System.Collections.Generic;

using Ecng.Common;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Enters when the first candle's open equals its high or low.
/// </summary>
public class IuOpenEqualToHighLowStrategy : Strategy
{
	private readonly StrategyParam<decimal> _riskReward;
	private readonly StrategyParam<int> _cooldownDays;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime _currentDay;
	private DateTime _nextEntryDate;
	private decimal _stopPrice;
	private decimal _takePrice;
	private ICandleMessage _prevCandle;

	/// <summary>
	/// Risk/reward ratio.
	/// </summary>
	public decimal RiskReward
	{
		get => _riskReward.Value;
		set => _riskReward.Value = value;
	}

	/// <summary>
	/// Minimum days between entries.
	/// </summary>
	public int CooldownDays
	{
		get => _cooldownDays.Value;
		set => _cooldownDays.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="IuOpenEqualToHighLowStrategy"/> class.
	/// </summary>
	public IuOpenEqualToHighLowStrategy()
	{
		_riskReward = Param(nameof(RiskReward), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Risk/Reward", "Take profit to stop ratio", "Risk")
			
			.SetOptimize(1m, 5m, 1m);

		_cooldownDays = Param(nameof(CooldownDays), 1)
			.SetDisplay("Cooldown Days", "Minimum number of days between new entries", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_currentDay = default;
		_nextEntryDate = DateTime.MinValue;
		_stopPrice = 0m;
		_takePrice = 0m;
		_prevCandle = null;
	}

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

		var dummyEma1 = new StockSharp.Algo.Indicators.ExponentialMovingAverage { Length = 10 };
		var dummyEma2 = new StockSharp.Algo.Indicators.ExponentialMovingAverage { Length = 20 };
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(dummyEma1, dummyEma2, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal d1, decimal d2)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var day = candle.OpenTime.Date;

		if (_currentDay != day)
		{
			_currentDay = day;

			if (Position == 0 && _prevCandle != null && day >= _nextEntryDate)
			{
				var entryPrice = candle.OpenPrice;
				var tolerance = candle.OpenPrice * 0.005m;
				var isOpenNearLow = candle.OpenPrice - candle.LowPrice <= tolerance;
				var isOpenNearHigh = candle.HighPrice - candle.OpenPrice <= tolerance;

				if (isOpenNearLow)
				{
					_stopPrice = _prevCandle.LowPrice;
					_takePrice = entryPrice + (entryPrice - _stopPrice) * RiskReward;
					BuyMarket();
					_nextEntryDate = day.AddDays(CooldownDays);
				}
				else if (isOpenNearHigh)
				{
					_stopPrice = _prevCandle.HighPrice;
					_takePrice = entryPrice - (_stopPrice - entryPrice) * RiskReward;
					SellMarket();
					_nextEntryDate = day.AddDays(CooldownDays);
				}
			}
		}

		if (Position > 0)
		{
			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takePrice)
			{
				SellMarket();
				_stopPrice = 0m;
				_takePrice = 0m;
			}
		}
		else if (Position < 0)
		{
			if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takePrice)
			{
				BuyMarket();
				_stopPrice = 0m;
				_takePrice = 0m;
			}
		}

		_prevCandle = candle;
	}
}