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LANZ戦略 4.0 バックテスト

LANZ戦略4.0バックテストは、スウィングピボットを使ってトレンド転換を検出するブレイクアウト戦略です。価格が最後のピボット高値を上抜けるとロングエントリー、最後のピボット安値を下抜けるとショートエントリーします。ポジションサイズはリスクパーセントとpips値から計算され、ストップロスは最後のスウィングにバッファを加えた位置、テイクプロフィットはリスクリワード比で設定されます。

詳細

  • データ: 価格ローソク足。
  • エントリー条件:
    • ロング: 価格が最後のピボット高値を上抜ける。
    • ショート: 価格が最後のピボット安値を下抜ける。
  • 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。
  • ストップ: 直近スウィング高値/安値にバッファを追加。
  • デフォルト値:
    • SwingLength = 180
    • SlBufferPoints = 50
    • RiskReward = 1
    • RiskPercent = 1
    • PipValueUsd = 10
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: ロング＆ショート
    • インジケーター: Highest, Lowest
    • 複雑さ: 中程度
    • リスクレベル: 中
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// LANZ Strategy 4.0 Backtest.
/// A pivot high (low) is a candle whose high (low) is the extreme of the SwingLength candles on each side of it. A close crossing above
/// the last pivot high goes long and a close crossing below the last pivot low goes short, reversing an opposite position. The stop sits
/// SlBufferPoints price steps beyond the opposite pivot, the target RiskReward times the stop distance away, and the volume risks
/// RiskPercent of equity with PipValueUsd per price step and lot.
/// </summary>
public class Lanz40BacktestStrategy : Strategy
{
	private readonly StrategyParam<int> _swingLength;
	private readonly StrategyParam<decimal> _slBufferPoints;
	private readonly StrategyParam<decimal> _riskReward;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<decimal> _pipValueUsd;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _highs = [];
	private readonly List<decimal> _lows = [];

	private decimal? _pivotHigh;
	private decimal? _pivotLow;
	private decimal? _prevClose;
	private decimal? _stopPrice;
	private decimal? _takePrice;

	/// <summary>
	/// Candles on each side of a pivot.
	/// </summary>
	public int SwingLength
	{
		get => _swingLength.Value;
		set => _swingLength.Value = value;
	}

	/// <summary>
	/// Stop buffer beyond the pivot in price steps.
	/// </summary>
	public decimal SlBufferPoints
	{
		get => _slBufferPoints.Value;
		set => _slBufferPoints.Value = value;
	}

	/// <summary>
	/// Take profit as a multiple of the stop distance.
	/// </summary>
	public decimal RiskReward
	{
		get => _riskReward.Value;
		set => _riskReward.Value = value;
	}

	/// <summary>
	/// Percent of equity risked per trade.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Money value of one price step for one lot.
	/// </summary>
	public decimal PipValueUsd
	{
		get => _pipValueUsd.Value;
		set => _pipValueUsd.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="Lanz40BacktestStrategy"/>.
	/// </summary>
	public Lanz40BacktestStrategy()
	{
		_swingLength = Param(nameof(SwingLength), 180)
			.SetGreaterThanZero()
			.SetDisplay("Swing Length", "Candles on each side of a pivot", "General");

		_slBufferPoints = Param(nameof(SlBufferPoints), 50m)
			.SetNotNegative()
			.SetDisplay("SL Buffer", "Stop buffer beyond the pivot in price steps", "Risk");

		_riskReward = Param(nameof(RiskReward), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Risk Reward", "Take profit as a multiple of the stop distance", "Risk");

		_riskPercent = Param(nameof(RiskPercent), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Risk %", "Percent of equity risked per trade", "Risk");

		_pipValueUsd = Param(nameof(PipValueUsd), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Pip Value USD", "Money value of one price step for one lot", "Risk");

		_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()
	{
		_highs.Clear();
		_lows.Clear();
		_pivotHigh = _pivotLow = null;
		_prevClose = null;
		_stopPrice = _takePrice = 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;

		UpdatePivots(candle);

		var prevClose = _prevClose;
		var close = candle.ClosePrice;
		_prevClose = close;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0 && _stopPrice is decimal longStop && _takePrice is decimal longTake
			&& (candle.LowPrice <= longStop || candle.HighPrice >= longTake))
		{
			SellMarket(Position);
			_stopPrice = _takePrice = null;
			return;
		}

		if (Position < 0 && _stopPrice is decimal shortStop && _takePrice is decimal shortTake
			&& (candle.HighPrice >= shortStop || candle.LowPrice <= shortTake))
		{
			BuyMarket(-Position);
			_stopPrice = _takePrice = null;
			return;
		}

		if (prevClose is not decimal last || _pivotHigh is not decimal pivotHigh || _pivotLow is not decimal pivotLow)
			return;

		var step = Security.PriceStep ?? 1m;
		var buffer = SlBufferPoints * step;

		if (last <= pivotHigh && close > pivotHigh && Position <= 0)
		{
			var stop = pivotLow - buffer;
			if (stop >= close)
				return;

			BuyMarket(CalculateVolume(close - stop, step) + Math.Abs(Position));
			_stopPrice = stop;
			_takePrice = close + (close - stop) * RiskReward;
		}
		else if (last >= pivotLow && close < pivotLow && Position >= 0)
		{
			var stop = pivotHigh + buffer;
			if (stop <= close)
				return;

			SellMarket(CalculateVolume(stop - close, step) + Math.Abs(Position));
			_stopPrice = stop;
			_takePrice = close - (stop - close) * RiskReward;
		}
	}

	private void UpdatePivots(ICandleMessage candle)
	{
		var window = SwingLength * 2 + 1;

		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);

		if (_highs.Count > window)
		{
			_highs.RemoveAt(0);
			_lows.RemoveAt(0);
		}

		if (_highs.Count < window)
			return;

		// The candle in the middle of the window is a pivot once SwingLength candles have closed after it.
		var high = _highs[SwingLength];
		if (high == _highs.Max())
			_pivotHigh = high;

		var low = _lows[SwingLength];
		if (low == _lows.Min())
			_pivotLow = low;
	}

	private decimal CalculateVolume(decimal stopDistance, decimal step)
	{
		var equity = Portfolio?.CurrentValue ?? 0m;
		var steps = stopDistance / step;
		var volume = steps > 0m ? equity * RiskPercent / 100m / (steps * PipValueUsd) : 0m;

		if (Security.VolumeStep is decimal volumeStep && volumeStep > 0m)
			volume = Math.Floor(volume / volumeStep) * volumeStep;

		return volume > 0m ? volume : Volume;
	}
}