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Livermore Seykota ブレイクアウト

LivermoreのピボットポイントとSeykolaのトレンドフィルター、ATRベースのエグジットを組み合わせたブレイクアウトシステムです。

テストでは年平均リターン約87%を示しています。株式市場で最も良いパフォーマンスを発揮します。

この戦略は最新のピボットを上回るまたは下回るブレイクアウトを探し、EMAの整列と出来高の強さでトレンド方向を確認します。ATRベースのストップがリスクを管理します。

詳細

  • エントリー条件: トレンドと出来高の確認を伴って価格が最後のピボットをブレイク。
  • ロング/ショート: 両方向。
  • エグジット条件: ATRストップまたはトレーリングストップ。
  • ストップ: ATRベースのストップ＆トレーリング。
  • デフォルト値:
    • MainEmaLength = 50
    • FastEmaLength = 20
    • SlowEmaLength = 200
    • PivotLength = 3
    • AtrLength = 14
    • StopAtrMultiplier = 3
    • TrailAtrMultiplier = 2
    • VolumeSmaLength = 20
    • CandleType = TimeSpan.FromMinutes(15)
  • 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: EMA, 出来高, ATR, Pivot
    • ストップ: ATR トレーリング
    • 複雑さ: 基本
    • 時間軸: イントラデイ (15m)
    • 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 System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Livermore Seykota breakout strategy.
/// Tracks the most recent confirmed pivot high and pivot low (PivotLength bars on each side). A close above the last pivot high goes long
/// when price is above the main EMA, the fast EMA is above the slow EMA and volume is above its average; a close below the last pivot low
/// goes short under the mirrored conditions. Positions exit on an ATR stop placed at entry or on an ATR trailing stop.
/// </summary>
public class LivermoreSeykotaBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _mainEmaLength;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _pivotLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _stopAtrMultiplier;
	private readonly StrategyParam<decimal> _trailAtrMultiplier;
	private readonly StrategyParam<int> _volumeSmaLength;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeSma;
	private readonly List<decimal> _highs = [];
	private readonly List<decimal> _lows = [];
	private decimal? _pivotHigh;
	private decimal? _pivotLow;
	private decimal? _stopPrice;
	private decimal? _trailPrice;

	/// <summary>
	/// Main EMA trend filter length.
	/// </summary>
	public int MainEmaLength
	{
		get => _mainEmaLength.Value;
		set => _mainEmaLength.Value = value;
	}

	/// <summary>
	/// Fast EMA length.
	/// </summary>
	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	/// <summary>
	/// Slow EMA length.
	/// </summary>
	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	/// <summary>
	/// Bars on each side that confirm a pivot.
	/// </summary>
	public int PivotLength
	{
		get => _pivotLength.Value;
		set => _pivotLength.Value = value;
	}

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the initial stop.
	/// </summary>
	public decimal StopAtrMultiplier
	{
		get => _stopAtrMultiplier.Value;
		set => _stopAtrMultiplier.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the trailing stop.
	/// </summary>
	public decimal TrailAtrMultiplier
	{
		get => _trailAtrMultiplier.Value;
		set => _trailAtrMultiplier.Value = value;
	}

	/// <summary>
	/// Volume SMA length.
	/// </summary>
	public int VolumeSmaLength
	{
		get => _volumeSmaLength.Value;
		set => _volumeSmaLength.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public LivermoreSeykotaBreakoutStrategy()
	{
		_mainEmaLength = Param(nameof(MainEmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Main EMA", "Main EMA trend filter length", "Indicators");

		_fastEmaLength = Param(nameof(FastEmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA length", "Indicators");

		_slowEmaLength = Param(nameof(SlowEmaLength), 200)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA length", "Indicators");

		_pivotLength = Param(nameof(PivotLength), 3)
			.SetGreaterThanZero()
			.SetDisplay("Pivot Length", "Bars on each side that confirm a pivot", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period", "Indicators");

		_stopAtrMultiplier = Param(nameof(StopAtrMultiplier), 3m)
			.SetNotNegative()
			.SetDisplay("Stop ATR Mult", "ATR multiplier of the initial stop", "Risk");

		_trailAtrMultiplier = Param(nameof(TrailAtrMultiplier), 2m)
			.SetNotNegative()
			.SetDisplay("Trail ATR Mult", "ATR multiplier of the trailing stop", "Risk");

		_volumeSmaLength = Param(nameof(VolumeSmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume SMA", "Volume SMA length", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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 = null;
		_pivotLow = null;
		_stopPrice = null;
		_trailPrice = null;
	}

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

		ResetState();

		var mainEma = new ExponentialMovingAverage { Length = MainEmaLength };
		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };
		_volumeSma = new SimpleMovingAverage { Length = VolumeSmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(mainEma, fastEma, slowEma, atr, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal mainEma, decimal fastEma, decimal slowEma, decimal atr)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var volumeValue = _volumeSma.Process(new DecimalIndicatorValue(_volumeSma, candle.TotalVolume, candle.OpenTime) { IsFinal = true });
		UpdatePivots(candle);

		if (Position > 0 && _stopPrice is decimal longStop)
		{
			if (TrailAtrMultiplier > 0)
				_trailPrice = Math.Max(_trailPrice ?? decimal.MinValue, candle.ClosePrice - atr * TrailAtrMultiplier);

			var exitLevel = Math.Max(longStop, _trailPrice ?? decimal.MinValue);
			if (candle.LowPrice <= exitLevel)
			{
				SellMarket(Position);
				_stopPrice = null;
				_trailPrice = null;
				return;
			}
		}
		else if (Position < 0 && _stopPrice is decimal shortStop)
		{
			if (TrailAtrMultiplier > 0)
				_trailPrice = Math.Min(_trailPrice ?? decimal.MaxValue, candle.ClosePrice + atr * TrailAtrMultiplier);

			var exitLevel = Math.Min(shortStop, _trailPrice ?? decimal.MaxValue);
			if (candle.HighPrice >= exitLevel)
			{
				BuyMarket(-Position);
				_stopPrice = null;
				_trailPrice = null;
				return;
			}
		}

		if (!volumeValue.IsFormed || _pivotHigh is not decimal pivotHigh || _pivotLow is not decimal pivotLow)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var volumeStrong = candle.TotalVolume > volumeValue.GetValue<decimal>();
		var upTrend = close > mainEma && fastEma > slowEma;
		var downTrend = close < mainEma && fastEma < slowEma;

		if (close > pivotHigh && upTrend && volumeStrong && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = StopAtrMultiplier > 0 ? close - atr * StopAtrMultiplier : decimal.MinValue;
			_trailPrice = null;
		}
		else if (close < pivotLow && downTrend && volumeStrong && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = StopAtrMultiplier > 0 ? close + atr * StopAtrMultiplier : decimal.MaxValue;
			_trailPrice = null;
		}
	}

	private void UpdatePivots(ICandleMessage candle)
	{
		var window = PivotLength * 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 middle bar is a pivot once PivotLength bars on each side have closed.
		var centerHigh = _highs[PivotLength];
		var centerLow = _lows[PivotLength];

		if (centerHigh == _highs.Max())
			_pivotHigh = centerHigh;

		if (centerLow == _lows.Min())
			_pivotLow = centerLow;
	}
}