日本語
GitHub で見る

モメンタム Alligator 4h Bitcoin戦略

モメンタム Alligator 4h Bitcoin戦略は、日足時間軸でAwesome OscillatorとBill WilliamsのAlligatorを組み合わせます。オシレーターが5期間SMAを上抜けし、価格が日足Alligatorの3本の線すべてを上回って取引されているときにロングポジションを建てます。動的ストップロスはエントリーからのパーセント下落とAlligatorのジョー（下顎）ラインのうち大きい方を使用します。利益確定のエグジット後、戦略は次の2つのシグナルをスキップします。

詳細

  • エントリー条件: AOが5期間SMAを上抜けし、終値が日足Alligatorの各ラインを上回っているとき。
  • ロング/ショート: ロングのみ。
  • エグジット条件: パーセントストップとAlligatorのジョーの最大値での動的ストップロス。
  • ストップ: はい。
  • デフォルト値:
    • StopLossPercent = 0.02m
    • CandleType = TimeSpan.FromHours(4)
    • TradeStart = 2023-01-01
    • TradeStop = 2025-01-01
  • フィルター:
    • カテゴリ: モメンタム
    • 方向: ロングのみ
    • インジケーター: Awesome Oscillator、Alligator
    • ストップ: はい
    • 複雑さ: 基本
    • 時間軸: 中期
    • 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.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Momentum Alligator 4h Bitcoin strategy.
/// Goes long when the Awesome Oscillator crosses above its 5-period SMA and the close is above the jaw, teeth and lips
/// of the daily Alligator, only between TradeStart and TradeStop. The position is closed by a stop at the higher of the
/// percent stop below entry and the daily jaw. After a profitable exit the next two entry signals are skipped.
/// </summary>
public class MomentumAlligator4hBitcoinStrategy : Strategy
{
	private const int _signalsToSkip = 2;

	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DateTimeOffset> _tradeStart;
	private readonly StrategyParam<DateTimeOffset> _tradeStop;

	private SimpleMovingAverage _aoSma;
	private SmoothedMovingAverage _jaw;
	private SmoothedMovingAverage _teeth;
	private SmoothedMovingAverage _lips;

	private decimal? _prevAo;
	private decimal? _prevAoSma;
	private decimal? _dailyJaw;
	private decimal? _dailyTeeth;
	private decimal? _dailyLips;
	private decimal _entryPrice;
	private int _skipCount;

	/// <summary>
	/// Percent stop below the entry price, as a fraction (0.02 = 2%).
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Entries are allowed from this time.
	/// </summary>
	public DateTimeOffset TradeStart
	{
		get => _tradeStart.Value;
		set => _tradeStart.Value = value;
	}

	/// <summary>
	/// Entries are allowed until this time.
	/// </summary>
	public DateTimeOffset TradeStop
	{
		get => _tradeStop.Value;
		set => _tradeStop.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public MomentumAlligator4hBitcoinStrategy()
	{
		_stopLossPercent = Param(nameof(StopLossPercent), 0.02m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Percent stop below entry as a fraction", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_tradeStart = Param(nameof(TradeStart), new DateTimeOffset(2023, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Trade Start", "Entries are allowed from this time", "General");

		_tradeStop = Param(nameof(TradeStop), new DateTimeOffset(2025, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Trade Stop", "Entries are allowed until this time", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, TimeSpan.FromDays(1).TimeFrame())];
	}

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

	private void ResetState()
	{
		_prevAo = null;
		_prevAoSma = null;
		_dailyJaw = null;
		_dailyTeeth = null;
		_dailyLips = null;
		_entryPrice = 0m;
		_skipCount = 0;
	}

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

		ResetState();

		var ao = new AwesomeOscillator();
		_aoSma = new SimpleMovingAverage { Length = 5 };
		_jaw = new SmoothedMovingAverage { Length = 13 };
		_teeth = new SmoothedMovingAverage { Length = 8 };
		_lips = new SmoothedMovingAverage { Length = 5 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ao, ProcessCandle)
			.Start();

		SubscribeCandles(TimeSpan.FromDays(1).TimeFrame())
			.Bind(ProcessDailyCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, ao);
				DrawIndicator(oscillators, _aoSma);
			}
		}
	}

	private void ProcessDailyCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// The Alligator lines are smoothed averages of the median price.
		var median = (candle.HighPrice + candle.LowPrice) / 2m;
		var jaw = _jaw.Process(new DecimalIndicatorValue(_jaw, median, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var teeth = _teeth.Process(new DecimalIndicatorValue(_teeth, median, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var lips = _lips.Process(new DecimalIndicatorValue(_lips, median, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (_jaw.IsFormed)
			_dailyJaw = jaw;
		if (_teeth.IsFormed)
			_dailyTeeth = teeth;
		if (_lips.IsFormed)
			_dailyLips = lips;
	}

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

		var aoSma = _aoSma.Process(new DecimalIndicatorValue(_aoSma, ao, candle.OpenTime) { IsFinal = true }).ToDecimal();
		if (!_aoSma.IsFormed)
		{
			_prevAo = ao;
			return;
		}

		var prevAo = _prevAo;
		var prevAoSma = _prevAoSma;
		_prevAo = ao;
		_prevAoSma = aoSma;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			var stop = _entryPrice * (1m - StopLossPercent);
			if (_dailyJaw is decimal jawStop && jawStop > stop)
				stop = jawStop;

			if (candle.LowPrice <= stop)
			{
				var exitPrice = Math.Min(stop, candle.OpenPrice);
				if (exitPrice > _entryPrice)
					_skipCount = _signalsToSkip;

				SellMarket(Position);
			}

			return;
		}

		if (prevAo is not decimal pa || prevAoSma is not decimal ps)
			return;

		if (_dailyJaw is not decimal jaw || _dailyTeeth is not decimal teeth || _dailyLips is not decimal lips)
			return;

		var crossUp = pa <= ps && ao > aoSma;
		if (!crossUp)
			return;

		var close = candle.ClosePrice;
		if (close <= jaw || close <= teeth || close <= lips)
			return;

		var openTime = candle.OpenTime;
		if (openTime < TradeStart.UtcDateTime || openTime >= TradeStop.UtcDateTime)
			return;

		if (_skipCount > 0)
		{
			_skipCount--;
			return;
		}

		_entryPrice = close;
		BuyMarket(Volume);
	}
}