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マルチ・コンフルエンス・スイングハンター V1 戦略

マルチ・コンフルエンス・スイングハンター V1 戦略は、RSI、MACD、価格アクションを組み合わせたスコアリングシステムを使用してスイングの安値と高値を識別します。強気シグナルが最低エントリースコアに達するとロングトレードが開かれ、弱気シグナルがエグジットスコアに達すると決済されます。

詳細

  • エントリー条件: RSI/MACDシグナルと強気ローソク足構造からのエントリースコア ≥ MinEntryScore。
  • ロング/ショート: ロングのみ。
  • エグジット条件: RSI/MACDシグナルと弱気ローソク足構造からのエグジットスコア ≥ MinExitScore。
  • ストップ: なし。
  • デフォルト値:
    • MacdFast = 3
    • MacdSlow = 10
    • MacdSignal = 3
    • RsiLength = 21
    • MinEntryScore = 13
    • MinExitScore = 13
    • MinLowerWickPercent = 50
    • RsiOversold = 30
    • RsiExtremeOversold = 25
    • RsiOverbought = 70
    • RsiExtremeOverbought = 75
    • CandleType = TimeSpan.FromHours(1)
  • フィルター:
    • カテゴリ: リバーサル
    • 方向: ロングのみ
    • インジケーター: RSI, MACD
    • ストップ: なし
    • 複雑さ: 中級
    • 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>
/// Multi-Confluence Swing Hunter V1 strategy.
/// Every finished candle gets a bullish and a bearish score built from RSI levels and turns, MACD position, histogram
/// direction and signal crosses, and candle structure (wick size, candle colour, close change and swing extremes).
/// A long opens when the bullish score reaches MinEntryScore and closes when the bearish score reaches MinExitScore.
/// Long only, no stops.
/// </summary>
public class MultiConfluenceSwingHunterV1Strategy : Strategy
{
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _minEntryScore;
	private readonly StrategyParam<int> _minExitScore;
	private readonly StrategyParam<decimal> _minLowerWickPercent;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiExtremeOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiExtremeOverbought;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevRsi;
	private decimal? _prevMacd;
	private decimal? _prevSignal;
	private decimal? _prevHigh;
	private decimal? _prevLow;
	private decimal? _prevClose;

	/// <summary>
	/// MACD fast EMA length.
	/// </summary>
	public int MacdFast
	{
		get => _macdFast.Value;
		set => _macdFast.Value = value;
	}

	/// <summary>
	/// MACD slow EMA length.
	/// </summary>
	public int MacdSlow
	{
		get => _macdSlow.Value;
		set => _macdSlow.Value = value;
	}

	/// <summary>
	/// MACD signal line length.
	/// </summary>
	public int MacdSignal
	{
		get => _macdSignal.Value;
		set => _macdSignal.Value = value;
	}

	/// <summary>
	/// RSI length.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Bullish score required to enter.
	/// </summary>
	public int MinEntryScore
	{
		get => _minEntryScore.Value;
		set => _minEntryScore.Value = value;
	}

	/// <summary>
	/// Bearish score required to exit.
	/// </summary>
	public int MinExitScore
	{
		get => _minExitScore.Value;
		set => _minExitScore.Value = value;
	}

	/// <summary>
	/// Minimum wick size in percent of the candle range that counts as a rejection.
	/// </summary>
	public decimal MinLowerWickPercent
	{
		get => _minLowerWickPercent.Value;
		set => _minLowerWickPercent.Value = value;
	}

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	/// <summary>
	/// RSI extreme oversold level.
	/// </summary>
	public decimal RsiExtremeOversold
	{
		get => _rsiExtremeOversold.Value;
		set => _rsiExtremeOversold.Value = value;
	}

	/// <summary>
	/// RSI overbought level.
	/// </summary>
	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	/// <summary>
	/// RSI extreme overbought level.
	/// </summary>
	public decimal RsiExtremeOverbought
	{
		get => _rsiExtremeOverbought.Value;
		set => _rsiExtremeOverbought.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MultiConfluenceSwingHunterV1Strategy()
	{
		_macdFast = Param(nameof(MacdFast), 3)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "MACD fast EMA length", "MACD");

		_macdSlow = Param(nameof(MacdSlow), 10)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "MACD slow EMA length", "MACD");

		_macdSignal = Param(nameof(MacdSignal), 3)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "MACD signal line length", "MACD");

		_rsiLength = Param(nameof(RsiLength), 21)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI length", "RSI");

		_minEntryScore = Param(nameof(MinEntryScore), 13)
			.SetGreaterThanZero()
			.SetDisplay("Min Entry Score", "Bullish score required to enter", "Scoring");

		_minExitScore = Param(nameof(MinExitScore), 13)
			.SetGreaterThanZero()
			.SetDisplay("Min Exit Score", "Bearish score required to exit", "Scoring");

		_minLowerWickPercent = Param(nameof(MinLowerWickPercent), 50m)
			.SetRange(0m, 100m)
			.SetDisplay("Min Wick %", "Minimum wick size in percent of the candle range", "Price Action");

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI oversold level", "RSI");

		_rsiExtremeOversold = Param(nameof(RsiExtremeOversold), 25m)
			.SetDisplay("RSI Extreme Oversold", "RSI extreme oversold level", "RSI");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "RSI overbought level", "RSI");

		_rsiExtremeOverbought = Param(nameof(RsiExtremeOverbought), 75m)
			.SetDisplay("RSI Extreme Overbought", "RSI extreme overbought level", "RSI");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(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()
	{
		_prevRsi = null;
		_prevMacd = null;
		_prevSignal = null;
		_prevHigh = null;
		_prevLow = null;
		_prevClose = null;
	}

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

		ResetState();

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFast },
				LongMa = { Length = MacdSlow },
			},
			SignalMa = { Length = MacdSignal }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(rsi, macd, ProcessCandle)
			.Start();

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, rsi);
				DrawIndicator(oscillators, macd);
			}
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue rsiValue, IIndicatorValue macdValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!rsiValue.IsFormed || !macdValue.IsFormed || macdValue is not IMovingAverageConvergenceDivergenceSignalValue { Macd: decimal macd, Signal: decimal signal })
			return;

		var rsi = rsiValue.ToDecimal();

		var prevRsi = _prevRsi;
		var prevMacd = _prevMacd;
		var prevSignal = _prevSignal;
		var prevHigh = _prevHigh;
		var prevLow = _prevLow;
		var prevClose = _prevClose;

		_prevRsi = rsi;
		_prevMacd = macd;
		_prevSignal = signal;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_prevClose = candle.ClosePrice;

		if (prevRsi is not decimal pRsi || prevMacd is not decimal pMacd || prevSignal is not decimal pSignal ||
			prevHigh is not decimal pHigh || prevLow is not decimal pLow || prevClose is not decimal pClose)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var open = candle.OpenPrice;
		var close = candle.ClosePrice;
		var high = candle.HighPrice;
		var low = candle.LowPrice;
		var range = high - low;
		var lowerWickPercent = range > 0 ? (Math.Min(open, close) - low) / range * 100m : 0m;
		var upperWickPercent = range > 0 ? (high - Math.Max(open, close)) / range * 100m : 0m;
		var hist = macd - signal;
		var prevHist = pMacd - pSignal;

		var entryScore = 0;
		if (rsi < RsiExtremeOversold)
			entryScore += 3;
		else if (rsi < RsiOversold)
			entryScore += 2;
		if (pRsi < RsiOversold && rsi > pRsi)
			entryScore += 3;
		if (macd < 0)
			entryScore += 1;
		if (hist > prevHist)
			entryScore += 2;
		if (pMacd <= pSignal && macd > signal)
			entryScore += 3;
		if (lowerWickPercent >= MinLowerWickPercent)
			entryScore += 3;
		if (close > open)
			entryScore += 2;
		if (close > pClose)
			entryScore += 1;
		if (low < pLow)
			entryScore += 2;

		var exitScore = 0;
		if (rsi > RsiExtremeOverbought)
			exitScore += 3;
		else if (rsi > RsiOverbought)
			exitScore += 2;
		if (pRsi > RsiOverbought && rsi < pRsi)
			exitScore += 3;
		if (macd > 0)
			exitScore += 1;
		if (hist < prevHist)
			exitScore += 2;
		if (pMacd >= pSignal && macd < signal)
			exitScore += 3;
		if (upperWickPercent >= MinLowerWickPercent)
			exitScore += 3;
		if (close < open)
			exitScore += 2;
		if (close < pClose)
			exitScore += 1;
		if (high > pHigh)
			exitScore += 2;

		if (Position <= 0 && entryScore >= MinEntryScore)
			BuyMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && exitScore >= MinExitScore)
			SellMarket(Position);
	}
}