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価格・出来高ブレイクアウト買い戦略

この戦略は、価格がトレンドSMAの上に維持されながら、価格と出来高が同時にそれぞれのルックバック高値を上回ったときにエントリーします。ショート取引は、同じ出来高条件とSMAフィルターのもとで価格がルックバック安値を下回ったときに発動します。SMAの反対側で5本連続して引けた後にポジションが決済されます。

詳細

  • エントリー条件:
    • ロング: Close > 前の最高値 && Volume > 前の最高出来高 && Close > SMA
    • ショート: Close < 前の最安値 && Volume > 前の最高出来高 && Close < SMA
  • ロング/ショート: 設定可能
  • エグジット条件:
    • トレンド: SMAを超えた5本連続クローズ
  • ストップ: いいえ
  • デフォルト値:
    • PriceBreakoutPeriod = 60
    • VolumeBreakoutPeriod = 60
    • TrendlineLength = 200
    • OrderDirection = "Long"
    • CandleType = TimeSpan.FromDays(1)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 設定可能
    • インジケーター: Highest, SMA, Volume
    • Stops: いいえ
    • 複雑さ: 基本
    • 時間軸: 任意
    • 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

価格と出来高の極値には、現在のシグナル足を含めず、直前までに確定した足のみを使用します。OrderDirection は Long、Short、Both を指定でき、既定値は Long です。SMAと同値、またはポジション側に戻る終値で5本連続カウントをリセットします。

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>
/// Trades breakouts of the previous price and volume ranges in the direction of the trend SMA.
/// </summary>
public class PriceAndVolumeBreakoutBuyStrategy : Strategy
{
	private readonly StrategyParam<int> _priceBreakoutPeriod;
	private readonly StrategyParam<int> _volumeBreakoutPeriod;
	private readonly StrategyParam<int> _trendlineLength;
	private readonly StrategyParam<string> _orderDirection;
	private readonly StrategyParam<DataType> _candleType;
	private readonly Queue<(decimal high, decimal low, decimal volume)> _previousBars = new();
	private int _oppositeCloses;
	private bool _entryRequested;
	private bool _exitRequested;

	public int PriceBreakoutPeriod { get => _priceBreakoutPeriod.Value; set => _priceBreakoutPeriod.Value = value; }
	public int VolumeBreakoutPeriod { get => _volumeBreakoutPeriod.Value; set => _volumeBreakoutPeriod.Value = value; }
	public int TrendlineLength { get => _trendlineLength.Value; set => _trendlineLength.Value = value; }
	public string OrderDirection { get => _orderDirection.Value; set => _orderDirection.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public PriceAndVolumeBreakoutBuyStrategy()
	{
		_priceBreakoutPeriod = Param(nameof(PriceBreakoutPeriod), 60)
			.SetGreaterThanZero()
			.SetDisplay("Price Breakout Period", "Number of preceding candles used for the price extreme.", "Breakout");

		_volumeBreakoutPeriod = Param(nameof(VolumeBreakoutPeriod), 60)
			.SetGreaterThanZero()
			.SetDisplay("Volume Breakout Period", "Number of preceding candles used for maximum volume.", "Breakout");

		_trendlineLength = Param(nameof(TrendlineLength), 200)
			.SetGreaterThanZero()
			.SetDisplay("Trendline Length", "Trend SMA period.", "Trend");

		_orderDirection = Param(nameof(OrderDirection), "Long")
			.SetDisplay("Order Direction", "Long, Short, or Both.", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle type.", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousBars.Clear();
		_oppositeCloses = 0;
		_entryRequested = false;
		_exitRequested = false;
	}

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

		if (OrderDirection is not ("Long" or "Short" or "Both"))
			throw new ArgumentOutOfRangeException(nameof(OrderDirection), OrderDirection, "Supported values are Long, Short and Both.");

		var trend = new SimpleMovingAverage { Length = TrendlineLength };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(trend, (candle, average) => ProcessCandle(candle, average, trend)).Start();

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

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

		// The current bar must never contribute to its own lookback extrema.
		if (trend.IsFormed && _previousBars.Count >= Math.Max(PriceBreakoutPeriod, VolumeBreakoutPeriod))
		{
			if (Position != 0m)
			{
				_entryRequested = false;
				if (!_exitRequested)
				{
					var opposite = Position > 0m ? candle.ClosePrice < average : candle.ClosePrice > average;
					_oppositeCloses = opposite ? _oppositeCloses + 1 : 0;
					if (_oppositeCloses == 5)
					{
						_exitRequested = true;
						_oppositeCloses = 0;
						if (Position > 0m)
							SellMarket(Position);
						else
							BuyMarket(Math.Abs(Position));
					}
				}
			}
			else
			{
				_exitRequested = false;
				_oppositeCloses = 0;
				if (!_entryRequested)
				{
					var priceBars = _previousBars.TakeLast(PriceBreakoutPeriod).ToArray();
					var maximumVolume = _previousBars.TakeLast(VolumeBreakoutPeriod).Max(x => x.volume);
					var longSignal = candle.ClosePrice > priceBars.Max(x => x.high)
						&& candle.TotalVolume > maximumVolume && candle.ClosePrice > average;
					var shortSignal = candle.ClosePrice < priceBars.Min(x => x.low)
						&& candle.TotalVolume > maximumVolume && candle.ClosePrice < average;

					if (longSignal && (OrderDirection is "Long" or "Both"))
					{
						_entryRequested = true;
						BuyMarket(Volume);
					}
					else if (shortSignal && (OrderDirection is "Short" or "Both"))
					{
						_entryRequested = true;
						SellMarket(Volume);
					}
				}
			}
		}

		_previousBars.Enqueue((candle.HighPrice, candle.LowPrice, candle.TotalVolume));
		while (_previousBars.Count > Math.Max(PriceBreakoutPeriod, VolumeBreakoutPeriod))
			_previousBars.Dequeue();
	}
}