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SHE Kanskigor Strategy

This daily strategy opens a single position each day based on the direction of the previous day's candle. At the configured time it buys if the prior day closed below its open and sells if it closed above. A fixed take-profit and stop-loss measured in price steps manage risk. Only one trade is allowed per day.

Details

  • Entry Criteria: At StartTime compare the previous day's open and close; buy when open > close, sell when open < close
  • Long/Short: Both
  • Exit Criteria: take profit or stop loss
  • Stops: Yes
  • Default Values:
    • Volume = 0.1
    • StartTime = 00:05
    • TakeProfit = 350
    • StopLoss = 550
  • Filters:
    • Category: Reversal
    • Direction: Both
    • Indicators: None
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Daily
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Strategy that trades based on consecutive same-direction candles with EMA filter.
/// </summary>
public class SheKanskigorStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOpen;
	private decimal _prevClose;
	private decimal _prevPrevOpen;
	private decimal _prevPrevClose;
	private int _candleCount;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public SheKanskigorStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOpen = 0;
		_prevClose = 0;
		_prevPrevOpen = 0;
		_prevPrevClose = 0;
		_candleCount = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		SubscribeCandles(CandleType).Bind(ema, ProcessCandle).Start();
	}

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

		_candleCount++;

		if (_candleCount < 3)
		{
			_prevPrevOpen = _prevOpen;
			_prevPrevClose = _prevClose;
			_prevOpen = candle.OpenPrice;
			_prevClose = candle.ClosePrice;
			return;
		}

		// Two consecutive bearish candles -> buy reversal (with EMA confirmation)
		var twoBearish = _prevPrevOpen > _prevPrevClose && _prevOpen > _prevClose;
		// Two consecutive bullish candles -> sell reversal
		var twoBullish = _prevPrevOpen < _prevPrevClose && _prevOpen < _prevClose;

		if (twoBearish && candle.ClosePrice > emaValue && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (twoBullish && candle.ClosePrice < emaValue && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPrevOpen = _prevOpen;
		_prevPrevClose = _prevClose;
		_prevOpen = candle.OpenPrice;
		_prevClose = candle.ClosePrice;
	}
}