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Exp 3XMA Ichimoku Strategy

This strategy is a conversion of the MQL expert exp_3xma_ishimoku. It uses the Ichimoku indicator with shortened periods and acts contrarian to cloud breakouts.

The Kijun line is compared to the Ichimoku cloud boundaries. When Kijun falls from above the cloud into it, the strategy closes short positions and opens a long one if buying is allowed. When Kijun rises from below the cloud into it, long positions are closed and a short position may be opened.

The default timeframe for analysis is 4-hour candles.

Parameters

  • Tenkan Period – length of the Tenkan-sen line.
  • Kijun Period – length of the Kijun-sen line.
  • Senkou Span B Period – period for the second Senkou span.
  • Allow Buy – enable opening long positions.
  • Allow Sell – enable opening short positions.
  • Candle Type – candle series used for indicator calculation.

How It Works

  1. Subscribes to the selected candle series and binds the Ichimoku indicator.
  2. Processes only finished candles.
  3. Detects when the Kijun line crosses the cloud borders.
  4. Closes opposite positions and opens a new one in the signal direction if allowed.

Disclaimer

This example is for educational purposes and does not constitute financial advice. Use at your own risk.

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>
/// Ichimoku cloud strategy.
/// Buys when Kijun crosses down into cloud, sells on opposite.
/// </summary>
public class Exp3XmaIshimokuStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevKijun;
	private decimal? _prevUpper;
	private decimal? _prevLower;

	public int TenkanPeriod { get => _tenkanPeriod.Value; set => _tenkanPeriod.Value = value; }
	public int KijunPeriod { get => _kijunPeriod.Value; set => _kijunPeriod.Value = value; }
	public int SenkouSpanPeriod { get => _senkouSpanPeriod.Value; set => _senkouSpanPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public Exp3XmaIshimokuStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Tenkan-sen period", "Ichimoku");

		_kijunPeriod = Param(nameof(KijunPeriod), 6)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Kijun-sen period", "Ichimoku");

		_senkouSpanPeriod = Param(nameof(SenkouSpanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Senkou B Period", "Senkou Span B period", "Ichimoku");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();
		_prevKijun = null;
		_prevUpper = null;
		_prevLower = null;
	}

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

		var ichimoku = new Ichimoku();
		ichimoku.Tenkan.Length = TenkanPeriod;
		ichimoku.Kijun.Length = KijunPeriod;
		ichimoku.SenkouB.Length = SenkouSpanPeriod;

		SubscribeCandles(CandleType)
			.BindEx(ichimoku, ProcessCandle)
			.Start();
	}

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

		var ich = (IIchimokuValue)ichimokuValue;

		if (ich.Kijun is not decimal kijun ||
			ich.SenkouA is not decimal senkouA ||
			ich.SenkouB is not decimal senkouB)
			return;

		var upper = Math.Max(senkouA, senkouB);
		var lower = Math.Min(senkouA, senkouB);

		if (_prevKijun is null)
		{
			_prevKijun = kijun;
			_prevUpper = upper;
			_prevLower = lower;
			return;
		}

		// Buy when Kijun crosses down into cloud
		var crossDown = _prevKijun > _prevUpper && kijun <= upper;
		// Sell when Kijun crosses up out of cloud
		var crossUp = _prevKijun < _prevLower && kijun >= lower;

		if (crossDown && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossUp && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevKijun = kijun;
		_prevUpper = upper;
		_prevLower = lower;
	}
}