日本語
GitHub で見る

Lacust ストップと BE

この戦略は、オリジナルのMQLエキスパートアドバイザー lacuststopandbe にインスパイアされた基本的なポジション管理を示します。

最後に完成したローソク足の方向にポジションをエントリーした後、戦略はいくつかの保護ルールを適用します：

  • 初期ストップロスとテイクプロフィットは固定価格距離に設定されます。
  • 利益が BreakevenGain に達すると、ストップがエントリー価格 + Breakeven に移動されます。
  • 利益が TrailingStart を超えると、ストップが TrailingStop の距離で価格を追跡します。
  • ストップレベルまたはテイクプロフィットレベルに触れるとポジションが決済されます。

パラメーター：

  • CandleType – 処理に使用するローソク足シリーズ。
  • StopLoss – 初期ストップロス距離。
  • TakeProfit – 初期テイクプロフィット距離。
  • TrailingStart – トレーリングストップを有効にするために必要な利益。
  • TrailingStop – 現在価格からのトレーリングストップ距離。
  • BreakevenGain – ストップをブレークイーブンに移動する前に必要な利益。
  • Breakeven – ストップをブレークイーブンに移動した後に確定する利益。

このサンプルはStockSharpの高レベルAPIを使用しており、単純なMQL取引管理スクリプトを移植するためのテンプレートとして活用できます。

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Enters on the last completed candle's direction; manages actual filled positions
/// through best bid/ask quotes with initial SL/TP, breakeven and monotonic trailing.
/// </summary>
public class LacustStopAndBeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _trailingStart;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<decimal> _breakevenGain;
	private readonly StrategyParam<decimal> _breakeven;

	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;
	private decimal? _favorableExtreme;
	private decimal _trackedVolume;
	private Order _pendingOrder;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal TrailingStart { get => _trailingStart.Value; set => _trailingStart.Value = value; }
	public decimal TrailingStop { get => _trailingStop.Value; set => _trailingStop.Value = value; }
	public decimal BreakevenGain { get => _breakevenGain.Value; set => _breakevenGain.Value = value; }
	public decimal Breakeven { get => _breakeven.Value; set => _breakeven.Value = value; }

	public LacustStopAndBeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Signal candles", "General");
		_stopLoss = Param(nameof(StopLoss), 400m).SetNotNegative()
			.SetDisplay("Stop Loss", "Initial risk distance in price units", "Risk");
		_takeProfit = Param(nameof(TakeProfit), 2000m).SetNotNegative()
			.SetDisplay("Take Profit", "Target distance in price units", "Risk");
		_trailingStart = Param(nameof(TrailingStart), 300m).SetNotNegative()
			.SetDisplay("Trailing Start", "Profit at which trailing starts", "Risk");
		_trailingStop = Param(nameof(TrailingStop), 200m).SetGreaterThanZero()
			.SetDisplay("Trailing Stop", "Trailing distance from favorable quote", "Risk");
		_breakevenGain = Param(nameof(BreakevenGain), 250m).SetNotNegative()
			.SetDisplay("Breakeven Gain", "Profit at which breakeven activates", "Risk");
		_breakeven = Param(nameof(Breakeven), 100m).SetNotNegative()
			.SetDisplay("Breakeven", "Profit locked on breakeven", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		ClearPositionTracking();
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ClearPositionTracking();
		_pendingOrder = null;
		SubscribeCandles(CandleType).Bind(ProcessCandle).Start();
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var subscription = new Subscription(DataType.Level1, Security);
			subscription.MarketData.BuildField = field;
			SubscribeLevel1(subscription).Bind(ProcessQuote).Start();
		}
	}

	private void ClearPositionTracking()
	{
		_entryPrice = _stopPrice = _takePrice = _favorableExtreme = null;
		_trackedVolume = 0m;
	}

	protected override void OnNewPosition(Position position)
	{
		base.OnNewPosition(position);
		ObservePosition(position);
	}

	protected override void OnPositionChanged(Position position)
	{
		base.OnPositionChanged(position);
		ObservePosition(position);
	}

	protected override void OnPositionReceived(Position position)
	{
		base.OnPositionReceived(position);
		ObservePosition(position);
	}

	private void ObservePosition(Position position)
	{
		if (position.Security != Security || position.Portfolio != Portfolio)
			return;

		var volume = position.CurrentValue ?? 0m;
		if (volume == 0m)
		{
			ClearPositionTracking();
			return;
		}

		if (position.AveragePrice is not decimal average || average <= 0m)
			return;

		if (_entryPrice == average && _trackedVolume == volume)
			return;

		// Retain an already tightened stop after a partial same-side reduction.
		if (_entryPrice == average && _trackedVolume * volume > 0m
			&& Math.Abs(volume) < Math.Abs(_trackedVolume))
		{
			_trackedVolume = volume;
			return;
		}

		_entryPrice = average;
		_trackedVolume = volume;
		_favorableExtreme = average;
		_stopPrice = StopLoss > 0m
			? volume > 0m ? average - StopLoss : average + StopLoss
			: null;
		_takePrice = TakeProfit > 0m
			? volume > 0m ? average + TakeProfit : average - TakeProfit
			: null;
	}

	private bool HasPendingOrder()
		=> _pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed);

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || Position != 0m
			|| !IsFormedAndOnlineAndAllowTrading() || HasPendingOrder())
			return;

		if (candle.ClosePrice > candle.OpenPrice)
			_pendingOrder = BuyMarket(Volume);
		else if (candle.ClosePrice < candle.OpenPrice)
			_pendingOrder = SellMarket(Volume);
	}

	private void ProcessQuote(Level1ChangeMessage quote)
	{
		if (Position == 0m || _entryPrice is not decimal entry
			|| !IsFormedAndOnlineAndAllowTrading() || HasPendingOrder())
			return;

		var isLong = Position > 0m;
		var field = isLong ? Level1Fields.BestBidPrice : Level1Fields.BestAskPrice;
		if (!quote.Changes.TryGetValue(field, out var raw) || raw is not decimal price || price <= 0m)
			return;

		var best = _favorableExtreme ?? entry;
		_favorableExtreme = best = isLong ? Math.Max(best, price) : Math.Min(best, price);
		var gain = isLong ? best - entry : entry - best;

		if (gain >= BreakevenGain)
		{
			var candidate = isLong ? entry + Breakeven : entry - Breakeven;
			TightenStop(isLong, candidate);
		}
		if (gain >= TrailingStart)
		{
			var candidate = isLong ? best - TrailingStop : best + TrailingStop;
			TightenStop(isLong, candidate);
		}

		var hitStop = _stopPrice is decimal stop && (isLong ? price <= stop : price >= stop);
		var hitTake = _takePrice is decimal take && (isLong ? price >= take : price <= take);
		if (!hitStop && !hitTake)
			return;

		var exit = new Order
		{
			Security = Security,
			Portfolio = Portfolio,
			Type = OrderTypes.Market,
			Side = isLong ? Sides.Sell : Sides.Buy,
			Volume = Math.Abs(Position),
			Comment = hitStop ? "Lacust stop / breakeven / trailing" : "Lacust take profit",
		};
		_pendingOrder = exit;
		RegisterOrder(exit);
	}

	private void TightenStop(bool isLong, decimal candidate)
		=> _stopPrice = _stopPrice is decimal old
			? isLong ? Math.Max(old, candidate) : Math.Min(old, candidate)
			: candidate;
}