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Cronex CCI 戦略

Cronex商品チャンネル指数のクロスオーバーに基づく戦略。インジケーターは2つの指数移動平均でCCIを平滑化し、高速ラインと低速ラインを作成します。

高速ラインが低速ラインを下向きにクロスすると戦略はロングポジションを開き、ショートポジションを閉じます。高速ラインが低速ラインを上向きにクロスするとショートポジションを開き、ロングポジションを閉じます。

この逆張りアプローチはモメンタム転換後の反転を捉えることを試みます。4時間ローソク足などの高い時間軸で機能します。

詳細

  • エントリー条件: 高速・低速の平滑化CCIラインのクロスオーバー。
  • ロング/ショート: 両方向。
  • エグジット条件: 反対方向のクロスオーバー。
  • ストップ: なし。
  • デフォルト値:
    • CciPeriod = 25
    • FastPeriod = 14
    • SlowPeriod = 25
    • CandleType = TimeSpan.FromHours(4)
    • EnableLongEntry = true
    • EnableShortEntry = true
    • EnableLongExit = true
    • EnableShortExit = true
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: CCI, EMA
    • ストップ: なし
    • 複雑さ: 基本
    • 時間軸: スイング (4h)
    • 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.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Cronex CCI indicator.
/// </summary>
public class CronexCciStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _enableLongEntry;
	private readonly StrategyParam<bool> _enableShortEntry;
	private readonly StrategyParam<bool> _enableLongExit;
	private readonly StrategyParam<bool> _enableShortExit;

	private decimal? _prevFast;
	private decimal? _prevSlow;
	private EMA _fastMa;
	private EMA _slowMa;
	private Order _pendingOrder;

	/// <summary>
	/// CCI period.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// Fast smoothing period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow smoothing period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

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

	/// <summary>
	/// Enable opening long positions.
	/// </summary>
	public bool EnableLongEntry
	{
		get => _enableLongEntry.Value;
		set => _enableLongEntry.Value = value;
	}

	/// <summary>
	/// Enable opening short positions.
	/// </summary>
	public bool EnableShortEntry
	{
		get => _enableShortEntry.Value;
		set => _enableShortEntry.Value = value;
	}

	/// <summary>
	/// Enable closing long positions.
	/// </summary>
	public bool EnableLongExit
	{
		get => _enableLongExit.Value;
		set => _enableLongExit.Value = value;
	}

	/// <summary>
	/// Enable closing short positions.
	/// </summary>
	public bool EnableShortExit
	{
		get => _enableShortExit.Value;
		set => _enableShortExit.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="CronexCciStrategy"/>.
	/// </summary>
	public CronexCciStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 25)
			.SetRange(5, 100)
			.SetDisplay("CCI Period", "CCI calculation length", "Indicators")
			;

		_fastPeriod = Param(nameof(FastPeriod), 14)
			.SetRange(2, 50)
			.SetDisplay("Fast Period", "Fast smoothing period", "Indicators")
			;

		_slowPeriod = Param(nameof(SlowPeriod), 25)
			.SetRange(2, 100)
			.SetDisplay("Slow Period", "Slow smoothing period", "Indicators")
			;

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

		_enableLongEntry = Param(nameof(EnableLongEntry), true)
			.SetDisplay("Enable Long Entry", "Allow opening long positions", "Trading");

		_enableShortEntry = Param(nameof(EnableShortEntry), true)
			.SetDisplay("Enable Short Entry", "Allow opening short positions", "Trading");

		_enableLongExit = Param(nameof(EnableLongExit), true)
			.SetDisplay("Enable Long Exit", "Allow closing long positions", "Trading");

		_enableShortExit = Param(nameof(EnableShortExit), true)
			.SetDisplay("Enable Short Exit", "Allow closing short positions", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevFast = null;
		_prevSlow = null;
		_fastMa = _slowMa = null;
		_pendingOrder = null;
	}

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

		_prevFast = _prevSlow = null;
		_pendingOrder = null;
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		_fastMa = new EMA { Length = FastPeriod };
		_slowMa = new EMA { Length = SlowPeriod };
		Indicators.Add(_fastMa);
		Indicators.Add(_slowMa);
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(cci, ProcessCandle).Start();

		// Setup chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _fastMa);
			DrawIndicator(area, _slowMa);
			DrawOwnTrades(area);
		}
	}

private void ProcessCandle(ICandleMessage candle, decimal cciValue)
	{
		if (candle.State != CandleStates.Finished) return;
		var fastResult = _fastMa.Process(cciValue, candle.OpenTime, true);
		var slowResult = _slowMa.Process(cciValue, candle.OpenTime, true);
		if (!fastResult.IsFormed || !slowResult.IsFormed) return;
		var fast = fastResult.ToDecimal();
		var slow = slowResult.ToDecimal();
		var buy = _prevFast is decimal oldFast && _prevSlow is decimal oldSlow && oldFast >= oldSlow && fast < slow;
		var sell = _prevFast is decimal oldFast2 && _prevSlow is decimal oldSlow2 && oldFast2 <= oldSlow2 && fast > slow;
		_prevFast = fast;
		_prevSlow = slow;
		if (!IsFormedAndOnlineAndAllowTrading() || (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))) return;
		if (buy)
		{
			if (Position < 0m && EnableShortExit) _pendingOrder = BuyMarket(-Position + (EnableLongEntry ? Volume : 0m));
			else if (Position == 0m && EnableLongEntry) _pendingOrder = BuyMarket(Volume);
		}
		else if (sell)
		{
			if (Position > 0m && EnableLongExit) _pendingOrder = SellMarket(Position + (EnableShortEntry ? Volume : 0m));
			else if (Position == 0m && EnableShortEntry) _pendingOrder = SellMarket(Volume);
		}
	}
}