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Exp CyclePeriod Strategy

This strategy uses the CyclePeriod indicator to detect market cycle turns. It opens long positions when the indicator rises and short positions when it falls, closing opposite positions accordingly.

Details

  • Entry Criteria:
    • Long: CyclePeriod is rising and the current value is above the previous one.
    • Short: CyclePeriod is falling and the current value is below the previous one.
  • Long/Short: Long and Short.
  • Exit Criteria:
    • Close short when CyclePeriod turns upward.
    • Close long when CyclePeriod turns downward.
  • Stops: Uses take profit and stop loss in price units.
  • Default Values:
    • CandleType = TimeSpan.FromHours(6).TimeFrame().
    • Alpha = 0.07.
    • SignalBar = 1.
    • TakeProfit = 2000.
    • StopLoss = 1000.
    • BuyPosOpen = true.
    • SellPosOpen = true.
    • BuyPosClose = true.
    • SellPosClose = true.
  • Filters:
    • Category: Trend following
    • Direction: Long & Short
    • Indicators: CyclePeriod
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: 6-hour
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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 Ehlers CyclePeriod concept using EMA crossover as proxy.
/// Detects short-term cycles via fast/slow EMA and trades reversals.
/// </summary>
public class ExpCyclePeriodStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _prevReady;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public bool BuyPosOpen { get => _buyPosOpen.Value; set => _buyPosOpen.Value = value; }
	public bool SellPosOpen { get => _sellPosOpen.Value; set => _sellPosOpen.Value = value; }

	public ExpCyclePeriodStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(6).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_fastPeriod = Param(nameof(FastPeriod), 7)
			.SetDisplay("Fast Period", "Fast EMA period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetDisplay("Slow Period", "Slow EMA period", "Indicator");

		_takeProfit = Param(nameof(TakeProfit), 2000m)
			.SetDisplay("Take Profit", "Take profit in price", "Risk");

		_stopLoss = Param(nameof(StopLoss), 1000m)
			.SetDisplay("Stop Loss", "Stop loss in price", "Risk");

		_buyPosOpen = Param(nameof(BuyPosOpen), true)
			.SetDisplay("Buy Open", "Allow long entries", "Logic");

		_sellPosOpen = Param(nameof(SellPosOpen), true)
			.SetDisplay("Sell Open", "Allow short entries", "Logic");
	}

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

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

		_prevFast = 0m;
		_prevSlow = 0m;
		_prevReady = false;
	}

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

		StartProtection(new Unit(TakeProfit, UnitTypes.Absolute), new Unit(StopLoss, UnitTypes.Absolute));

		var fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, ProcessCandle)
			.Start();

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

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

		if (!_prevReady)
		{
			_prevFast = fastValue;
			_prevSlow = slowValue;
			_prevReady = true;
			return;
		}

		// Crossover detection
		var prevDiff = _prevFast - _prevSlow;
		var currDiff = fastValue - slowValue;

		// Golden cross: fast crosses above slow
		if (prevDiff <= 0 && currDiff > 0)
		{
			if (BuyPosOpen && Position <= 0)
			{
				if (Position < 0)
					BuyMarket();
				BuyMarket();
			}
		}
		// Death cross: fast crosses below slow
		else if (prevDiff >= 0 && currDiff < 0)
		{
			if (SellPosOpen && Position >= 0)
			{
				if (Position > 0)
					SellMarket();
				SellMarket();
			}
		}

		_prevFast = fastValue;
		_prevSlow = slowValue;
	}
}