日本語
GitHub で見る

VininI Trend戦略

説明

この戦略はオリジナルのMQLエキスパートアドバイザーExp_VininI_TrendをStockSharpに変換したものです。商品チャネル指数（CCI）を使ってVininI Trendオシレーターをエミュレートします。オシレーターが上位レベルを突破するか上向きに転換したときにロングポジションが開きます。オシレーターが下位レベルを下回るか下向きに転換したときにショートポジションが開きます。完成したローソク足のみで動作します。

パラメーター

  • CCI Period – CCIインジケーターの長さ。
  • Upper Level – 買いシグナルのトリガーとなる閾値。
  • Lower Level – 売りシグナルのトリガーとなる閾値。
  • Entry Modes – Breakdownはレベルクロスに反応し、Twistは方向転換に反応します。
  • Candle Type – 計算に使用するローソク足の時間軸。

オリジナル

MQL/1365/exp_vinini_trend.mq5のMQL5戦略から変換されました。

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 based on the VininI Trend concept using the CCI indicator.
/// Buys when CCI breaks above upper level, sells when CCI breaks below lower level.
/// </summary>
public class VininITrendStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<int> _upLevel;
	private readonly StrategyParam<int> _downLevel;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prev1;
	private decimal? _prev2;
	private readonly StrategyParam<int> _mode;
	private Order _pending;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public int UpLevel { get => _upLevel.Value; set => _upLevel.Value = value; }
	public int DownLevel { get => _downLevel.Value; set => _downLevel.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public int Mode { get => _mode.Value; set => _mode.Value = value; }
	public VininITrendStrategy()
	{
		_mode = Param(nameof(Mode), 0).SetRange(0, 1).SetDisplay("Entry Mode", "0: Breakdown, 1: Twist", "Parameters");
		_period = Param(nameof(Period), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period for the CCI indicator", "Parameters");

		_upLevel = Param(nameof(UpLevel), 10)
			.SetDisplay("Upper Level", "Upper threshold to trigger buy", "Parameters");

		_downLevel = Param(nameof(DownLevel), -10)
			.SetDisplay("Lower Level", "Lower threshold to trigger sell", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prev1 = default;
		_prev2 = default;
		_pending = null;
	}

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

		_prev1 = _prev2 = null;
		_pending = null;

		var cci = new CommodityChannelIndex { Length = Period };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(cci, ProcessCandle)
			.Start();

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

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

		if (!cciValue.IsFormed)
			return;

		var cci = cciValue.ToDecimal();

		var buy = false;
		var sell = false;
		if (_prev1 is decimal previous)
		{
			if (Mode == 0)
			{
				buy = previous <= UpLevel && cci > UpLevel;
				sell = previous >= DownLevel && cci < DownLevel;
			}
			else if (_prev2 is decimal older)
			{
				buy = previous < older && cci > previous;
				sell = previous > older && cci < previous;
			}
		}
		if (IsFormedAndOnlineAndAllowTrading() && (_pending is null || _pending.State is OrderStates.Done or OrderStates.Failed))
		{
			if (buy && Position <= 0m) _pending = BuyMarket(Volume - Math.Min(0m, Position));
			else if (sell && Position >= 0m) _pending = SellMarket(Volume + Math.Max(0m, Position));
		}

		_prev2 = _prev1;
		_prev1 = cci;
	}
}