using System;
using System.Collections.Generic;
using Ecng.Common;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;
namespace StockSharp.Samples.Strategies;
/// <summary>
/// Double ZigZag alignment strategy. Uses fast and slow swing detectors
/// based on highest/lowest price lookbacks to find aligned pivot points and trade breakouts.
/// </summary>
public class DoubleZigZagStrategy : Strategy
{
private readonly StrategyParam<int> _fastLength;
private readonly StrategyParam<int> _slowLength;
private readonly StrategyParam<DataType> _candleType;
private readonly List<decimal> _highs = new();
private readonly List<decimal> _lows = new();
private int _fastDirection;
private int _slowDirection;
private decimal _lastFastPivotHigh;
private decimal _lastFastPivotLow;
public int FastLength
{
get => _fastLength.Value;
set => _fastLength.Value = value;
}
public int SlowLength
{
get => _slowLength.Value;
set => _slowLength.Value = value;
}
public DataType CandleType
{
get => _candleType.Value;
set => _candleType.Value = value;
}
public DoubleZigZagStrategy()
{
_fastLength = Param(nameof(FastLength), 8)
.SetDisplay("Fast Length", "Lookback for the fast swing detector", "Indicators");
_slowLength = Param(nameof(SlowLength), 30)
.SetDisplay("Slow Length", "Lookback for the slow confirmation swing", "Indicators");
_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
.SetDisplay("Candle Type", "Type of candles to analyze", "General");
}
/// <inheritdoc />
public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
{
return [(Security, CandleType)];
}
/// <inheritdoc />
protected override void OnReseted()
{
base.OnReseted();
_highs.Clear();
_lows.Clear();
_fastDirection = 0;
_slowDirection = 0;
_lastFastPivotHigh = 0;
_lastFastPivotLow = 0;
}
/// <inheritdoc />
protected override void OnStarted2(DateTime time)
{
base.OnStarted2(time);
_highs.Clear();
_lows.Clear();
_fastDirection = 0;
_slowDirection = 0;
_lastFastPivotHigh = 0;
_lastFastPivotLow = 0;
var subscription = SubscribeCandles(CandleType);
subscription
.Bind(ProcessCandle)
.Start();
var area = CreateChartArea();
if (area != null)
{
DrawCandles(area, subscription);
DrawOwnTrades(area);
}
}
private void ProcessCandle(ICandleMessage candle)
{
if (candle.State != CandleStates.Finished)
return;
_highs.Add(candle.HighPrice);
_lows.Add(candle.LowPrice);
var maxBuf = Math.Max(FastLength, SlowLength) + 1;
if (_highs.Count > maxBuf)
{
_highs.RemoveAt(0);
_lows.RemoveAt(0);
}
if (_highs.Count < SlowLength)
return;
// Calculate fast and slow highest/lowest
var fastHighest = GetMax(_highs, FastLength);
var fastLowest = GetMin(_lows, FastLength);
var slowHighest = GetMax(_highs, SlowLength);
var slowLowest = GetMin(_lows, SlowLength);
var prevFastDir = _fastDirection;
var prevSlowDir = _slowDirection;
// Detect fast swing pivot
if (_fastDirection <= 0 && candle.HighPrice >= fastHighest)
{
_fastDirection = 1;
_lastFastPivotHigh = candle.HighPrice;
}
else if (_fastDirection >= 0 && candle.LowPrice <= fastLowest)
{
_fastDirection = -1;
_lastFastPivotLow = candle.LowPrice;
}
// Detect slow swing pivot
if (_slowDirection <= 0 && candle.HighPrice >= slowHighest)
_slowDirection = 1;
else if (_slowDirection >= 0 && candle.LowPrice <= slowLowest)
_slowDirection = -1;
// When both fast and slow pivot in the same direction, generate signal
var fastFlippedUp = prevFastDir <= 0 && _fastDirection > 0;
var fastFlippedDown = prevFastDir >= 0 && _fastDirection < 0;
var slowFlippedUp = prevSlowDir <= 0 && _slowDirection > 0;
var slowFlippedDown = prevSlowDir >= 0 && _slowDirection < 0;
if (fastFlippedUp && (slowFlippedUp || _slowDirection > 0))
{
if (Position <= 0)
BuyMarket();
}
else if (fastFlippedDown && (slowFlippedDown || _slowDirection < 0))
{
if (Position >= 0)
SellMarket();
}
}
private static decimal GetMax(List<decimal> data, int length)
{
var max = decimal.MinValue;
var start = Math.Max(0, data.Count - length);
for (var i = start; i < data.Count; i++)
{
if (data[i] > max)
max = data[i];
}
return max;
}
private static decimal GetMin(List<decimal> data, int length)
{
var min = decimal.MaxValue;
var start = Math.Max(0, data.Count - length);
for (var i = start; i < data.Count; i++)
{
if (data[i] < min)
min = data[i];
}
return min;
}
}
import clr
clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")
from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy
class double_zig_zag_strategy(Strategy):
"""Double ZigZag alignment strategy: fast and slow swing detectors for aligned breakout signals."""
def __init__(self):
super(double_zig_zag_strategy, self).__init__()
self._fast_length = self.Param("FastLength", 8) \
.SetGreaterThanZero() \
.SetDisplay("Fast Length", "Lookback for the fast swing detector", "Indicators")
self._slow_length = self.Param("SlowLength", 30) \
.SetGreaterThanZero() \
.SetDisplay("Slow Length", "Lookback for the slow confirmation swing", "Indicators")
self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
.SetDisplay("Candle Type", "Type of candles to analyze", "General")
self._highs = []
self._lows = []
self._fast_dir = 0
self._slow_dir = 0
@property
def FastLength(self):
return self._fast_length.Value
@property
def SlowLength(self):
return self._slow_length.Value
@property
def CandleType(self):
return self._candle_type.Value
def OnStarted2(self, time):
super(double_zig_zag_strategy, self).OnStarted2(time)
self._highs = []
self._lows = []
self._fast_dir = 0
self._slow_dir = 0
subscription = self.SubscribeCandles(self.CandleType)
subscription.Bind(self.process_candle).Start()
area = self.CreateChartArea()
if area is not None:
self.DrawCandles(area, subscription)
self.DrawOwnTrades(area)
def process_candle(self, candle):
if candle.State != CandleStates.Finished:
return
h = float(candle.HighPrice)
lo = float(candle.LowPrice)
self._highs.append(h)
self._lows.append(lo)
max_buf = max(self.FastLength, self.SlowLength) + 1
if len(self._highs) > max_buf:
self._highs.pop(0)
self._lows.pop(0)
if len(self._highs) < self.SlowLength:
return
fast_highest = self._get_max(self._highs, self.FastLength)
fast_lowest = self._get_min(self._lows, self.FastLength)
slow_highest = self._get_max(self._highs, self.SlowLength)
slow_lowest = self._get_min(self._lows, self.SlowLength)
prev_fast = self._fast_dir
prev_slow = self._slow_dir
if self._fast_dir <= 0 and h >= fast_highest:
self._fast_dir = 1
elif self._fast_dir >= 0 and lo <= fast_lowest:
self._fast_dir = -1
if self._slow_dir <= 0 and h >= slow_highest:
self._slow_dir = 1
elif self._slow_dir >= 0 and lo <= slow_lowest:
self._slow_dir = -1
fast_up = prev_fast <= 0 and self._fast_dir > 0
fast_down = prev_fast >= 0 and self._fast_dir < 0
slow_up = prev_slow <= 0 and self._slow_dir > 0
if fast_up and (slow_up or self._slow_dir > 0):
if self.Position <= 0:
self.BuyMarket()
elif fast_down and (prev_slow >= 0 and self._slow_dir < 0 or self._slow_dir < 0):
if self.Position >= 0:
self.SellMarket()
def _get_max(self, data, length):
start = max(0, len(data) - length)
mx = data[start]
for i in range(start + 1, len(data)):
if data[i] > mx:
mx = data[i]
return mx
def _get_min(self, data, length):
start = max(0, len(data) - length)
mn = data[start]
for i in range(start + 1, len(data)):
if data[i] < mn:
mn = data[i]
return mn
def OnReseted(self):
super(double_zig_zag_strategy, self).OnReseted()
self._highs = []
self._lows = []
self._fast_dir = 0
self._slow_dir = 0
def CreateClone(self):
return double_zig_zag_strategy()