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One-Two-Three Reversal Strategy

The One-Two-Three Reversal strategy looks for a bullish 1-2-3 pattern in price action. A long position is opened when today's low is below yesterday's, yesterday's low is below the low three bars ago, the low two bars ago is below the low four bars ago, and the high two bars ago is below the high three bars ago. The trade is closed after a defined number of bars or when price closes above a moving average.

Details

  • Entry Criteria:
    • Current low < previous low.
    • Previous low < low three bars ago.
    • Low two bars ago < low four bars ago.
    • High two bars ago < high three bars ago.
  • Long/Short: Long only.
  • Exit Criteria:
    • Hold for DaysToHold bars or close crosses above moving average.
  • Stops: None.
  • Default Values:
    • DaysToHold = 7
    • MaLength = 200
  • Filters:
    • Category: Reversal
    • Direction: Long
    • Indicators: Price action, SMA
    • Stops: No
    • Complexity: Low
    • Timeframe: Daily
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// One-Two-Three Reversal Strategy.
/// Detects 1-2-3 bottom pattern (descending lows with rising highs) and buys.
/// Exits after holding period or when price crosses above MA.
/// </summary>
public class OneTwoThreeReversalStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _holdBars;
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _sma;

	private decimal _low1, _low2, _low3, _low4;
	private decimal _high1, _high2, _high3;
	private int _historyCount;
	private int _barsSinceEntry;
	private int _cooldownRemaining;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int HoldBars
	{
		get => _holdBars.Value;
		set => _holdBars.Value = value;
	}

	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public OneTwoThreeReversalStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_holdBars = Param(nameof(HoldBars), 15)
			.SetGreaterThanZero()
			.SetDisplay("Hold Bars", "Bars to hold position", "Trading");

		_maLength = Param(nameof(MaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "Moving average period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

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

		_sma = null;
		_low1 = _low2 = _low3 = _low4 = 0;
		_high1 = _high2 = _high3 = 0;
		_historyCount = 0;
		_barsSinceEntry = int.MaxValue;
		_cooldownRemaining = 0;
	}

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

		_sma = new SimpleMovingAverage { Length = MaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_sma, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal maValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_sma.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
			_barsSinceEntry++;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			UpdateHistory(candle);
			return;
		}

		if (_historyCount >= 4)
		{
			// Exit conditions
			if (Position > 0 && (_barsSinceEntry >= HoldBars || candle.ClosePrice >= maValue))
			{
				SellMarket(Math.Abs(Position));
				_barsSinceEntry = int.MaxValue;
				_cooldownRemaining = CooldownBars;
			}
			// 1-2-3 bottom pattern: descending lows (bearish trend weakening)
			// + highs starting to rise (bullish reversal)
			else if (Position <= 0)
			{
				var condition1 = candle.LowPrice < _low1;
				var condition2 = _low1 < _low3;
				var condition3 = _low2 < _low4;
				var condition4 = _high2 < _high3;

				if (condition1 && condition2 && condition3 && condition4)
				{
					if (Position < 0)
						BuyMarket(Math.Abs(Position));
					BuyMarket(Volume);
					_barsSinceEntry = 0;
					_cooldownRemaining = CooldownBars;
				}
			}
		}

		UpdateHistory(candle);
	}

	private void UpdateHistory(ICandleMessage candle)
	{
		_low4 = _low3;
		_low3 = _low2;
		_low2 = _low1;
		_low1 = candle.LowPrice;

		_high3 = _high2;
		_high2 = _high1;
		_high1 = candle.HighPrice;

		if (_historyCount < 4)
			_historyCount++;
	}
}