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Jpalonso Modoki Strategy

The Jpalonso Modoki strategy trades a price channel built from a simple moving average. Upper and lower envelopes are calculated by applying a percentage deviation to the moving average. The system goes long when price touches the lower band or when it stays in the upper half of the channel. It goes short in the opposite situations. Fixed take profit and stop loss protect the position.

Details

  • Entry Criteria: Price below lower envelope or between middle and upper band for longs; price above upper envelope or between middle and lower band for shorts.
  • Long/Short: Both.
  • Exit Criteria: Opposite signal or stop levels.
  • Stops: Yes, take profit and stop loss in points.
  • Default Values:
    • CandleType = 1 minute
    • SmaPeriod = 200
    • Deviation = 0.35%
    • TakeProfit = 127 points
    • StopLoss = 77 points
  • Filters:
    • Category: Channel
    • Direction: Both
    • Indicators: SMA, Envelopes
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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 price position relative to SMA envelopes.
/// Buys when price is below the lower envelope, sells when above upper.
/// </summary>
public class JpalonsoModokiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<decimal> _deviation;
	private readonly StrategyParam<Unit> _takeProfit;
	private readonly StrategyParam<Unit> _stopLoss;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }
	public decimal Deviation { get => _deviation.Value; set => _deviation.Value = value; }
	public Unit TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public Unit StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }

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

		_smaPeriod = Param(nameof(SmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Length of the moving average", "Envelopes");

		_deviation = Param(nameof(Deviation), 0.35m)
			.SetDisplay("Deviation %", "Envelope deviation from SMA in percent", "Envelopes");

		_takeProfit = Param(nameof(TakeProfit), new Unit(3000, UnitTypes.Absolute))
			.SetDisplay("Take Profit", "Take profit in points", "Risk Management");

		_stopLoss = Param(nameof(StopLoss), new Unit(5000, UnitTypes.Absolute))
			.SetDisplay("Stop Loss", "Stop loss in points", "Risk Management");
	}

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

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

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

		StartProtection(takeProfit: TakeProfit, stopLoss: StopLoss);

		var sma = new SimpleMovingAverage { Length = SmaPeriod };

		SubscribeCandles(CandleType)
			.Bind(sma, ProcessCandle)
			.Start();
	}

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

		var upper = ma * (1 + Deviation / 100m);
		var lower = ma * (1 - Deviation / 100m);
		var close = candle.ClosePrice;

		var buy = close <= lower;
		var sell = close >= upper;

		if (buy && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (sell && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}