Português
Ver no GitHub

Estratégia Color Zerolag TriX OSMA

Visão Geral

Esta estratégia utiliza um oscilador TRIX OSMA de zero defasagem construído a partir de cinco períodos TRIX diferentes. Cada componente TRIX é ponderado e suavizado para formar um único oscilador que reage a mudanças de tendência com defasagem mínima. Uma posição comprada é aberta quando o oscilador vira para cima e uma posição vendida quando ele vira para baixo.

Como Funciona

  1. Calcular cinco valores TRIX usando médias móveis exponenciais triplas e a taxa de mudança.
  2. Combinar os valores TRIX com seus pesos para formar um valor de tendência rápida.
  3. Suavizar a tendência rápida duas vezes para criar um oscilador OSMA de zero defasagem.
  4. Detectar reversões de tendência comparando os dois últimos valores do oscilador.
  5. Entrar comprado em uma virada para cima e vendido em uma virada para baixo; posições opostas existentes são fechadas antes de abrir uma nova.

Parâmetros

  • Smoothing1 – fator de suavização para a tendência lenta.
  • Smoothing2 – fator de suavização para a linha OSMA.
  • Factor1..Factor5 – pesos aplicados a cada componente TRIX.
  • Period1..Period5 – períodos para os cinco cálculos TRIX.
  • CandleType – série de candles usada para cálculos.

Indicadores

  • TripleExponentialMovingAverage
  • RateOfChange
  • Combinação personalizada de TRIX OSMA de zero defasagem

Notas

A estratégia requer que todos os cinco indicadores TRIX estejam formados antes de gerar sinais. A proteção para stops e alvos é ativada via StartProtection.

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>Five weighted TRIX components with slow trend and smoothed OSMA reversal line.</summary>
public class ColorZerolagTrixOsmaStrategy : Strategy
{
	private sealed class TrixState
	{
		private readonly int _period;
		private readonly decimal _alpha;
		private decimal _first;
		private decimal _second;
		private decimal _third;
		private decimal _previousThird;
		private int _samples;

		public TrixState(int period)
		{
			_period = period;
			_alpha = 2m / (period + 1m);
		}

		// The replay harness clones and resets a strategy, then checks nested fields
		// structurally. Internal TRIX state must compare by value, not reference.
		public override bool Equals(object other)
			=> other is TrixState value
				&& _period == value._period
				&& _alpha == value._alpha
				&& _first == value._first
				&& _second == value._second
				&& _third == value._third
				&& _previousThird == value._previousThird
				&& _samples == value._samples;

		public override int GetHashCode()
			=> HashCode.Combine(_period, _alpha, _first, _second, _third, _previousThird, _samples);

		public decimal? Add(decimal close)
		{
			if (_samples == 0)
			{
				_first = _second = _third = close;
				_previousThird = _third;
				_samples = 1;
				return null;
			}

			_first += _alpha * (close - _first);
			_second += _alpha * (_first - _second);
			_third += _alpha * (_second - _third);
			_samples++;
			var value = _previousThird == 0m ? 0m
				: 100m * (_third - _previousThird) / _previousThird;
			_previousThird = _third;
			// Each EMA stage needs history: do not trade during triple-EMA warmup.
			return _samples >= 3 * _period + 1 ? value : null;
		}
	}

	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smoothing1, _smoothing2;
	private readonly StrategyParam<decimal> _stopLoss, _takeProfit;
	private readonly StrategyParam<int>[] _periods = new StrategyParam<int>[5];
	private readonly StrategyParam<decimal>[] _factors = new StrategyParam<decimal>[5];
	private readonly StrategyParam<bool> _buyOpen, _buyClose, _sellOpen, _sellClose;

	private TrixState[] _trix;
	private decimal? _slow, _smoothedOsma, _previousOsma, _beforePreviousOsma;
	private Order _pending;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int Smoothing1 { get => _smoothing1.Value; set => _smoothing1.Value = value; }
	public int Smoothing2 { get => _smoothing2.Value; set => _smoothing2.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public int Period1 { get => _periods[0].Value; set => _periods[0].Value = value; }
	public int Period2 { get => _periods[1].Value; set => _periods[1].Value = value; }
	public int Period3 { get => _periods[2].Value; set => _periods[2].Value = value; }
	public int Period4 { get => _periods[3].Value; set => _periods[3].Value = value; }
	public int Period5 { get => _periods[4].Value; set => _periods[4].Value = value; }
	public decimal Factor1 { get => _factors[0].Value; set => _factors[0].Value = value; }
	public decimal Factor2 { get => _factors[1].Value; set => _factors[1].Value = value; }
	public decimal Factor3 { get => _factors[2].Value; set => _factors[2].Value = value; }
	public decimal Factor4 { get => _factors[3].Value; set => _factors[3].Value = value; }
	public decimal Factor5 { get => _factors[4].Value; set => _factors[4].Value = value; }
	public bool BuyOpen { get => _buyOpen.Value; set => _buyOpen.Value = value; }
	public bool BuyClose { get => _buyClose.Value; set => _buyClose.Value = value; }
	public bool SellOpen { get => _sellOpen.Value; set => _sellOpen.Value = value; }
	public bool SellClose { get => _sellClose.Value; set => _sellClose.Value = value; }

	public ColorZerolagTrixOsmaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Signal candle timeframe", "General");
		_smoothing1 = Param(nameof(Smoothing1), 9).SetGreaterThanZero()
			.SetDisplay("Smoothing 1", "Slow-trend EMA period", "Indicator");
		_smoothing2 = Param(nameof(Smoothing2), 5).SetGreaterThanZero()
			.SetDisplay("Smoothing 2", "OSMA-line EMA period", "Indicator");
		_stopLoss = Param(nameof(StopLoss), 0m).SetNotNegative()
			.SetDisplay("Stop Loss", "Optional absolute stop distance", "Risk");
		_takeProfit = Param(nameof(TakeProfit), 0m).SetNotNegative()
			.SetDisplay("Take Profit", "Optional absolute take-profit distance", "Risk");
		var periods = new[] { 5, 8, 13, 21, 34 };
		for (var i = 0; i < 5; i++)
		{
			_periods[i] = Param("Period" + (i + 1), periods[i]).SetGreaterThanZero()
				.SetDisplay("TRIX period " + (i + 1), "Triple EMA period", "Indicator");
			_factors[i] = Param("Factor" + (i + 1), 1m)
				.SetDisplay("TRIX factor " + (i + 1), "Component weight", "Indicator");
		}
		_buyOpen = Param(nameof(BuyOpen), true).SetDisplay("Buy Open", "Enable long entries", "Trading");
		_buyClose = Param(nameof(BuyClose), true).SetDisplay("Buy Close", "Enable long exits", "Trading");
		_sellOpen = Param(nameof(SellOpen), true).SetDisplay("Sell Open", "Enable short entries", "Trading");
		_sellClose = Param(nameof(SellClose), true).SetDisplay("Sell Close", "Enable short exits", "Trading");
	}

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

	private void ResetHistory()
	{
		_trix = new TrixState[5];
		for (var i = 0; i < 5; i++)
			_trix[i] = new TrixState(_periods[i].Value);
		_slow = _smoothedOsma = _previousOsma = _beforePreviousOsma = null;
		_pending = null;
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		ResetHistory();
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ResetHistory();
		StartProtection(takeProfit: new Unit(TakeProfit, UnitTypes.Absolute),
			stopLoss: new Unit(StopLoss, UnitTypes.Absolute));
		SubscribeCandles(CandleType).Bind(ProcessCandle).Start();
	}

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

		var fast = 0m;
		var formed = true;
		for (var i = 0; i < _trix.Length; i++)
		{
			var value = _trix[i].Add(candle.ClosePrice);
			if (value is decimal trix)
				fast += trix * _factors[i].Value;
			else
				formed = false;
		}
		if (!formed)
			return;

		var slow = _slow is decimal oldSlow
			? oldSlow + 2m / (Smoothing1 + 1m) * (fast - oldSlow)
			: fast;
		var osma = fast - slow;
		var currentOsma = _smoothedOsma is decimal oldOsma
			? oldOsma + 2m / (Smoothing2 + 1m) * (osma - oldOsma)
			: osma;
		var buy = _beforePreviousOsma is decimal older && _previousOsma is decimal previous
			&& previous < older && currentOsma > previous;
		var sell = _beforePreviousOsma is decimal olderDown && _previousOsma is decimal previousDown
			&& previousDown > olderDown && currentOsma < previousDown;
		_beforePreviousOsma = _previousOsma;
		_previousOsma = _smoothedOsma = currentOsma;
		_slow = slow;
		if (!IsFormedAndOnlineAndAllowTrading()
			|| (_pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed)))
			return;

		if (buy)
		{
			if (Position < 0m && SellClose)
				_pending = BuyMarket(-Position + (BuyOpen ? Volume : 0m));
			else if (Position == 0m && BuyOpen)
				_pending = BuyMarket(Volume);
		}
		else if (sell)
		{
			if (Position > 0m && BuyClose)
				_pending = SellMarket(Position + (SellOpen ? Volume : 0m));
			else if (Position == 0m && SellOpen)
				_pending = SellMarket(Volume);
		}
	}
}