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Ride Alligator Williams Strategy

This strategy implements Bill Williams' Alligator indicator. The lips, teeth and jaw lines are calculated from the median price using smoothed moving averages with lengths derived from a base period via the golden ratio. A long position is opened when the lips cross above the jaws while the teeth remain below. A short position is opened when the lips cross below the jaws while the teeth remain above. For an open position a trailing stop follows the jaw line.

Parameters

  • Base Period – root period used to derive Alligator lengths.
  • Candle Type – timeframe of input candles.

Indicators

  • Smoothed Moving Average (lips, teeth, jaw)

Entry Rules

  • Long when lips cross above jaws and teeth are below.
  • Short when lips cross below jaws and teeth are above.

Exit Rules

  • Opposite crossover closes the position.
  • Trailing stop at the jaw line exits when price crosses it.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Bill Williams Alligator.
/// Buys when the lips cross above the jaws while the teeth remain below.
/// Sells when the lips cross below the jaws while the teeth remain above.
/// A trailing stop is placed at the jaws line.
/// </summary>
public class RideAlligatorWilliamsStrategy : Strategy
{
	private readonly StrategyParam<int> _basePeriod;
	private readonly StrategyParam<DataType> _candleType;

	private SmoothedMovingAverage _jaw;
	private SmoothedMovingAverage _teeth;
	private SmoothedMovingAverage _lips;

	private bool _prevLipsAboveJaw;
	private decimal? _stopPrice;

	/// <summary>
	/// Base period used to calculate Alligator lengths.
	/// </summary>
	public int BasePeriod
	{
		get => _basePeriod.Value;
		set => _basePeriod.Value = value;
	}

	/// <summary>
	/// Candle type for strategy calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="RideAlligatorWilliamsStrategy"/>.
	/// </summary>
	public RideAlligatorWilliamsStrategy()
	{
		_basePeriod = Param(nameof(BasePeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Base Period", "Root period for Alligator lines", "Alligator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for strategy", "General");
	}

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

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

		_prevLipsAboveJaw = false;
		_stopPrice = null;
	}

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

		var a1 = (int)Math.Round(BasePeriod * 1.61803398874989m);
		var a2 = (int)Math.Round(a1 * 1.61803398874989m);
		var a3 = (int)Math.Round(a2 * 1.61803398874989m);

		_jaw = new SmoothedMovingAverage { Length = a3 };
		_teeth = new SmoothedMovingAverage { Length = a2 };
		_lips = new SmoothedMovingAverage { Length = a1 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle);
		subscription.Start();

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

	private void ProcessCandle(ICandleMessage candle)
	{
		var median = (candle.HighPrice + candle.LowPrice) / 2m;
		var isFinal = candle.State == CandleStates.Finished;

		var jawVal = _jaw.Process(new DecimalIndicatorValue(_jaw, median, candle.ServerTime) { IsFinal = isFinal });
		var teethVal = _teeth.Process(new DecimalIndicatorValue(_teeth, median, candle.ServerTime) { IsFinal = isFinal });
		var lipsVal = _lips.Process(new DecimalIndicatorValue(_lips, median, candle.ServerTime) { IsFinal = isFinal });

		if (!isFinal)
			return;

		if (!_jaw.IsFormed || !_teeth.IsFormed || !_lips.IsFormed)
			return;

		var jaw = jawVal.GetValue<decimal>();
		var teeth = teethVal.GetValue<decimal>();
		var lips = lipsVal.GetValue<decimal>();

		var lipsAboveJaw = lips > jaw;
		var lipsBelowJaw = lips < jaw;
		var teethAboveJaw = teeth > jaw;
		var teethBelowJaw = teeth < jaw;

		if (Position <= 0 && !_prevLipsAboveJaw && lipsAboveJaw && teethBelowJaw)
		{
			BuyMarket();
			_stopPrice = null;
		}
		else if (Position >= 0 && _prevLipsAboveJaw && lipsBelowJaw && teethAboveJaw)
		{
			SellMarket();
			_stopPrice = null;
		}

		if (Position > 0)
		{
			if (jaw < candle.ClosePrice)
			{
				var step = Security.PriceStep ?? 0m;
				if (_stopPrice is null || jaw > _stopPrice + step)
					_stopPrice = jaw;
			}

			if (_stopPrice != null && candle.ClosePrice <= _stopPrice)
			{
				SellMarket(Position);
				_stopPrice = null;
			}
		}
		else if (Position < 0)
		{
			if (jaw > candle.ClosePrice)
			{
				var step = Security.PriceStep ?? 0m;
				if (_stopPrice is null || jaw < _stopPrice - step)
					_stopPrice = jaw;
			}

			if (_stopPrice != null && candle.ClosePrice >= _stopPrice)
			{
				BuyMarket(Math.Abs(Position));
				_stopPrice = null;
			}
		}

		_prevLipsAboveJaw = lipsAboveJaw;
	}
}