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Стратегия Litecoin с трейлинг-стопом

Litecoin с трейлинг-стопом использует адаптивную скользящую среднюю Кауфмана (KAMA) для определения бычьих и медвежьих тенденций. Лонг открывается при росте KAMA, шорт — при её снижении. После настраиваемой задержки активируется трейлинг-стоп в процентах.

Детали

  • Критерии входа: направление KAMA с задержкой между входами.
  • Лонг/Шорт: оба направления.
  • Критерии выхода: трейлинг-стоп.
  • Стопы: трейлинг-стоп после задержки.
  • Значения по умолчанию:
    • KamaLength = 50
    • BarsBetweenEntries = 30
    • TrailingStopPercent = 12
    • DelayBars = 50
  • Фильтры:
    • Категория: Следование тренду
    • Направление: Оба
    • Индикаторы: KAMA
    • Стопы: Трейлинг-стоп
    • Сложность: Базовая
    • Таймфрейм: Среднесрочный
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенции: Нет
    • Уровень риска: Средний
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>
/// Litecoin trailing stop strategy based on KAMA trend detection.
/// </summary>
public class LitecoinTrailingStopStrategy : Strategy
{
	private readonly StrategyParam<int> _kamaLength;
	private readonly StrategyParam<int> _barsBetweenEntries;
	private readonly StrategyParam<decimal> _trailingStopPercent;
	private readonly StrategyParam<int> _delayBars;
	private readonly StrategyParam<DataType> _candleType;

	private KaufmanAdaptiveMovingAverage _kama;

	private decimal _prevKama;
	private int _barsSinceEntry;
	private int _barsSinceLastTrade;
	private decimal _entryPrice;
	private decimal _highestPrice;
	private decimal _lowestPrice;

	/// <summary>
	/// KAMA period.
	/// </summary>
	public int KamaLength
	{
		get => _kamaLength.Value;
		set => _kamaLength.Value = value;
	}

	/// <summary>
	/// Minimum bars between entries.
	/// </summary>
	public int BarsBetweenEntries
	{
		get => _barsBetweenEntries.Value;
		set => _barsBetweenEntries.Value = value;
	}

	/// <summary>
	/// Trailing stop percent.
	/// </summary>
	public decimal TrailingStopPercent
	{
		get => _trailingStopPercent.Value;
		set => _trailingStopPercent.Value = value;
	}

	/// <summary>
	/// Bars before trailing starts.
	/// </summary>
	public int DelayBars
	{
		get => _delayBars.Value;
		set => _delayBars.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public LitecoinTrailingStopStrategy()
	{
		_kamaLength = Param(nameof(KamaLength), 20)
		.SetGreaterThanZero()
		.SetDisplay("KAMA Length", "Period for KAMA indicator", "General")
		.SetOptimize(20, 100, 5);

		_barsBetweenEntries = Param(nameof(BarsBetweenEntries), 200)
		.SetGreaterThanZero()
		.SetDisplay("Bars Between Entries", "Minimum bars between new positions", "General")
		.SetOptimize(10, 60, 5);

		_trailingStopPercent = Param(nameof(TrailingStopPercent), 15m)
		.SetGreaterThanZero()
		.SetDisplay("Trailing Stop %", "Percent for trailing stop", "Risk")
		.SetOptimize(5m, 20m, 1m);

		_delayBars = Param(nameof(DelayBars), 50)
		.SetGreaterThanZero()
		.SetDisplay("Delay Bars", "Bars before trailing starts", "Risk")
		.SetOptimize(10, 100, 10);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

		_prevKama = 0m;
		_barsSinceEntry = 0;
		_barsSinceLastTrade = 1000;
		_entryPrice = 0m;
		_highestPrice = 0m;
		_lowestPrice = 0m;
	}

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

		_kama = new KaufmanAdaptiveMovingAverage { Length = KamaLength };
		_prevKama = 0m;
		_barsSinceEntry = 0;
		_barsSinceLastTrade = 1000;
		_entryPrice = 0m;
		_highestPrice = 0m;
		_lowestPrice = 0m;

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

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

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

		if (!_kama.IsFormed)
		return;


		var bullish = _prevKama != 0m && kamaValue > _prevKama;
		var bearish = _prevKama != 0m && kamaValue < _prevKama;

		if (_barsSinceLastTrade < 10000)
			_barsSinceLastTrade++;
		if (Position != 0)
			_barsSinceEntry++;
		else
			_barsSinceEntry = 0;

		var canEnter = _barsSinceLastTrade >= BarsBetweenEntries;

		if (bullish && canEnter && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceLastTrade = 0;
			_barsSinceEntry = 0;
			_entryPrice = candle.ClosePrice;
			_highestPrice = _entryPrice;
			LogInfo($"Long entry at {candle.ClosePrice}");
		}
		else if (bearish && canEnter && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceLastTrade = 0;
			_barsSinceEntry = 0;
			_entryPrice = candle.ClosePrice;
			_lowestPrice = _entryPrice;
			LogInfo($"Short entry at {candle.ClosePrice}");
		}

		if (Position > 0)
		{
			_highestPrice = Math.Max(_highestPrice, candle.HighPrice);

			if (_barsSinceEntry >= DelayBars)
			{
				var trailPercent = TrailingStopPercent / 100m;
				var stopPrice = _highestPrice * (1 - trailPercent);

				if (candle.LowPrice <= stopPrice)
				{
					SellMarket(Math.Abs(Position));
					LogInfo($"Long exit by trailing stop at {candle.ClosePrice}");
					_highestPrice = 0m;
				}
			}
		}
		else if (Position < 0)
		{
			_lowestPrice = Math.Min(_lowestPrice, candle.LowPrice);

			if (_barsSinceEntry >= DelayBars)
			{
				var trailPercent = TrailingStopPercent / 100m;
				var stopPrice = _lowestPrice * (1 + trailPercent);

				if (candle.HighPrice >= stopPrice)
				{
					BuyMarket(Math.Abs(Position));
					LogInfo($"Short exit by trailing stop at {candle.ClosePrice}");
					_lowestPrice = 0m;
				}
			}
		}

		_prevKama = kamaValue;
	}
}