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Стратегия средневозврата с поэтапным входом

Стратегия открывает позицию, когда цена отклоняется от простой скользящей средней на заданный процент. Дополнительные заявки добавляются по мере дальнейшего удаления цены от средней.

Позиция закрывается, когда цена возвращается к скользящей средней.

Детали

  • Условия входа:
    • Лонг: Low < SMA и процентное отклонение между Low и SMA ≥ Initial Percent.
    • Шорт: High > SMA и процентное отклонение между High и SMA ≥ Initial Percent.
  • Дополнительные входы: Новые заявки добавляются каждые Percent Step от предыдущей цены входа.
  • Условия выхода:
    • Лонг: Close ≥ SMA.
    • Шорт: Close ≤ SMA.
  • Индикаторы: SMA.
  • Значения по умолчанию:
    • MA Length = 30.
    • Initial Percent = 5.
    • Percent Step = 1.
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>
/// Mean reversion strategy with incremental entries around a moving average.
/// </summary>
public class MeanReversionWithIncrementalEntryStrategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<decimal> _initialPercent;
	private readonly StrategyParam<decimal> _percentStep;
	private readonly StrategyParam<int> _maxEntriesPerSide;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _lastBuyPrice;
	private decimal? _lastSellPrice;
	private int _buyEntries;
	private int _sellEntries;

	/// <summary>
	/// Moving average length.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

	/// <summary>
	/// Percent difference from MA for the first entry.
	/// </summary>
	public decimal InitialPercent
	{
		get => _initialPercent.Value;
		set => _initialPercent.Value = value;
	}

	/// <summary>
	/// Percent step for additional entries.
	/// </summary>
	public decimal PercentStep
	{
		get => _percentStep.Value;
		set => _percentStep.Value = value;
	}

	/// <summary>
	/// Maximum number of incremental entries per side.
	/// </summary>
	public int MaxEntriesPerSide
	{
		get => _maxEntriesPerSide.Value;
		set => _maxEntriesPerSide.Value = value;
	}

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

	/// <summary>
	/// Initializes parameters.
	/// </summary>
	public MeanReversionWithIncrementalEntryStrategy()
	{
		_maLength = Param(nameof(MaLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "Moving average period", "Parameters")
			
			.SetOptimize(10, 100, 10);

		_initialPercent = Param(nameof(InitialPercent), 3.5m)
			.SetGreaterThanZero()
			.SetDisplay("Initial Percent", "Percent from MA for first entry", "Parameters")
			
			.SetOptimize(1m, 10m, 1m);

		_percentStep = Param(nameof(PercentStep), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Percent Step", "Additional order percent step", "Parameters")
			
			.SetOptimize(0.5m, 5m, 0.5m);

		_maxEntriesPerSide = Param(nameof(MaxEntriesPerSide), 1)
			.SetGreaterThanZero()
			.SetDisplay("Max Entries Per Side", "Maximum incremental entries for each direction", "Parameters");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_lastBuyPrice = null;
		_lastSellPrice = null;
		_buyEntries = 0;
		_sellEntries = 0;
	}

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

		var sma = new SMA { Length = MaLength };
		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(sma, ProcessCandle)
			.Start();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var low = candle.LowPrice;
		var high = candle.HighPrice;
		var close = candle.ClosePrice;

		if (low < maValue && Position <= 0)
		{
			if (_lastBuyPrice is null)
			{
				if (_buyEntries < MaxEntriesPerSide && PricePercentDiff(low, maValue) >= InitialPercent)
				{
					BuyMarket();
					_lastBuyPrice = low;
					_buyEntries++;
				}
			}
			else if (_buyEntries < MaxEntriesPerSide && low < _lastBuyPrice && PricePercentDiff(low, _lastBuyPrice.Value) >= PercentStep)
			{
				BuyMarket();
				_lastBuyPrice = low;
				_buyEntries++;
			}
		}

		if (high > maValue && Position >= 0)
		{
			if (_lastSellPrice is null)
			{
				if (_sellEntries < MaxEntriesPerSide && PricePercentDiff(high, maValue) >= InitialPercent)
				{
					SellMarket();
					_lastSellPrice = high;
					_sellEntries++;
				}
			}
			else if (_sellEntries < MaxEntriesPerSide && high > _lastSellPrice && PricePercentDiff(high, _lastSellPrice.Value) >= PercentStep)
			{
				SellMarket();
				_lastSellPrice = high;
				_sellEntries++;
			}
		}

		if (close >= maValue && Position > 0)
		{
			SellMarket(Position);
			_lastBuyPrice = null;
			_buyEntries = 0;
		}
		else if (close <= maValue && Position < 0)
		{
			BuyMarket(-Position);
			_lastSellPrice = null;
			_sellEntries = 0;
		}

		if (Position == 0)
		{
			_lastBuyPrice = null;
			_lastSellPrice = null;
			_buyEntries = 0;
			_sellEntries = 0;
		}
	}

	private static decimal PricePercentDiff(decimal price1, decimal price2)
	{
		return Math.Abs(price1 - price2) / price2 * 100m;
	}
}