Русский RU
Открыть на GitHub

Стратегия Momentum Keltner Stochastic Combo

Стратегия объединяет сравнение момента цены со стохастиком на базе каналов Кельтнера.
Размер позиции динамически увеличивается в зависимости от эквити и защищается фиксированным стоп-лоссом.

Детали

  • Критерии входа:
    • Лонг: Momentum > 0 и KeltnerStoch < Threshold
    • Шорт: Momentum < 0 и KeltnerStoch > Threshold
  • Лонг/Шорт: Оба
  • Критерии выхода:
    • Лонг: KeltnerStoch > Threshold
    • Шорт: KeltnerStoch < Threshold
  • Стопы: фиксированный SlPoints от цены входа
  • Значения по умолчанию:
    • MomLength = 7
    • KeltnerLength = 9
    • KeltnerMultiplier = 0.5
    • Threshold = 99
    • AtrLength = 20
    • SlPoints = 1185
    • EnableScaling = true
    • BaseContracts = 1
    • InitialCapital = 30000
    • EquityStep = 150000
    • MaxContracts = 15
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Фильтры:
    • Категория: Следование тренду
    • Направление: Оба
    • Индикаторы: Momentum, EMA, ATR
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Среднесрочный
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: 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>
/// Strategy combining momentum and Keltner stochastic.
/// </summary>
public class MomentumKeltnerStochasticComboStrategy : Strategy
{
	private readonly StrategyParam<int> _momLength;
	private readonly StrategyParam<int> _keltnerLength;
	private readonly StrategyParam<decimal> _keltnerMultiplier;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _slPoints;
	private readonly StrategyParam<int> _signalCooldownBars;

	private readonly StrategyParam<bool> _enableScaling;
	private readonly StrategyParam<int> _baseContracts;
	private readonly StrategyParam<decimal> _initialCapital;
	private readonly StrategyParam<decimal> _equityStep;
	private readonly StrategyParam<int> _maxContracts;

	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevMomentum;
	private bool _hasPrevMomentum;
	private int _barsFromSignal;

	public int MomLength
	{
		get => _momLength.Value;
		set => _momLength.Value = value;
	}

	public int KeltnerLength
	{
		get => _keltnerLength.Value;
		set => _keltnerLength.Value = value;
	}

	public decimal KeltnerMultiplier
	{
		get => _keltnerMultiplier.Value;
		set => _keltnerMultiplier.Value = value;
	}

	public decimal Threshold
	{
		get => _threshold.Value;
		set => _threshold.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	public decimal SlPoints
	{
		get => _slPoints.Value;
		set => _slPoints.Value = value;
	}

	public int SignalCooldownBars
	{
		get => _signalCooldownBars.Value;
		set => _signalCooldownBars.Value = value;
	}

	public bool EnableScaling
	{
		get => _enableScaling.Value;
		set => _enableScaling.Value = value;
	}

	public int BaseContracts
	{
		get => _baseContracts.Value;
		set => _baseContracts.Value = value;
	}

	public decimal InitialCapital
	{
		get => _initialCapital.Value;
		set => _initialCapital.Value = value;
	}

	public decimal EquityStep
	{
		get => _equityStep.Value;
		set => _equityStep.Value = value;
	}

	public int MaxContracts
	{
		get => _maxContracts.Value;
		set => _maxContracts.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public MomentumKeltnerStochasticComboStrategy()
	{
		_momLength = Param(nameof(MomLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("Momentum Lookback", "Momentum lookback length", "Indicators")
			
			.SetOptimize(5, 15, 1);

		_keltnerLength = Param(nameof(KeltnerLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Keltner EMA Length", "EMA length for Keltner basis", "Indicators")
			
			.SetOptimize(5, 20, 1);

		_keltnerMultiplier = Param(nameof(KeltnerMultiplier), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Keltner Mult", "Keltner multiplier", "Indicators")
			
			.SetOptimize(0.5m, 2m, 0.1m);

		_threshold = Param(nameof(Threshold), 10m)
			.SetRange(0m, 100m)
			.SetDisplay("Stochastic Threshold", "Threshold for Keltner stochastic", "Indicators")
			
			.SetOptimize(50m, 100m, 5m);

		_atrLength = Param(nameof(AtrLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR length for Keltner", "Indicators")
			
			.SetOptimize(10, 30, 1);

		_slPoints = Param(nameof(SlPoints), 1185m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss Points", "Stop loss in price points", "Risk Management")
			
			.SetOptimize(500m, 2000m, 100m);

		_enableScaling = Param(nameof(EnableScaling), false)
			.SetDisplay("Enable Dynamic Contracts", "Use equity based position sizing", "Money Management");

		_baseContracts = Param(nameof(BaseContracts), 1)
			.SetGreaterThanZero()
			.SetDisplay("Base Contracts", "Initial contract size", "Money Management");

		_initialCapital = Param(nameof(InitialCapital), 30000m)
			.SetGreaterThanZero()
			.SetDisplay("Initial Capital", "Starting capital", "Money Management");

		_equityStep = Param(nameof(EquityStep), 150000m)
			.SetGreaterThanZero()
			.SetDisplay("Equity Step", "Equity step for contract change", "Money Management");

		_maxContracts = Param(nameof(MaxContracts), 15)
			.SetGreaterThanZero()
			.SetDisplay("Max Contracts", "Maximum contracts allowed", "Money Management");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 24)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "Risk Management");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMomentum = 0m;
		_hasPrevMomentum = false;
		_barsFromSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMomentum = 0m;
		_hasPrevMomentum = false;
		_barsFromSignal = SignalCooldownBars;

		var ema = new EMA { Length = KeltnerLength };
		var atr = new AverageTrueRange { Length = AtrLength };
		var momentum = new Momentum { Length = MomLength };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ema, atr, momentum, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute),
			stopLoss: new Unit(SlPoints, UnitTypes.Absolute)
		);

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var upper = emaValue + KeltnerMultiplier * atrValue;
		var lower = emaValue - KeltnerMultiplier * atrValue;
		var denominator = upper - lower;
		var keltnerStoch = denominator != 0m ? 100m * (candle.ClosePrice - lower) / denominator : 50m;

		var momentumCrossUp = _hasPrevMomentum && _prevMomentum <= 0m && momentumValue > 0m;
		var momentumCrossDown = _hasPrevMomentum && _prevMomentum >= 0m && momentumValue < 0m;

		var longCondition = momentumCrossUp && keltnerStoch <= Threshold;
		var shortCondition = momentumCrossDown && keltnerStoch >= (100m - Threshold);

		var contractSize = BaseContracts;

		if (EnableScaling)
		{
			var profitLoss = PnL;
			var contractIncrease = (int)Math.Floor(Math.Max(profitLoss, 0m) / EquityStep);
			var contractDecrease = (int)Math.Floor(Math.Abs(Math.Min(profitLoss, 0m)) / EquityStep);
			contractSize = Math.Max(BaseContracts + contractIncrease - contractDecrease, BaseContracts);
		}

		if (contractSize > MaxContracts)
			contractSize = MaxContracts;

		_barsFromSignal++;

		if (_barsFromSignal >= SignalCooldownBars && longCondition && Position <= 0)
		{
			var volume = contractSize + Math.Abs(Position);
			BuyMarket(volume);
			_barsFromSignal = 0;
		}
		else if (_barsFromSignal >= SignalCooldownBars && shortCondition && Position >= 0)
		{
			var volume = contractSize + Math.Abs(Position);
			SellMarket(volume);
			_barsFromSignal = 0;
		}

		_prevMomentum = momentumValue;
		_hasPrevMomentum = true;
	}
}