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Стратегия TSI DeMarker

Стратегия рассчитывает индикатор True Strength Index на основе осциллятора DeMarker. Длинная позиция открывается, когда TSI пересекает снизу вверх свою сигнальную скользящую среднюю. Короткая позиция открывается, когда TSI пересекает сверху вниз сигнальную линию.

Подход сочетает анализ импульса и зон перекупленности/перепроданности.

Детали

  • Условия входа:
    • Long: TSI пересекает сигнал снизу
    • Short: TSI пересекает сигнал сверху
  • Длинные/Короткие: Оба направления
  • Условия выхода: Противоположный сигнал
  • Стопы: Нет
  • Значения по умолчанию:
    • CandleType = TimeSpan.FromHours(8).TimeFrame()
    • DemarkerPeriod = 25
    • ShortLength = 5
    • LongLength = 8
    • SignalLength = 20
  • Фильтры:
    • Категория: Пересечение осцилляторов
    • Направление: Оба
    • Индикаторы: TSI, DeMarker
    • Стопы: Нет
    • Сложность: Средняя
    • Таймфрейм: Среднесрочный
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// True Strength Index crossover strategy filtered by DeMarker.
/// </summary>
public class TSIDeMarkerStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _demarkerPeriod;
	private readonly StrategyParam<decimal> _tsiSpread;
	private readonly StrategyParam<decimal> _longDeMarkerLimit;
	private readonly StrategyParam<decimal> _shortDeMarkerLimit;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal? _prevTsi;
	private decimal? _prevSignal;
	private int _cooldownRemaining;

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

	/// <summary>
	/// Period for DeMarker indicator.
	/// </summary>
	public int DemarkerPeriod
	{
		get => _demarkerPeriod.Value;
		set => _demarkerPeriod.Value = value;
	}

	/// <summary>
	/// Minimum absolute spread between TSI and its signal line.
	/// </summary>
	public decimal TsiSpread
	{
		get => _tsiSpread.Value;
		set => _tsiSpread.Value = value;
	}

	/// <summary>
	/// Maximum DeMarker value allowed for long entries.
	/// </summary>
	public decimal LongDeMarkerLimit
	{
		get => _longDeMarkerLimit.Value;
		set => _longDeMarkerLimit.Value = value;
	}

	/// <summary>
	/// Minimum DeMarker value allowed for short entries.
	/// </summary>
	public decimal ShortDeMarkerLimit
	{
		get => _shortDeMarkerLimit.Value;
		set => _shortDeMarkerLimit.Value = value;
	}

	/// <summary>
	/// Number of completed candles to wait after a position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="TSIDeMarkerStrategy"/> class.
	/// </summary>
	public TSIDeMarkerStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for strategy", "General");

		_demarkerPeriod = Param(nameof(DemarkerPeriod), 14)
			.SetDisplay("DeMarker Period", "Period for DeMarker", "Indicators");

		_tsiSpread = Param(nameof(TsiSpread), 2m)
			.SetDisplay("TSI Spread", "Minimum spread between TSI and its signal line", "Filters");

		_longDeMarkerLimit = Param(nameof(LongDeMarkerLimit), 0.55m)
			.SetDisplay("Long DeMarker", "Maximum DeMarker for long entries", "Filters");

		_shortDeMarkerLimit = Param(nameof(ShortDeMarkerLimit), 0.45m)
			.SetDisplay("Short DeMarker", "Minimum DeMarker for short entries", "Filters");

		_cooldownBars = Param(nameof(CooldownBars), 6)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Trading");
	}

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

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

		_prevTsi = null;
		_prevSignal = null;
		_cooldownRemaining = 0;
	}

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

		var tsi = new TrueStrengthIndex();
		var demarker = new DeMarker { Length = DemarkerPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(tsi, demarker, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue tsiValue, IIndicatorValue demarkerValue)
	{
		if (candle.State != CandleStates.Finished || !tsiValue.IsFinal || !demarkerValue.IsFinal)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var tsiPair = (ITrueStrengthIndexValue)tsiValue;
		if (tsiPair.Tsi is not decimal tsi || tsiPair.Signal is not decimal signal)
			return;

		var demarker = demarkerValue.ToDecimal();
		if (_prevTsi is not decimal prevTsi || _prevSignal is not decimal prevSignal)
		{
			_prevTsi = tsi;
			_prevSignal = signal;
			return;
		}

		var crossUp = prevTsi <= prevSignal && tsi > signal && Math.Abs(tsi - signal) >= TsiSpread;
		var crossDown = prevTsi >= prevSignal && tsi < signal && Math.Abs(tsi - signal) >= TsiSpread;

		if (_cooldownRemaining == 0)
		{
			if (crossUp && demarker <= LongDeMarkerLimit && Position <= 0)
			{
				if (Position < 0)
					BuyMarket();

				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (crossDown && demarker >= ShortDeMarkerLimit && Position >= 0)
			{
				if (Position > 0)
					SellMarket();

				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}

		_prevTsi = tsi;
		_prevSignal = signal;
	}
}