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using System;
using cAlgo.API;
using cAlgo.API.Indicators;
namespace cAlgo
{
[Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
public class SupertrendStrategy : Robot
{
private Supertrend supertrend10;
private Supertrend supertrend11;
private Supertrend supertrend12;
private ExponentialMovingAverage ema10;
private ExponentialMovingAverage ema50;
private ExponentialMovingAverage ema200;
private AverageTrueRange atr;
private DateTime lastTradeTime;
private BollingerBands bollingerBands;
private RelativeStrengthIndex rsi;
private OnBalanceVolume obv;
// [Parameter("OBV Period", DefaultValue = 14)]
// public int OBVPeriod { get; set; }
[Parameter("TRAILINGSTOPLOSS", DefaultValue = false)]
public bool TRAILINGSTOPLOSS { get; set; }
[Parameter("TAKEPROFIT", DefaultValue = 6)]
public int TAKEPROFIT { get; set; }
[Parameter("STOPLOSS", DefaultValue = 3)]
public int STOPLOSS { get; set; }
[Parameter("Supertrend Period (ATR 10)", DefaultValue = 10)]
public int SupertrendPeriod10 { get; set; }
[Parameter("Supertrend Multiplier (ATR 10)", DefaultValue = 1.0)]
public double SupertrendMultiplier10 { get; set; }
[Parameter("Supertrend Period (ATR 11)", DefaultValue = 11)]
public int SupertrendPeriod11 { get; set; }
[Parameter("Supertrend Multiplier (ATR 11)", DefaultValue = 2.0)]
public double SupertrendMultiplier11 { get; set; }
[Parameter("Supertrend Period (ATR 12)", DefaultValue = 12)]
public int SupertrendPeriod12 { get; set; }
[Parameter("Supertrend Multiplier (ATR 12)", DefaultValue = 3.0)]
public double SupertrendMultiplier12 { get; set; }
[Parameter("RSI Period", DefaultValue = 14)]
public int RSIPeriod { get; set; }
[Parameter("RSI Overbought Level", DefaultValue = 68)]
public int RSIOverboughtLevel { get; set; }
[Parameter("RSI Oversold Level", DefaultValue = 33)]
public int RSIOversoldLevel { get; set; }
[Parameter("MACD Fast EMA Period", DefaultValue = 12)]
public int MacdFastPeriod { get; set; }
[Parameter("MACD Slow EMA Period", DefaultValue = 26)]
public int MacdSlowPeriod { get; set; }
[Parameter("MACD Signal Smoothing Period", DefaultValue = 9)]
public int MacdSignalPeriod { get; set; }
[Parameter("EMA 10 Period", DefaultValue = 10)]
public int EMA10Period { get; set; }
[Parameter("EMA 50 Period", DefaultValue = 50)]
public int EMA50Period { get; set; }
[Parameter("EMA 200 Period", DefaultValue = 200)]
public int EMA200Period { get; set; }
[Parameter("ATR Period", DefaultValue = 14)]
public int ATRPeriod { get; set; }
[Parameter("Volume (Lots)", DefaultValue = 1.0)]
public double Volume { get; set; }
[Parameter("Trade Cooldown (Minutes)", DefaultValue = 1)]
public int TradeCooldownMinutes { get; set; }
[Parameter("Bollinger Bands Period", DefaultValue = 20)]
public int BollingerPeriod { get; set; }
[Parameter("Bollinger Bands Deviation", DefaultValue = 2.0)]
public double BollingerDeviation { get; set; }
public DataSeries Source { get; set; }
[Output("Main")]
private MacdHistogram macdHistogram;
private Position lastTrade;
protected override void OnStart()
{
supertrend10 = Indicators.Supertrend(SupertrendPeriod10, SupertrendMultiplier10);
supertrend11 = Indicators.Supertrend(SupertrendPeriod11, SupertrendMultiplier11);
supertrend12 = Indicators.Supertrend(SupertrendPeriod12, SupertrendMultiplier12);
bollingerBands = Indicators.BollingerBands(MarketSeries.Close, BollingerPeriod, BollingerDeviation, MovingAverageType.Simple);
ema10 = Indicators.ExponentialMovingAverage(MarketSeries.Close, EMA10Period);
ema50 = Indicators.ExponentialMovingAverage(MarketSeries.Close, EMA50Period);
ema200 = Indicators.ExponentialMovingAverage(MarketSeries.Close, EMA200Period);
atr = Indicators.AverageTrueRange(ATRPeriod, MovingAverageType.Simple);
lastTradeTime = MarketSeries.OpenTime.LastValue;
rsi = Indicators.RelativeStrengthIndex(MarketSeries.Close, RSIPeriod);
macdHistogram = Indicators.MacdHistogram(MarketSeries.Close, MacdFastPeriod, MacdSlowPeriod, MacdSignalPeriod);
obv = Indicators.OnBalanceVolume(Source);
}
protected override void OnBar()
{
int lastIndex = MarketSeries.Close.Count - 1;
DateTime serverTime = Server.Time.ToLocalTime(); // Convert server time to local time
// Check if the current time is within the allowed trading window (8:00 AM - 17:00 AM)
if (!(serverTime.Hour >= 13 && serverTime.Hour < 22))
{
return;
}
// Calculate the Average True Range (ATR)
double atrValue1 = atr.Result[lastIndex];
// Define the threshold for ATR to identify a ranging market
double maxAtrForTrend = 0.0001; // Adjust as needed
// Check if ATR is below the threshold, indicating a potential ranging market
bool isRangingMarket = atrValue1 < maxAtrForTrend;
// Avoid trading in a ranging market
if (isRangingMarket)
{
Print("Avoiding trade due to ranging market (low ATR).");
return;
}
// Define the maximum distance (in pips) between 10 EMA and 200 EMA for entering a trade
double maxDistanceBetweenEMAs = 0.0012; // Adjust as needed
// Check the distance between 10 EMA and 200 EMA
double ema10DistanceTo200 = Math.Abs(ema10.Result[lastIndex] - ema200.Result[lastIndex]);
// Convert the distance to pips
double emaDistanceInPips = Symbol.PipSize * ema10DistanceTo200;
// Check if the distance is less than the allowed threshold
bool isEMADistanceValid = emaDistanceInPips < maxDistanceBetweenEMAs;
// Avoid trading if the distance is too large
if (!isEMADistanceValid)
{
Print("Avoiding trade due to large distance between 10 EMA and 200 EMA.");
return;
}
// Calculate the highest high and lowest low within a specified period
int lookbackPeriod = 50; // Adjust the period as needed
double highestHigh = MarketSeries.High.Maximum(lookbackPeriod);
double lowestLow = MarketSeries.Low.Minimum(lookbackPeriod);
bool isOverbought = rsi.Result.LastValue >= RSIOverboughtLevel;
bool isOverSold = rsi.Result.LastValue <= RSIOversoldLevel;
// Check conditions for Supertrend 10 (ATR 10, Multiplier 1)
bool isUpTrend10 = supertrend10.UpTrend.IsRising();
bool isDownTrend10 = supertrend10.DownTrend.IsFalling();
// Check conditions for Supertrend 11 (ATR 11, Multiplier 2)
bool isUpTrend11 = supertrend11.UpTrend.IsRising();
bool isDownTrend11 = supertrend11.DownTrend.IsFalling();
// Check conditions for Supertrend 12 (ATR 12, Multiplier 3)
bool isUpTrend12 = supertrend12.UpTrend.IsRising();
bool isDownTrend12 = supertrend12.DownTrend.IsFalling();
// Check if the last 2 bars were above SMA for buy trade
bool isAboveSMA10 = IsAboveSMA10(MarketSeries.Close, lastIndex, 2);
bool isAboveSMA50 = IsAboveSMA50(MarketSeries.Close, lastIndex, 2);
bool isAboveSMA200 = IsAboveSMA200(MarketSeries.Close, lastIndex, 2);
// Check if the last 2 bars were below SMA for sell trade
bool IsBelowSMA10 = isBelowSMA10(MarketSeries.Close, lastIndex, 2);
bool IsBelowSMA50 = isBelowSMA50(MarketSeries.Close, lastIndex, 2);
bool IsBelowSMA200 = isBelowSMA200(MarketSeries.Close, lastIndex, 2);
// Check Bollinger Bands conditions
bool isAboveUpperBand = MarketSeries.Close[lastIndex] > bollingerBands.Top[lastIndex];
bool isBelowLowerBand = MarketSeries.Close[lastIndex] < bollingerBands.Bottom[lastIndex];
// Calculate the OBV values for the previous and current bars
double prevOBV = obv.Result[1];
double currentOBV = obv.Result[0];
double minATR = 0.0005; // Set your desired minimum ATR value
bool hasMinATR = atr.Result[lastIndex] > minATR;
// Check OBV conditions
bool isBullishOBV = currentOBV > prevOBV && prevOBV > obv.Result[1];
bool isBearishOBV = currentOBV < prevOBV && prevOBV < obv.Result[2];
// Check if the market is in a range-bound condition
bool isMarketInARange = IsMarketInARange(lastIndex, 300); // Adjust the period as needed
// Calculate the range as a percentage of the Average True Range (ATR)
double atrValue = atr.Result[lastIndex];
double range = (highestHigh - lowestLow) / atrValue;
// Define a threshold for how close to the highest high or lowest low you want to avoid trading
double avoidThreshold = 0.2; // Example threshold, adjust as needed
// Check if the market is close to the highest high or lowest low
bool isCloseToHighestHigh = MarketSeries.Close[lastIndex] > highestHigh - (atrValue * avoidThreshold);
bool isCloseToLowestLow = MarketSeries.Close[lastIndex] < lowestLow + (atrValue * avoidThreshold);
// Open new positions for buy trade if all Supertrends are rising, and the last 10 bars were above SMA
if (Positions.Count == 0 &&
isUpTrend10 && isUpTrend11 && isUpTrend12 &&
isAboveSMA10 &&
isAboveSMA50 &&
isAboveSMA200// &&
//isAboveUpperBand //&&
// !isCloseToHighestHigh &&
// hasMinATR //&&
// Symbol.Spread < 1.1
&& rsi.Result[lastIndex] < RSIOverboughtLevel
)
{
// Buy signal (All Supertrends are rising, and the last 10 bars were above SMA)
ExecuteMarketOrder(TradeType.Buy, SymbolName, Symbol.NormalizeVolumeInUnits(Symbol.LotSize), "Buy Order", STOPLOSS, TAKEPROFIT ,null,TRAILINGSTOPLOSS);
}
if (Positions.Count == 0 &&
isDownTrend10 && isDownTrend11 && isDownTrend12
&& IsBelowSMA200
&& IsBelowSMA50
&& IsBelowSMA10
// &&
// && !isMarketInARange
// isAboveUpperBand &&
// !isCloseToLowestLow &&
// hasMinATR &&
// Symbol.Spread < 0.6
&& rsi.Result[lastIndex] < RSIOversoldLevel
)
{
// Sell signal (All Supertrends are rising, and the last 10 bars were above SMA)
ExecuteMarketOrder(TradeType.Sell, SymbolName, Symbol.NormalizeVolumeInUnits(Symbol.LotSize), "Sell Order", STOPLOSS, TAKEPROFIT ,null,TRAILINGSTOPLOSS);
}
}
private bool IsMarketInARange(int index, int period)
{
// Calculate the range by finding the highest and lowest prices within the specified period
double highestHigh = MarketSeries.High.Maximum(period);
double lowestLow = MarketSeries.Low.Minimum(period);
// Calculate the range as a percentage of ATR (you can adjust this threshold)
double rangeThreshold = 1.5; // Example threshold, adjust as needed
double atrValue = atr.Result[index];
double range = (highestHigh - lowestLow) / atrValue;
return range <= rangeThreshold;
}
private bool IsAboveSMA10(DataSeries series, int index, int period)
{
for (int i = 0; i < period; i++)
{
if (series[index - i] <= ema10.Result[index - i])
{
return false;
}
}
return true;
}
private bool IsAboveSMA50(DataSeries series, int index, int period)
{
for (int i = 0; i < period; i++)
{
if (series[index - i] <= ema50.Result[index - i])
{
return false;
}
}
return true;
}
private bool IsAboveSMA200(DataSeries series, int index, int period)
{
for (int i = 0; i < period; i++)
{
if (series[index - i] <= ema200.Result[index - i])
{
return false;
}
}
return true;
}
private bool isBelowSMA10(DataSeries series, int index, int period)
{
for (int i = 0; i < period; i++)
{
if (series[index - i] >= ema10.Result[index - i])
{
return false;
}
}
return true;
}
private bool isBelowSMA50(DataSeries series, int index, int period)
{
for (int i = 0; i < period; i++)
{
if (series[index - i] >= ema50.Result[index - i])
{
return false;
}
}
return true;
}
private bool isBelowSMA200(DataSeries series, int index, int period)
{
for (int i = 0; i < period; i++)
{
if (series[index - i] >= ema200.Result[index - i])
{
return false;
}
}
return true;
}
}
}
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