Фьючерс РТС. Стратегия N1

RTS Фьючерс. Timeframe Daily. 2005-2021.

Этот вариант стратегии есть в примерах к Openquant- Breakout with 4% limit В данном случае big jump = 3%

only long / with commission

Код

using OpenQuant.API;

public class MyStrategy : Strategy
{
    [Parameter("Order quantity (number of contracts to trade)")]
    int Qty = 1;
    
    // enter trade on 4 breakoutPercent breakout
    [Parameter("Percent")]
    double BreakoutPercent = 3;
    
    // orders and trade quantity
    Order buyOrder;
    // for calculating breakout price limit
    double prevClose;

    public override void OnStrategyStart()
    {
        prevClose = -1;
    }

    public override void OnBarOpen(Bar bar)
    {
        // we need to let the first bar go by before we can
        // calculate the breakout limit
        if (prevClose != -1)
        {
            // if we do not have a position, then cancel the
            // previous limit order (it is out of date)
            if (!HasPosition)
            {
                if (buyOrder != null)
                    buyOrder.Cancel();

                // now try to enter a trade by setting a limit order
                // to automatically buy in if the big 4% jump arrives.
                // This order will reside on the exchange servers, and 
                // will execute during the day if the limit is triggered.
                double breakout_fraction = 1 + (BreakoutPercent / 100);
                double breakout_price = prevClose * breakout_fraction;
                buyOrder = BuyStopOrder(Qty, breakout_price, "Entry");  
                buyOrder.Send();
            }

                // if we have a position open, then close it now. 
                // Now (which is the leading edge of today's daily bar)
                // is the start of the day after the trade was opened.
            else
                Sell(Qty, "Exit");
        }
    }

    public override void OnBar(Bar bar)
    {
        // update the prevClose value for the breakout calculation
        prevClose = bar.Close;
    }
}