Фьючерс РТС. Стратегия N2

RTS Фьючерс. Timeframe Daily. 2005-today.

В данном случае Four Up Days and Short, ConsClosesCount =4

only short / with commission

Код

using OpenQuant.API;

public class MyStrategy : Strategy
{
    [Parameter("Order quantity (number of contracts to trade)")]
    double Qty = 100;

    [Parameter("Number of consecutive up closes")]
    int ConsClosesCount = 4;

    int count;
    double prevClose;

    public override void OnStrategyStart()
    {
        prevClose = -1;
        count = 0;
    }

    public override void OnBar(Bar bar)
    {
        // we need at least one bar to go by before we do anything
        if (prevClose != -1)
        {
            // if we don't have a position open, increment the count of up days (or reset it to zero)
            if (!HasPosition)
            {
                if (prevClose > bar.Close)
                    count++;
                else
                    count = 0;

                // if this is the fourth (consClosesCount is equal to 4 by default) up day, 
                // issue a market order to open a short position tomorrow morning, on day 5
                if (count == ConsClosesCount)
                    Sell(Qty, "Entry");
            }

            // else if we have a position open, close it now (today is the day after the trade was 
            // entered), so now is actually end of day 6, and the trade will be executed by the market 
            // on open day 7.
            else
                Buy(Qty, "Exit");
        }

        // today's close now becomes the previous close for the down day calculation
        prevClose = bar.Close;
    }
}