中文
在 GitHub 上查看

Williams %R

本策略依据Williams %R指标寻找超买和超卖区域。指标升至上界以上时暗示疲软可做空，跌到下界以下则考虑做多，直至%R回到中性区域后离场。由于%R波动较快，在波动市中信号频繁，可配合其他过滤器以减少噪音。

测试表明年均收益约为 88%，该策略在股票市场表现最佳。

详情

  • 入场条件: 基于 Williams %R 的信号
  • 多空方向: 双向
  • 退出条件: 反向信号或止损
  • 止损: 是
  • 默认值:
    • Period = 14
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类型: 趋势
    • 方向: 双向
    • 指标: Williams
    • 止损: 是
    • 复杂度: 基础
    • 时间框架: 日内 (5m)
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 中
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>
/// Strategy based on Williams %R indicator.
/// Buys when Williams %R drops below the oversold level (-80),
/// sells when it rises above the overbought level (-20).
/// Closes at the neutral midpoint (-50) and protects actual fills with a native percent stop.
/// </summary>
public class WilliamsPercentRStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevWR;
	private bool _hasPrevValues;
	private Order _pendingOrder;

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

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

	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="WilliamsPercentRStrategy"/>.
	/// </summary>
	public WilliamsPercentRStrategy()
	{
		_period = Param(nameof(Period), 14)
			.SetDisplay("Period", "Period for Williams %R calculation", "Indicators")
			.SetOptimize(10, 20, 2);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		OrderRegistering += order => _pendingOrder = order;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevWR = default;
		_hasPrevValues = default;
		_pendingOrder = null;
	}

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

		var williams = new WilliamsR { Length = Period };
		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(williams, ProcessCandle)
			.Start();

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

	private void ProcessCandle(ICandleMessage candle, decimal wrValue)
	{
		if (candle.State != CandleStates.Finished || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevWR = wrValue;
			return;
		}

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
		{
			_prevWR = wrValue;
			return;
		}

		// Williams %R drops into the oversold zone below -80 - buy signal
		if (_prevWR >= -80m && wrValue < -80m && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		// Williams %R rises into the overbought zone above -20 - sell signal
		else if (_prevWR <= -20m && wrValue > -20m && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
		}
		else if (Position > 0m && wrValue >= -50m)
			SellMarket(Position);
		else if (Position < 0m && wrValue <= -50m)
			BuyMarket(Math.Abs(Position));

		_prevWR = wrValue;
	}
}