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看涨吞没形态策略

当一根阳线完全吞没前一根阴线时，往往预示着短期下跌结束并可能启动新的上升动能。本策略利用这一形态，并可选用下跌趋势过滤器，通过统计连续的下跌蜡烛数量来确认空头力量衰竭。

测试表明年均收益约为 76%，该策略在外汇市场表现最佳。

在实盘中，算法跟踪每根新蜡烛及其前一根。如果新蜡烛收盘价高于开盘价且实体包住前一根蜡烛，则触发做多。止损位于形态低点下方以控制风险。

持仓将持续到触发止损或出现其他信号需要手动离场。由于先前的下跌确认会增强形态，本策略避免追逐疲弱的反转。

细节

  • 入场条件：阳线吞没前一根阴线，可选下跌趋势确认。
  • 多/空：仅做多。
  • 退出条件：止损或人工离场。
  • 止损：有，位于形态低点下方。
  • 默认值：
    • CandleType = 15 分钟
    • StopLossPercent = 1
    • RequireDowntrend = true
    • DowntrendBars = 3
  • 过滤条件：
    • 类别: 形态
    • 方向: 多头
    • 指标: K线形态
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Long-only bullish body engulfing after optional consecutive bearish candles.
/// Protection sits below the lower of the two pattern lows.
/// </summary>
public class EngulfingBullishStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<bool> _requireDowntrend;
	private readonly StrategyParam<int> _downtrendBars;

	private readonly List<ICandleMessage> _recent = new();
	private decimal? _patternStop;
	private Order _entryOrder;
	private Order _exitOrder;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public bool RequireDowntrend { get => _requireDowntrend.Value; set => _requireDowntrend.Value = value; }
	public int DowntrendBars { get => _downtrendBars.Value; set => _downtrendBars.Value = value; }

	public EngulfingBullishStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Engulfing timeframe", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 1m).SetRange(0m, 99m)
			.SetDisplay("Stop below pattern low (%)", "Buffer below the lower of the two pattern lows; zero places the stop at the low.", "Protection");
		_requireDowntrend = Param(nameof(RequireDowntrend), true)
			.SetDisplay("Require Downtrend", "Require consecutive bearish candles immediately before the engulfing candle.", "Pattern");
		_downtrendBars = Param(nameof(DowntrendBars), 3).SetRange(1, 100)
			.SetDisplay("Downtrend Bars", "Number of prior consecutive bearish candles, including the engulfed candle.", "Pattern");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		ClearState();
	}

	private void ClearState()
	{
		_recent.Clear();
		_patternStop = null;
		_entryOrder = _exitOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ClearState();
		var bids = new Subscription(DataType.Level1, Security);
		bids.MarketData.BuildField = Level1Fields.BestBidPrice;
		SubscribeLevel1(bids).Bind(ProcessBid).Start();
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private static bool IsPending(Order order)
		=> order is not null && order.State is not (OrderStates.Done or OrderStates.Failed);

	private void ProcessBid(Level1ChangeMessage message)
	{
		if (message.TryGetDecimal(Level1Fields.BestBidPrice) is decimal bid && bid > 0m)
			CheckStop(bid);
	}

	private void CheckStop(decimal executableBid)
	{
		if (Position > 0m && _patternStop is decimal stop && executableBid <= stop && !IsPending(_exitOrder))
		{
			_exitOrder = SellMarket(Position);
			_recent.Clear();
			_patternStop = null;
		}
	}

	private void Append(ICandleMessage candle)
	{
		_recent.Add(candle);
		if (_recent.Count > DowntrendBars)
			_recent.RemoveAt(0);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		if (Position > 0m)
		{
			// Bar-low fallback covers gaps or missing executable quote updates.
			CheckStop(candle.LowPrice);
			if (Position > 0m && !IsPending(_exitOrder))
				Append(candle);
			return;
		}
		if (IsPending(_entryOrder) || IsPending(_exitOrder))
		{
			Append(candle);
			return;
		}
		var previous = _recent.LastOrDefault();
		var downtrend = !RequireDowntrend ||
			_recent.Count >= DowntrendBars &&
			_recent.TakeLast(DowntrendBars).All(bar => bar.ClosePrice < bar.OpenPrice);
		var engulfing = previous is not null && previous.ClosePrice < previous.OpenPrice &&
			candle.ClosePrice > candle.OpenPrice &&
			candle.OpenPrice <= previous.ClosePrice &&
			candle.ClosePrice >= previous.OpenPrice;
		if (engulfing && downtrend && IsFormedAndOnlineAndAllowTrading())
		{
			_patternStop = Math.Min(previous.LowPrice, candle.LowPrice) * (1m - StopLossPercent / 100m);
			_entryOrder = BuyMarket(Volume);
		}
		Append(candle);
	}
}