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十字线反转策略

十字线表示买卖双方暂时达到平衡。当在明显的单边走势后出现十字线，随着动能减弱可能预示反转。本策略根据蜡烛实体相对于整体区间的大小判断是否真正形成十字线。

测试表明年均收益约为 103%，该策略在股票市场表现最佳。

检测到十字线后，检查之前的蜡烛是否处于上升或下降趋势。下跌后的十字线可能触发做多；上涨后的十字线则可能做空。止损按百分比距离设置，若价格突破十字线的高点或低点则出场。

该方法旨在捕捉价格自十字线起始的首次反向波动，适用于日内图表上经常出现的快速逆转。

细节

  • 入场条件：在单边运动后出现的十字线。
  • 多/空：双向。
  • 退出条件：价格突破十字线高/低点或止损。
  • 止损：是，按百分比。
  • 默认值：
    • CandleType = 5 分钟
    • DojiThreshold = 0.1
    • StopLossPercent = 1
  • 过滤条件：
    • 类别: 形态
    • 方向: 双向
    • 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 Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Enters against the preceding two-close move on a finished doji.
/// Exits at the opposite doji extreme or native actual-fill percent protection.
/// </summary>
public class DojiReversalStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _dojiThreshold;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private ICandleMessage _older;
	private ICandleMessage _previous;
	private decimal? _targetHigh;
	private decimal? _targetLow;
	private Order _pendingOrder;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal DojiThreshold { get => _dojiThreshold.Value; set => _dojiThreshold.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	public DojiReversalStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Doji and prior-close timeframe", "General");
		_dojiThreshold = Param(nameof(DojiThreshold), 0.1m).SetRange(0m, 1m)
			.SetDisplay("Doji Threshold", "Strict upper bound for absolute body divided by high-low range", "Pattern");
		_stopLossPercent = Param(nameof(StopLossPercent), 1m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it", "Protection");
		OrderRegistering += order =>
		{
			_pendingOrder = order;
			if (Position > 0m && order.Side == Sides.Sell ||
				Position < 0m && order.Side == Sides.Buy)
				_targetHigh = _targetLow = null;
		};
	}

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

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

	private void ClearState()
	{
		_older = _previous = null;
		_targetHigh = _targetLow = null;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ClearState();
		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(ProcessQuote).Start();
		}
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private bool Pending => _pendingOrder is not null &&
		_pendingOrder.State is not (OrderStates.Done or OrderStates.Failed);

	private void ProcessQuote(Level1ChangeMessage message)
	{
		if (Pending)
			return;
		if (Position > 0m && _targetHigh is decimal high &&
			message.TryGetDecimal(Level1Fields.BestBidPrice) is decimal bid &&
			bid > high)
			SellMarket(Position);
		else if (Position < 0m && _targetLow is decimal low &&
			message.TryGetDecimal(Level1Fields.BestAskPrice) is decimal ask &&
			ask > 0m && ask < low)
			BuyMarket(Math.Abs(Position));
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		if (!Pending && Position > 0m && _targetHigh is decimal high && candle.HighPrice > high)
			SellMarket(Position);
		else if (!Pending && Position < 0m && _targetLow is decimal low && candle.LowPrice < low)
			BuyMarket(Math.Abs(Position));
		else if (!Pending && Position == 0m && _older is not null && _previous is not null &&
			IsDoji(candle) && IsFormedAndOnlineAndAllowTrading())
		{
			if (_previous.ClosePrice < _older.ClosePrice)
			{
				_targetHigh = candle.HighPrice;
				_targetLow = null;
				BuyMarket(Volume);
			}
			else if (_previous.ClosePrice > _older.ClosePrice)
			{
				_targetLow = candle.LowPrice;
				_targetHigh = null;
				SellMarket(Volume);
			}
		}
		_older = _previous;
		_previous = candle;
	}

	private bool IsDoji(ICandleMessage candle)
	{
		var range = candle.HighPrice - candle.LowPrice;
		return range > 0m && Math.Abs(candle.ClosePrice - candle.OpenPrice) / range < DojiThreshold;
	}
}