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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Doji Reversal strategy.
/// Looks for doji candlestick patterns after a trend and takes a reversal position.
/// Doji after downtrend = buy, doji after uptrend = sell.
/// Uses SMA for exit signals.
/// </summary>
public class DojiReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _dojiThreshold;
	private readonly StrategyParam<int> _cooldownBars;

	private ICandleMessage _bar1;
	private ICandleMessage _bar2;
	private int _cooldown;

	/// <summary>
	/// MA Period.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

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

	/// <summary>
	/// Doji threshold as fraction of candle range.
	/// </summary>
	public decimal DojiThreshold
	{
		get => _dojiThreshold.Value;
		set => _dojiThreshold.Value = value;
	}

	/// <summary>
	/// Cooldown bars.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public DojiReversalStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for SMA", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_dojiThreshold = Param(nameof(DojiThreshold), 0.1m)
			.SetNotNegative()
			.SetDisplay("Doji Threshold", "Max body/range ratio for doji", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bar1 = null;
		_bar2 = null;
		_cooldown = default;
	}

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

		_bar1 = null;
		_bar2 = null;
		_cooldown = 0;

		var sma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			_bar1 = _bar2;
			_bar2 = candle;
			return;
		}

		if (_bar1 != null && _bar2 != null)
		{
			var isDoji = IsDoji(candle);

			if (isDoji)
			{
				var isDowntrend = _bar2.ClosePrice < _bar1.ClosePrice;
				var isUptrend = _bar2.ClosePrice > _bar1.ClosePrice;

				if (Position == 0 && isDowntrend)
				{
					BuyMarket();
					_cooldown = CooldownBars;
				}
				else if (Position == 0 && isUptrend)
				{
					SellMarket();
					_cooldown = CooldownBars;
				}
			}

			// Exit on SMA cross
			if (Position > 0 && candle.ClosePrice < smaValue)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			else if (Position < 0 && candle.ClosePrice > smaValue)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}

		_bar1 = _bar2;
		_bar2 = candle;
	}

	private bool IsDoji(ICandleMessage candle)
	{
		var bodySize = Math.Abs(candle.OpenPrice - candle.ClosePrice);
		var totalRange = candle.HighPrice - candle.LowPrice;

		if (totalRange == 0)
			return false;

		return bodySize / totalRange < DojiThreshold;
	}
}