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外包线反转策略

当一根蜡烛的区间超过前一根时，即为外包线，表示波动突然增加。如果外包线的收盘方向与之前的趋势相反，行情往往会回撤。本策略在这种情况发生时做反向交易，期望价格回到均衡。

测试表明年均收益约为 121%，该策略在加密市场表现最佳。

形成外包线后，算法判断其是看涨还是看跌。若在下跌后出现看涨外包线，则在其低点下方设止损做多；若在上升后出现看跌外包线，则在其高点上方止损做空。若后续价格突破该极值则平仓。

该策略旨在捕捉剧烈冲刺后的快速反转，适合震荡市而非单边强趋势。

细节

  • 入场条件：外包线收盘方向与前一波相反。
  • 多/空：双向。
  • 退出条件：价格突破外包线高/低点或止损。
  • 止损：是，放在形态外侧。
  • 默认值：
    • CandleType = 5 分钟
    • 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>
/// Outside Bar Reversal strategy.
/// Detects outside bar patterns (higher high and lower low than previous bar).
/// Bullish outside bar = buy, bearish outside bar = sell.
/// Uses SMA for exit signals.
/// </summary>
public class OutsideBarReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public OutsideBarReversalStrategy()
	{
		_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");

		_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();
		_prevCandle = null;
		_cooldown = default;
	}

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

		_prevCandle = 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--;
			_prevCandle = candle;
			return;
		}

		if (_prevCandle != null)
		{
			// Outside bar: higher high AND lower low than previous bar
			var isOutsideBar = candle.HighPrice > _prevCandle.HighPrice && candle.LowPrice < _prevCandle.LowPrice;

			if (isOutsideBar)
			{
				var isBullish = candle.ClosePrice > candle.OpenPrice;
				var isBearish = candle.ClosePrice < candle.OpenPrice;

				if (Position == 0 && isBullish)
				{
					BuyMarket();
					_cooldown = CooldownBars;
				}
				else if (Position == 0 && isBearish)
				{
					SellMarket();
					_cooldown = CooldownBars;
				}
			}

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

		_prevCandle = candle;
	}
}