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抛物线 SAR 反转策略

抛物线 SAR 指标在价格上方或下方绘制点位以指示趋势方向。当点位转换至另一侧时，可能意味着前一波行情结束。本策略在这种翻转发生时进场，期待短期反转。

测试表明年均收益约为 148%，该策略在外汇市场表现最佳。

每根K线维持运行的 SAR 值。当指标从价格上方转至下方时开多仓；从下方转至上方时做空。该方法不设固定盈利目标，通常依赖手动或尾随止损退出。

由于 SAR 反应灵敏，在震荡市可能出现假信号，因此最好在行情波动明显时使用。

细节

  • 入场条件：抛物线 SAR 相对于价格翻转。
  • 多/空：双向。
  • 退出条件：手动或外部止损。
  • 止损：未明确。
  • 默认值：
    • InitialAcceleration = 0.02
    • MaxAcceleration = 0.2
    • CandleType = 15 分钟
  • 过滤条件：
    • 类别: 趋势跟随
    • 方向: 双向
    • 指标: 抛物线 SAR
    • 止损: 可选
    • 复杂度: 基础
    • 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>
/// Parabolic SAR Reversal strategy.
/// When the SAR moves from above the close to below it the position turns long, and when it moves from below to above it turns short.
/// There is no other exit.
/// </summary>
public class ParabolicSarReversalStrategy : Strategy
{
	private readonly StrategyParam<decimal> _initialAcceleration;
	private readonly StrategyParam<decimal> _maxAcceleration;
	private readonly StrategyParam<DataType> _candleType;

	private bool? _prevSarAbove;

	/// <summary>
	/// Initial acceleration factor of the SAR.
	/// </summary>
	public decimal InitialAcceleration
	{
		get => _initialAcceleration.Value;
		set => _initialAcceleration.Value = value;
	}

	/// <summary>
	/// Maximum acceleration factor of the SAR.
	/// </summary>
	public decimal MaxAcceleration
	{
		get => _maxAcceleration.Value;
		set => _maxAcceleration.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ParabolicSarReversalStrategy()
	{
		_initialAcceleration = Param(nameof(InitialAcceleration), 0.02m)
			.SetGreaterThanZero()
			.SetDisplay("Initial Acceleration", "Initial acceleration factor of the SAR", "Indicators");

		_maxAcceleration = Param(nameof(MaxAcceleration), 0.2m)
			.SetGreaterThanZero()
			.SetDisplay("Max Acceleration", "Maximum acceleration factor of the SAR", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevSarAbove = null;
	}

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

		_prevSarAbove = null;

		var sar = new ParabolicSar
		{
			Acceleration = InitialAcceleration,
			AccelerationMax = MaxAcceleration,
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(sar, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue sarValue)
	{
		if (candle.State != CandleStates.Finished || !sarValue.IsFormed || sarValue.IsEmpty)
			return;

		var sar = sarValue.GetValue<decimal>();

		if (sar <= 0)
			return;

		var isSarAbove = sar > candle.ClosePrice;
		var wasSarAbove = _prevSarAbove;
		_prevSarAbove = isSarAbove;

		if (wasSarAbove is not bool previous || previous == isSarAbove || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (!isSarAbove && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (isSarAbove && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}