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镊子底策略

镊子底是出现在下跌后的两根蜡烛反转形态，两根蜡烛的最低点几乎相同，表明卖方未能突破该水平。

测试表明年均收益约为 184%，该策略在加密市场表现最佳。

第二根蜡烛确认共有底部后，本策略做多，预期卖压消散后出现反弹。

止损设在共用低点下方，若价格未能上升则退出。

细节

  • 入场条件：形态匹配。
  • 多/空：双向。
  • 退出条件：止损或反向信号。
  • 止损：是，按百分比。
  • 默认值：
    • CandleType = 15 分钟
    • TolerancePercent = 0.1
    • StopLossPercent = 2 该策略只做多。止损设在形态最低点下方 StopLossPercent 处，K线收盘跌破该价位时平仓。
  • 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>
/// Tweezer Bottom strategy.
/// While flat it buys after a bearish candle followed by a bullish one whose low is within TolerancePercent of the first low.
/// The stop lies StopLossPercent below the pattern's lowest low, and a close beyond it closes the position.
/// </summary>
public class TweezerBottomStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tolerancePercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<ICandleMessage> _candles = [];
	private decimal _stopPrice;

	/// <summary>
	/// How close the two extremes must be, in percent of the first.
	/// </summary>
	public decimal TolerancePercent
	{
		get => _tolerancePercent.Value;
		set => _tolerancePercent.Value = value;
	}

	/// <summary>
	/// Distance of the stop beyond the pattern, in percent.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public TweezerBottomStrategy()
	{
		_tolerancePercent = Param(nameof(TolerancePercent), 0.1m)
			.SetNotNegative()
			.SetDisplay("Tolerance %", "How close the two extremes must be, in percent of the first", "Pattern");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Distance of the stop beyond the pattern, in percent", "Risk");

		_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();
		_candles.Clear();
		_stopPrice = default;
	}

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

		_candles.Clear();
		_stopPrice = default;

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

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

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

		_candles.Add(candle);

		if (_candles.Count > 2)
			_candles.RemoveAt(0);

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (candle.ClosePrice <= _stopPrice)
				SellMarket(Position);

			return;
		}

		if (Position != 0 || _candles.Count < 2)
			return;

		var c0 = _candles[0];
		var c1 = _candles[1];

		if (!(c0.ClosePrice < c0.OpenPrice && c1.ClosePrice > c1.OpenPrice && Math.Abs(c0.LowPrice - c1.LowPrice) <= c0.LowPrice * TolerancePercent / 100m))
			return;

		BuyMarket(Volume);
		_stopPrice = Math.Min(c0.LowPrice, c1.LowPrice) * (1 - StopLossPercent / 100m);
	}
}