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多头孕线策略

多头孕线是一种两根蜡烛组成的形态，第二根小实体完全包含在前一根空头蜡烛的范围内。 这表明卖压减弱，买家可能重新进场。 当第二根蜡烛在第一根内部收盘时，策略做多，期待下一根继续上行。 在形态下方设置百分比止损，若价格跌破形态则退出。

测试表明年均收益约为 40%，该策略在加密市场表现最佳。

细节

  • 入场条件：形态匹配
  • 多/空：均可
  • 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
    • 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。
  • 过滤器:
    • 类别：形态
    • 方向：双向
    • 指标：蜡烛图
    • 止损：有
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：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>
/// Bullish Harami strategy.
/// While flat it buys after a bearish candle followed by a candle whose smaller body lies within the first candle's range.
/// The stop lies StopLossPercent below the pattern's lowest low, and a close beyond it closes the position.
/// </summary>
public class HaramiBullishStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

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

	/// <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 HaramiBullishStrategy()
	{
		_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 && Math.Abs(c1.ClosePrice - c1.OpenPrice) < c0.OpenPrice - c0.ClosePrice && Math.Min(c1.OpenPrice, c1.ClosePrice) >= c0.LowPrice && Math.Max(c1.OpenPrice, c1.ClosePrice) <= c0.HighPrice))
			return;

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