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看跌弃婴策略

看跌弃婴与多头版本相反，常预示顶部的形成。 该形态先出现向上跳空的十字星，随后向下跳空，使中间蜡烛孤立在上方。 当第三根蜡烛向下跳空时做空，捕捉情绪突变后的下行。 止损放在十字星高点上方，以防价格回升。

测试表明年均收益约为 79%，该策略在股票市场表现最佳。

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
    • DojiBodyPercent = 10
    • StopLossPercent = 2 市场全天交易，K线区间几乎不会出现跳空（样本月份中此类看跌形态最多一次），因此缺口按K线实体之间计算。十字星的实体不超过其区间的 DojiBodyPercent。策略只做空，在第三根K线收盘时卖出；止损设在十字星最高点上方 StopLossPercent 处，K线收盘突破即平仓。
  • 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>
/// Bearish Abandoned Baby strategy.
/// While flat it sells after a bullish candle, a doji whose body gaps above the first body, and a bearish candle whose body gaps below the doji.
/// The stop lies StopLossPercent above the doji's high, and a close beyond it closes the position.
/// </summary>
public class BearishAbandonedBabyStrategy : Strategy
{
	private readonly StrategyParam<decimal> _dojiBodyPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

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

	/// <summary>
	/// Largest body of the doji, in percent of its range.
	/// </summary>
	public decimal DojiBodyPercent
	{
		get => _dojiBodyPercent.Value;
		set => _dojiBodyPercent.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 BearishAbandonedBabyStrategy()
	{
		_dojiBodyPercent = Param(nameof(DojiBodyPercent), 10m)
			.SetNotNegative()
			.SetDisplay("Doji Body %", "Largest body of the doji, in percent of its range", "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 > 3)
			_candles.RemoveAt(0);

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

			return;
		}

		if (Position != 0 || _candles.Count < 3)
			return;

		var c0 = _candles[0];
		var c1 = _candles[1];
		var c2 = _candles[2];

		if (!(c0.ClosePrice > c0.OpenPrice && Math.Abs(c1.ClosePrice - c1.OpenPrice) <= (c1.HighPrice - c1.LowPrice) * DojiBodyPercent / 100m && Math.Min(c1.OpenPrice, c1.ClosePrice) > Math.Max(c0.OpenPrice, c0.ClosePrice) && c2.ClosePrice < c2.OpenPrice && Math.Max(c2.OpenPrice, c2.ClosePrice) < Math.Min(c1.OpenPrice, c1.ClosePrice)))
			return;

		SellMarket(Volume);
		_stopPrice = c1.HighPrice * (1 + StopLossPercent / 100m);
	}
}