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Ichimoku 云宽度突破策略

本策略监测 Ichimoku 云层宽度的快速扩张。当宽度显著超出常态时，价格往往会开始新的走势。

测试表明年均收益约为 64%，该策略在外汇市场表现最佳。

云宽突破依据历史数据和倍数设定的界限时开仓，可多可空，并设置止损。宽度回到平均水平后平仓。

适合动量交易者把握趋势起步阶段。

详细信息

  • 入场条件: Indicator exceeds average by deviation multiplier.
  • Long/Short: 双向 directions.
  • 退出条件: Indicator reverts to average.
  • 止损: 是
  • 默认值:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • AvgPeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLoss = 2.0m
  • 筛选条件:
    • 类别: 突破
    • 方向: 双向
    • 指标: Ichimoku
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 短期
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that trades on Ichimoku Cloud width breakouts.
/// When Ichimoku Cloud width increases significantly above its average, 
/// it enters position in the direction determined by price location relative to the cloud.
/// </summary>
public class IchimokuWidthBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;
	
	private Ichimoku _ichimoku;
	private SimpleMovingAverage _widthAverage;

	/// <summary>
	/// Tenkan-sen period for Ichimoku.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}
	
	/// <summary>
	/// Kijun-sen period for Ichimoku.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}
	
	/// <summary>
	/// Senkou Span B period for Ichimoku.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}
	
	/// <summary>
	/// Period for width average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}
	
	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="IchimokuWidthBreakoutStrategy"/>.
	/// </summary>
	public IchimokuWidthBreakoutStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Period for Tenkan-sen line", "Indicators")
			
			.SetOptimize(5, 20, 1);
			
		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Period for Kijun-sen line", "Indicators")
			
			.SetOptimize(20, 40, 2);
			
		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Period for Senkou Span B line", "Indicators")
			
			.SetOptimize(40, 80, 4);
			
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for cloud width average calculation", "Indicators")
			
			.SetOptimize(10, 50, 5);
		
		_multiplier = Param(nameof(Multiplier), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout detection", "Indicators")

			.SetOptimize(1.0m, 3.0m, 0.5m);
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage", "Risk Management")
			
			.SetOptimize(1.0m, 5.0m, 0.5m);
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		

		// Create indicators
		_ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};
		
		_widthAverage = new SMA { Length = AvgPeriod };
		
		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind Ichimoku to the candle subscription
		subscription
			.BindEx(_ichimoku, ProcessIchimoku)
			.Start();
			
		// Enable stop loss protection
		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(StopLoss, UnitTypes.Percent)
		);
		
		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ichimoku);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessIchimoku(ICandleMessage candle, IIndicatorValue ichimokuValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		
		if (!ichimokuValue.IsFinal)
			return;

		// Get current Ichimoku values
		// The structure of values depends on the implementation, this is just an example
		var ichimokuTyped = (IchimokuValue)ichimokuValue;
		
		if (ichimokuTyped.Tenkan is not decimal tenkan)
			return;

		if (ichimokuTyped.Kijun is not decimal kijun)
			return;

		if (ichimokuTyped.SenkouA is not decimal senkouSpanA)
			return;

		if (ichimokuTyped.SenkouB is not decimal senkouSpanB)
			return;

		// Calculate Cloud width (absolute difference between Senkou lines)
		var width = Math.Abs(senkouSpanA - senkouSpanB);
		
		// Process width through average
		var widthAvgValue = _widthAverage.Process(new DecimalIndicatorValue(_widthAverage, width, candle.ServerTime) { IsFinal = true });
		var avgWidth = widthAvgValue.ToDecimal();
		
		// Skip if indicators are not formed yet
		if (!_ichimoku.IsFormed || !_widthAverage.IsFormed)
		{
			return;
		}

		// Cloud width breakout detection
		if (width > avgWidth * Multiplier && Position == 0)
		{
			// Determine trade direction based on price relative to cloud
			var upperCloud = Math.Max(senkouSpanA, senkouSpanB);
			var lowerCloud = Math.Min(senkouSpanA, senkouSpanB);

			var bullish = candle.ClosePrice > upperCloud;
			var bearish = candle.ClosePrice < lowerCloud;

			if (bullish)
			{
				BuyMarket();
			}
			else if (bearish)
			{
				SellMarket();
			}
		}
	}
}