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SMC Order Block Zones 策略

该策略识别摆动高点和低点以构建溢价区和折扣区。简单移动平均线作为趋势过滤器，最近的订单块用于确认信号。当价格在订单块确认下从一个区域向均衡线移动时开仓，并通过百分比止损保护仓位。

细节

  • 入场条件：
    • 收盘价低于均衡线但高于折扣区且高于SMA时做多。
    • 收盘价高于均衡线但低于溢价区且低于SMA时做空。
    • 价格需触及相应的订单块水平。
  • 多空方向：可配置为多头、空头或双向。
  • 出场条件：反向信号或止损。
  • 止损：百分比止损。
  • 默认值：
    • SwingHighLength = 8
    • SwingLowLength = 8
    • SmaLength = 50
    • OrderBlockLength = 20
    • StopLossPercent = 2
  • 过滤器：
    • 分类：趋势与SMC
    • 方向：用户定义
    • 指标：SMA、Highest、Lowest
    • 止损：是
    • 复杂度：中等
    • 时间框架：任意
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中等
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// SMC Order Block Zones Strategy.
/// Uses BB as order block zones and SMA as equilibrium.
/// Buys in discount zone (below SMA near lower BB).
/// Sells in premium zone (above SMA near upper BB).
/// </summary>
public class SmcOrderBlockZonesStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _sma;
	private BollingerBands _bb;

	private int _cooldownRemaining;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public SmcOrderBlockZonesStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_smaLength = Param(nameof(SmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("SMA Length", "Equilibrium SMA period", "Indicators");

		_bbLength = Param(nameof(BbLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_sma = null;
		_bb = null;
		_cooldownRemaining = 0;
	}

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

		_sma = new SimpleMovingAverage { Length = SmaLength };
		_bb = new BollingerBands { Length = BbLength, Width = 2m };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_sma, _bb, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, IIndicatorValue smaValue, IIndicatorValue bbValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_sma.IsFormed || !_bb.IsFormed)
			return;

		if (smaValue.IsEmpty || bbValue.IsEmpty)
			return;

		var sma = smaValue.ToDecimal();
		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		var price = candle.ClosePrice;
		var equilibrium = sma;

		// Discount zone: below SMA, near lower BB -> buy
		if (price < equilibrium && price <= lower && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Premium zone: above SMA, near upper BB -> sell
		else if (price > equilibrium && price >= upper && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: price returns above equilibrium
		else if (Position > 0 && price > equilibrium)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: price returns below equilibrium
		else if (Position < 0 && price < equilibrium)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
	}
}