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80-20 策略

该策略寻找收盘价位于蜡烛区间顶部或底部20%的形态。若收盘价接近最高价且开盘价接近最低价，则产生看多信号；若开盘价接近最高价且收盘价接近最低价，则产生看空信号。该方法旨在捕捉价格从极端位置快速反转。

详情

  • 入场条件：
    • 收盘位于区间上部20%，开盘位于下部20% → 做多。
    • 开盘位于上部20%，收盘位于下部20% → 做空。
  • 多空方向：双向。
  • 出场条件：
    • 相反信号反向开仓。
  • 止损：无。
  • 默认值：
    • 区间百分比 = 0.2。
  • 过滤器：
    • 类别：形态识别
    • 方向：双向
    • 指标：无
    • 止损：无
    • 复杂度：低
    • 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>
/// 80-20 strategy - trades when price closes near extremes of the candle.
/// Buys on strong bullish candles (close near high, open near low).
/// Sells on strong bearish candles (open near high, close near low).
/// Uses EMA as trend filter.
/// </summary>
public class EightyTwentyStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _rangePercent;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal RangePercent { get => _rangePercent.Value; set => _rangePercent.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

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

		_rangePercent = Param(nameof(RangePercent), 0.2m)
			.SetDisplay("Range Percent", "Fraction of candle range for trigger zone", "General");

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter 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();
		_ema = null;
		_cooldownRemaining = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var range = candle.HighPrice - candle.LowPrice;
		if (range <= 0)
			return;

		var offset = RangePercent * range;

		var triggerGreen = candle.ClosePrice >= candle.HighPrice - offset &&
			candle.OpenPrice <= candle.LowPrice + offset;

		var triggerRed = candle.OpenPrice >= candle.HighPrice - offset &&
			candle.ClosePrice <= candle.LowPrice + offset;

		if (triggerGreen && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (triggerRed && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
	}
}