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Adaptive Trend Flow策略

Adaptive Trend Flow策略基于典型价格的快慢EMA构建波动率通道。当价格突破通道边界时，内部趋势发生反转。趋势向上并且可选的SMA和MACD过滤条件满足时开多仓；当趋势转向下方时平掉仓位。

细节

  • 入场条件：
    • 趋势从下行转为上行且过滤器确认。
  • 方向：仅做多。
  • 出场条件：
    • 趋势从上行转为下行。
  • 止损：无。
  • 默认参数：
    • Length = 2
    • SmoothLength = 2
    • Sensitivity = 2.0
    • UseSmaFilter = true
    • SmaLength = 4
    • UseMacdFilter = true
    • MacdFastLength = 2
    • MacdSlowLength = 7
    • MacdSignalLength = 2
  • 过滤器：
    • 类型：趋势跟随
    • 方向：多头
    • 指标：EMA、SMA、MACD、Standard Deviation
    • 止损：无
    • 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
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>
/// Adaptive Trend Flow Strategy.
/// Uses EMA crossover with volatility channel breakout for entries.
/// </summary>
public class AdaptiveTrendFlowStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _sensitivity;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevFast;
	private decimal _prevSlow;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal Sensitivity { get => _sensitivity.Value; set => _sensitivity.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

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

		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Length", "Fast EMA period", "Trend");

		_slowLength = Param(nameof(SlowLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA Length", "Slow EMA period", "Trend");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period for volatility", "Trend");

		_sensitivity = Param(nameof(Sensitivity), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Sensitivity", "ATR multiplier for channel", "Trend");

		_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();
		_prevFast = 0;
		_prevSlow = 0;
		_cooldownRemaining = 0;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevFast == 0)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevFast = fastVal;
			_prevSlow = slowVal;
			return;
		}

		var channel = atrVal * Sensitivity;
		var crossedAbove = _prevFast <= _prevSlow + channel && fastVal > slowVal + channel;
		var crossedBelow = _prevFast >= _prevSlow - channel && fastVal < slowVal - channel;

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

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}