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Automatic Trendlines 策略

通过连接最近的枢轴高点和枢轴低点来构建动态的支撑和阻力趋势线。当价格收于阻力线之上时发出做多信号，当价格跌破支撑线时发出做空信号。

细节

  • 入场条件:
    • 多头: 收盘价上穿阻力趋势线。
    • 空头: 收盘价下破支撑趋势线。
  • 出场条件:
    • 反向信号或仓位反转。
  • 指标:
    • 基于枢轴点的趋势线。
  • 止损: 无。
  • 默认值:
    • LeftBars = 100
    • RightBars = 15
  • 过滤器:
    • 趋势跟随
    • 单一时间框架
    • 指标: 枢轴趋势线
    • 止损: 无
    • 复杂度: 低
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>
/// Automatic Trendlines Strategy.
/// Uses Highest/Lowest channel breakouts with EMA trend filter.
/// </summary>
public class AutomaticTrendlinesStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevHighest;
	private decimal _prevLowest;
	private int _barIndex;
	private int _lastTradeBar;

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Channel lookback length.
	/// </summary>
	public int ChannelLength
	{
		get => _channelLength.Value;
		set => _channelLength.Value = value;
	}

	/// <summary>
	/// EMA trend filter period.
	/// </summary>
	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public AutomaticTrendlinesStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation", "General");

		_channelLength = Param(nameof(ChannelLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Channel Length", "Lookback for Highest/Lowest", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 350)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHighest = 0;
		_prevLowest = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var highest = new Highest { Length = ChannelLength };
		var lowest = new Lowest { Length = ChannelLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highest, lowest, ema, ProcessCandle)
			.Start();

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		// Breakout above resistance trendline with uptrend
		var breakUp = _prevHighest > 0 && candle.ClosePrice > _prevHighest && candle.ClosePrice > emaValue;
		// Breakdown below support trendline with downtrend
		var breakDown = _prevLowest > 0 && candle.ClosePrice < _prevLowest && candle.ClosePrice < emaValue;

		if (breakUp && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (breakDown && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevHighest = highestValue;
		_prevLowest = lowestValue;
	}
}