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Average Force 策略

Average Force 策略使用一个振荡器来衡量收盘价在设定周期内最高价和最低价之间的位置，并通过移动平均线平滑结果。正值表示向上的力量，负值表示向下的压力。

当平滑后的 Average Force 大于零时策略做多，当其小于零时策略做空。

详情

  • 入场条件:
    • Average Force > 0 → 买入。
    • Average Force < 0 → 卖出。
  • 多空方向: 多头和空头。
  • 出场条件:
    • 当 Average Force 穿越零轴并向相反方向移动时反转仓位。
  • 止损: 无。
  • 默认参数:
    • Period = 18
    • Smooth = 6
  • 过滤器:
    • 类别: 动量
    • 方向: 双向
    • 指标: Highest、Lowest、SMA
    • 止损: 无
    • 复杂度: 低
    • 时间框架: 任意
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险水平: 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>
/// Average Force strategy.
/// The raw force is the position of the close inside the highest high and lowest low of the last Period candles, centred on zero
/// ((close - lowest) / (highest - lowest) - 0.5), and the Average Force is its SMA over Smooth candles. A positive Average
/// Force holds a long and a negative one holds a short, so the position reverses whenever it crosses zero.
/// </summary>
public class AverageForceStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<int> _smooth;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _forceAverage;

	/// <summary>
	/// Lookback of the highest high and lowest low.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

	/// <summary>
	/// SMA period of the force.
	/// </summary>
	public int Smooth
	{
		get => _smooth.Value;
		set => _smooth.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AverageForceStrategy()
	{
		_period = Param(nameof(Period), 18)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Lookback of the highest high and lowest low", "Indicator");

		_smooth = Param(nameof(Smooth), 6)
			.SetGreaterThanZero()
			.SetDisplay("Smooth", "SMA period of the force", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_forceAverage = null;
	}

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

		var highest = new Highest { Length = Period };
		var lowest = new Lowest { Length = Period };
		_forceAverage = new SimpleMovingAverage { Length = Smooth };

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

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

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

		var range = highest - lowest;
		var force = range > 0m ? (candle.ClosePrice - lowest) / range - 0.5m : 0m;
		var averageForce = _forceAverage.Process(force, candle.ServerTime, true).ToDecimal();

		if (!_forceAverage.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (averageForce > 0m && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (averageForce < 0m && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}