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Average High-Low Range IBS Reversal策略

该策略在价格持续低于基于高低价平均范围的动态阈值时寻找均值回归。它计算条形高低区间的移动平均值，以及在回溯期内的最高价和最低价。买入阈值定义为最高价减去2.5倍的平均范围。当价格在该水平下方维持指定数量的柱，并且柱内强度(IBS)在交易窗口内低于设定值时，开立多头仓位。若收盘价超过前一根柱的最高价，则平仓。

细节

  • 入场条件：
    • 价格在 BarsBelowThreshold 根柱内均低于买入阈值。
    • IBS < IbsBuyThreshold。
    • 时间位于 StartTime 与 EndTime 之间。
  • 方向：仅做多。
  • 出场条件：
    • 收盘价高于前一根柱的最高价。
  • 止损：无。
  • 默认参数：
    • Length = 20
    • BarsBelowThreshold = 2
    • IbsBuyThreshold = 0.2
  • 过滤器：
    • 类型：均值回归
    • 方向：多头
    • 指标：SMA, Highest, Lowest
    • 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：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 high-low range IBS reversal strategy.
/// The buy threshold is the highest high of the last Length candles minus 2.5 times the SMA of the candle range over Length
/// candles. When the close has stayed below that threshold for BarsBelowThreshold consecutive candles and the internal bar
/// strength (close - low) / (high - low) is below IbsBuyThreshold, a long opens, provided the candle lies between StartTime and
/// EndTime. The long closes when a close exceeds the previous candle's high. Long only.
/// </summary>
public class AverageHighLowRangeIbsReversalStrategy : Strategy
{
	private const decimal _rangeMultiplier = 2.5m;

	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<int> _barsBelowThreshold;
	private readonly StrategyParam<decimal> _ibsBuyThreshold;
	private readonly StrategyParam<DateTime> _startTime;
	private readonly StrategyParam<DateTime> _endTime;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _rangeAverage;
	private int _barsBelow;
	private decimal? _prevHigh;

	/// <summary>
	/// Lookback of the range average and the highest high.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Consecutive closes below the threshold required for an entry.
	/// </summary>
	public int BarsBelowThreshold
	{
		get => _barsBelowThreshold.Value;
		set => _barsBelowThreshold.Value = value;
	}

	/// <summary>
	/// Maximum internal bar strength for an entry.
	/// </summary>
	public decimal IbsBuyThreshold
	{
		get => _ibsBuyThreshold.Value;
		set => _ibsBuyThreshold.Value = value;
	}

	/// <summary>
	/// Start of the trading window.
	/// </summary>
	public DateTime StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// End of the trading window.
	/// </summary>
	public DateTime EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AverageHighLowRangeIbsReversalStrategy()
	{
		_length = Param(nameof(Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Lookback of the range average and the highest high", "Indicators");

		_barsBelowThreshold = Param(nameof(BarsBelowThreshold), 2)
			.SetGreaterThanZero()
			.SetDisplay("Bars Below Threshold", "Consecutive closes below the threshold required for an entry", "Signals");

		_ibsBuyThreshold = Param(nameof(IbsBuyThreshold), 0.2m)
			.SetDisplay("IBS Buy Threshold", "Maximum internal bar strength for an entry", "Signals");

		_startTime = Param(nameof(StartTime), new DateTime(2000, 1, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("Start Time", "Start of the trading window", "Time");

		_endTime = Param(nameof(EndTime), new DateTime(2100, 1, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("End Time", "End of the trading window", "Time");

		_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();
		_rangeAverage = null;
		_barsBelow = 0;
		_prevHigh = null;
	}

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

		_barsBelow = 0;
		_prevHigh = null;

		var highest = new Highest { Length = Length };
		_rangeAverage = new SimpleMovingAverage { Length = Length };

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

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

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

		var range = candle.HighPrice - candle.LowPrice;
		var averageRange = _rangeAverage.Process(range, candle.ServerTime, true).ToDecimal();

		var prevHigh = _prevHigh;
		_prevHigh = candle.HighPrice;

		if (!_rangeAverage.IsFormed)
			return;

		var close = candle.ClosePrice;
		var threshold = highest - _rangeMultiplier * averageRange;
		_barsBelow = close < threshold ? _barsBelow + 1 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (prevHigh is decimal ph && close > ph)
				SellMarket(Position);

			return;
		}

		var ibs = range > 0m ? (close - candle.LowPrice) / range : 0.5m;
		var inWindow = candle.OpenTime >= StartTime && candle.OpenTime <= EndTime;

		if (Position == 0 && inWindow && _barsBelow >= BarsBelowThreshold && ibs < IbsBuyThreshold)
			BuyMarket(Volume);
	}
}