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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 with IBS reversal strategy.
/// Uses Highest/Lowest channel with EMA filter and cooldown.
/// Buys on breakout above channel with uptrend, sells on breakdown below with downtrend.
/// </summary>
public class AverageHighLowRangeIbsReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AverageHighLowRangeIbsReversalStrategy()
	{
		_channelLength = Param(nameof(ChannelLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Channel Length", "Lookback for Highest/Lowest", "Indicators");

		_emaLength = Param(nameof(EmaLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

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

		_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();
		_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 previous highest with uptrend
		var breakUp = _prevHighest > 0 && candle.ClosePrice > _prevHighest && candle.ClosePrice > emaValue;
		// Breakdown below previous lowest 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;
	}
}