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回测模块

该策略复现了 TradingView “Backtesting Module”的默认逻辑。当50周期简单移动平均线向上穿越200周期线时开多，当其向下穿越时开空。仅在设定的开始和结束时间之间进行交易。

详情

  • 入场条件：SMA(50) 上穿或下穿 SMA(200)。
  • 多空方向：双向。
  • 出场条件：反向穿越或超出时间区间。
  • 止损：无。
  • 默认值：
    • FastLength = 50
    • SlowLength = 200
    • StartTime = 1980-01-01
    • EndTime = 2050-12-31
    • CandleType = TimeSpan.FromMinutes(1)
  • 过滤条件：
    • 分类：趋势跟随
    • 方向：双向
    • 指标：SMA
    • 止损：无
    • 复杂度：基础
    • 时间框架：可变
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险级别：中
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>
/// Strategy based on SMA crossover with cooldown.
/// Buys when fast SMA crosses above slow SMA, sells on cross below.
/// </summary>
public class BacktestingModuleStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private int _barIndex;
	private int _lastTradeBar;

	/// <summary>
	/// Fast SMA period.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow SMA period.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.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 BacktestingModuleStrategy()
	{
		_fastLength = Param(nameof(FastLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Fast SMA", "Period for fast SMA", "Indicators");

		_slowLength = Param(nameof(SlowLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow SMA", "Period for slow SMA", "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();
		_prevFast = 0;
		_prevSlow = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var fastSma = new SimpleMovingAverage { Length = FastLength };
		var slowSma = new SimpleMovingAverage { Length = SlowLength };

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

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		var crossUp = _prevFast > 0 && _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast > 0 && _prevFast >= _prevSlow && fast < slow;

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

		_prevFast = fast;
		_prevSlow = slow;
	}
}