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BTC 难度调整策略

BTC 难度调整策略基于比特币挖矿难度的变化进行交易。启用阈值模式时，仅当百分比变化超过设定阈值才开仓。难度上调时开多，难度下调时开空。

详情

  • 入场条件:
    • 阈值模式: abs(change) >= Threshold 且 change < 0 → 开多。
    • 阈值模式: abs(change) >= Threshold 且 change > 0 → 开空。
    • 无阈值模式: difficulty > 上一值 → 开多。
    • 无阈值模式: difficulty < 上一值 → 开空。
  • 多空方向: 双向。
  • 出场条件:
    • 相反信号关闭并反转仓位。
  • 止损: 无。
  • 默认参数:
    • CandleType = 1 天
    • ThresholdMode = false
    • Threshold = 10
  • 过滤器:
    • 分类: 基本面
    • 方向: 多 & 空
    • 指标: 无
    • 止损: 无
    • 复杂度: 低
    • 时间框架: 日线
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
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>
/// BTC Difficulty Adjustments Strategy - uses rate of change indicator
/// to detect momentum shifts and trade accordingly.
/// </summary>
public class BtcDifficultyAdjustmentsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rocPeriod;
	private readonly StrategyParam<int> _smaPeriod;

	private decimal _prevRoc;
	private decimal _prevSma;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RocPeriod { get => _rocPeriod.Value; set => _rocPeriod.Value = value; }
	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }

	public BtcDifficultyAdjustmentsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rocPeriod = Param(nameof(RocPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("ROC Period", "Rate of change period", "Indicators");

		_smaPeriod = Param(nameof(SmaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Trend filter SMA period", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRoc = 0m;
		_prevSma = 0m;
	}

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

		var roc = new RateOfChange { Length = RocPeriod };
		var sma = new SimpleMovingAverage { Length = SmaPeriod };

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

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

		var rocArea = CreateChartArea();
		if (rocArea != null)
		{
			DrawIndicator(rocArea, roc);
		}
	}

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

		if (_prevRoc == 0m || _prevSma == 0m)
		{
			_prevRoc = rocValue;
			_prevSma = smaValue;
			return;
		}

		// Buy when ROC crosses above zero and price above SMA
		if (_prevRoc <= 0m && rocValue > 0m && candle.ClosePrice > smaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Sell when ROC crosses below zero and price below SMA
		else if (_prevRoc >= 0m && rocValue < 0m && candle.ClosePrice < smaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevRoc = rocValue;
		_prevSma = smaValue;
	}
}