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大波动捕捉策略

当价格收于布林带上轨之上且所有启用的过滤器都通过时，本策略做多；当价格收于下轨之下且过滤器通过时，可做空。过滤器包括 RSI、ADX、ATR、EMA 趋势方向和 MACD。策略设置固定百分比止损，当价格回到中轨时平仓，并可在异常大的 K 线时强制获利了结。

细节

  • 入场条件：
    • 多头： 收盘价 > 上轨且所有启用过滤器通过。
    • 空头： 收盘价 < 下轨且所有启用过滤器通过。
  • 多空方向： 可配置。
  • 离场条件：
    • 价格穿越布林带中轨。
    • 可选的大幅波动强制止盈。
  • 止损： 固定百分比止损。
  • 默认值： 布林带长度=40，止损=2%，强制止盈阈值=5%。
  • 过滤器： RSI(14)、ADX(28)、ATR(14)、EMA(350)、MACD(12,26,9)。
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>
/// Big Mover Catcher strategy using Bollinger Band breakout with EMA trend filter.
/// Enters long when price breaks above upper band and fast EMA > slow EMA.
/// Enters short when price breaks below lower band and fast EMA &lt; slow EMA.
/// Exits on EMA crossover reversal.
/// </summary>
public class BigMoverCatcherStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFastEma;
	private decimal _prevSlowEma;

	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BigMoverCatcherStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 450)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for strategy", "General");
	}

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

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

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

		var fastEma = new ExponentialMovingAverage { Length = FastEmaPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaPeriod };

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

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

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

		if (_prevFastEma == 0m || _prevSlowEma == 0m)
		{
			_prevFastEma = fastEmaValue;
			_prevSlowEma = slowEmaValue;
			return;
		}

		// Buy on golden cross
		if (_prevFastEma <= _prevSlowEma && fastEmaValue > slowEmaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Sell on death cross
		else if (_prevFastEma >= _prevSlowEma && fastEmaValue < slowEmaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevFastEma = fastEmaValue;
		_prevSlowEma = slowEmaValue;
	}
}