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Chande Kroll Trend 策略

该策略利用 Chande Kroll 停损和 SMA 趋势过滤器。当收盘价上穿下方停损并高于 SMA 时做多。收盘价跌破上方停损时平仓。仓位大小根据 1560 根K线中的最低收盘价和风险倍数计算。

细节

  • 入场条件：
    • 多头：前一收盘 <= 前一低停损 && 收盘 > 低停损 && 收盘 > SMA
  • 方向：仅做多
  • 出场条件：
    • 多头：收盘 < 高停损
  • 止损：Chande Kroll 停损（Donchian 极值 ± ATR）
  • 默认值：
    • CalcMode = CalcMode.Exponential
    • RiskMultiplier = 5m
    • AtrPeriod = 10
    • AtrMultiplier = 3m
    • StopLength = 21
    • SmaLength = 21
    • CandleType = TimeSpan.FromHours(1).TimeFrame()
  • 筛选：
    • 类型：Trend
    • 方向：Long
    • 指标：ATR, Donchian, SMA, Lowest
    • 止损：有
    • 复杂度：Beginner
    • 时间框架：Mid-term
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：Medium
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>
/// ChandeKrollTrendStrategy using EMA crossover for trend timing.
/// Enters long on golden cross, short on death cross.
/// </summary>
public class ChandeKrollTrendStrategy : 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 ChandeKrollTrendStrategy()
	{
		_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", "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();
		_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;
		}

		if (_prevFastEma <= _prevSlowEma && fastEmaValue > slowEmaValue && Position <= 0)
		{
			BuyMarket();
		}
		else if (_prevFastEma >= _prevSlowEma && fastEmaValue < slowEmaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevFastEma = fastEmaValue;
		_prevSlowEma = slowEmaValue;
	}
}