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CVD Divergence Volume HMA RSI MACD 策略

该策略结合 Hull 移动平均线、RSI、MACD、成交量过滤器以及累积成交量差 (CVD) 的背离来寻找趋势机会。

当 HMA20 高于 HMA50、RSI 表现出多头动能、MACD 柱状图上升、成交量高于其均值且 CVD 形成看涨背离或上升时开多；做空条件相反。

详情

  • 入场条件：
    • 多头：HMA20 > HMA50 且价格高于 HMA20；RSI 介于 40 和 RsiOverbought；MACD 线在信号线上方且柱状图上升；成交量 > SMA * VolumeMultiplier；CVD 看涨背离或上升。
    • 空头：HMA20 < HMA50 且价格低于 HMA20；RSI 介于 RsiOversold 和 60；MACD 线在信号线下方且柱状图下降；成交量 > SMA * VolumeMultiplier；CVD 看跌背离或下降。
  • 多空方向：双向。
  • 离场条件：
    • 多头：价格跌破 HMA20 或 RSI > RsiOverbought 或 MACD 线下穿信号线。
    • 空头：价格突破 HMA20 或 RSI < RsiOversold 或 MACD 线上穿信号线。
  • 止损：无。
  • 默认参数：
    • Hma20Length = 20
    • Hma50Length = 50
    • RsiLength = 14
    • RsiOverbought = 70
    • RsiOversold = 30
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • VolumeMaLength = 20
    • VolumeMultiplier = 1.5
    • CvdLength = 14
    • DivergenceLookback = 5
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选：
    • 分类：混合
    • 方向：双向
    • 指标：HMA、RSI、MACD、成交量、CVD
    • 止损：无
    • 复杂度：高级
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：是
    • 风险等级：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>
/// CvdDivergenceVolumeHmaRsiMacdStrategy using EMA crossover for trend timing.
/// Enters long on golden cross, short on death cross.
/// </summary>
public class CvdDivergenceVolumeHmaRsiMacdStrategy : 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 CvdDivergenceVolumeHmaRsiMacdStrategy()
	{
		_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;
	}
}