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甘氏拉普拉斯混合VSA

该策略将甘氏风格的趋势滤波与拉普拉斯平滑的成交量价差分析（VSA）结合使用。VSA 值通过价格差与K线范围之比乘以成交量计算，再通过 EMA 平滑。当平滑后的 VSA 与价格相对于趋势均线的方向一致时入场。

详情

  • 入场条件:
    • 多头: 平滑 VSA > 0 且收盘价高于趋势均线。
    • 空头: 平滑 VSA < 0 且收盘价低于趋势均线。
  • 多空方向: 双向。
  • 出场条件:
    • 多头: 平滑 VSA 变为负值。
    • 空头: 平滑 VSA 变为正值。
  • 止损: 使用 StartProtection。
  • 默认参数:
    • Trend Period = 20
    • VSA Smoothing = 14
    • Candle Type = 15m
  • 过滤器:
    • 类型: 趋势跟随
    • 方向: 双向
    • 指标: MA, 成交量
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 中期
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;

public class GannLaplaceSmoothedHybridVsaStrategy : 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 GannLaplaceSmoothedHybridVsaStrategy()
	{
		_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");
	}

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

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

	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;
	}
}