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Gold Pullback Strategy

Gold Pullback Strategy 是一种趋势策略。当价格在上升趋势中回调至 EMA21 且 MACD 与 TDI 同时看多时做多；当价格在下降趋势中回调至 EMA21 且 MACD 与 TDI 看空时做空。每笔交易的止盈和止损以信号蜡烛为基准，距离相等并加上一个偏移。

细节

  • 数据: 价格K线。
  • 入场条件:
    • 多头: EMA14 高于 EMA60，K线触及 EMA21，MACD 线高于信号线，TDI MA 高于 TDI 信号且 RSI 高于 50。
    • 空头: EMA14 低于 EMA60，K线触及 EMA21，MACD 线低于信号线，TDI MA 低于 TDI 信号且 RSI 低于 50。
  • 离场条件: 触发等距的止损或止盈。
  • 止损: Offset = 0.1 加到 K 线的最低/最高价。
  • 默认参数:
    • EmaFastLength = 14
    • EmaSlowLength = 60
    • EmaPullbackLength = 21
    • SlOffset = 0.1
  • 过滤器:
    • 类型: 趋势跟随
    • 方向: 多空皆可
    • 指标: EMA, MACD, RSI, SMA
    • 复杂度: 中等
    • 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;

public class GoldPullbackStrategy : 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 GoldPullbackStrategy()
	{
		_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;
	}
}