中文 ZH
在 GitHub 上查看

内部柱强度 IBS 策略

当内部柱强度（IBS）低于下限阈值并且在指定时间窗口内时，本策略做多；当 IBS 高于上限阈值时平仓。

细节

  • 入场条件：
    • IBS < LowerThreshold
    • 时间在 StartTime 与 EndTime 之间
  • 多空方向：仅做多
  • 出场条件：
    • IBS >= UpperThreshold
  • 止损：无
  • 默认值：
    • UpperThreshold = 0.8
    • LowerThreshold = 0.2
  • 过滤器：
    • 分类: Mean reversion
    • 方向: Long
    • 指标: None
    • 止损: No
    • 复杂度: Low
    • 时间框架: Any
    • 季节性: No
    • 神经网络: No
    • 背离: No
    • 风险等级: Low
using System;
using System.Collections.Generic;
using Ecng.Common;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;



/// <summary>
/// Internal bar strength mean reversion strategy.
/// </summary>
public class InternalBarStrengthIbsStrategy : Strategy
{
	private readonly StrategyParam<decimal> _upperThreshold;
	private readonly StrategyParam<decimal> _lowerThreshold;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DateTimeOffset> _startTime;
	private readonly StrategyParam<DateTimeOffset> _endTime;

	/// <summary>
	/// IBS value to exit position.
	/// </summary>
	public decimal UpperThreshold { get => _upperThreshold.Value; set => _upperThreshold.Value = value; }

	/// <summary>
	/// IBS value to enter long.
	/// </summary>
	public decimal LowerThreshold { get => _lowerThreshold.Value; set => _lowerThreshold.Value = value; }

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>
	/// Start time for signals.
	/// </summary>
	public DateTimeOffset StartTime { get => _startTime.Value; set => _startTime.Value = value; }

	/// <summary>
	/// End time for signals.
	/// </summary>
	public DateTimeOffset EndTime { get => _endTime.Value; set => _endTime.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="InternalBarStrengthIbsStrategy"/>.
	/// </summary>
	public InternalBarStrengthIbsStrategy()
	{
		_upperThreshold = Param(nameof(UpperThreshold), 0.8m)
			.SetRange(0m, 1m)
			.SetDisplay("Upper Threshold", "IBS value to exit position", "Parameters")
			;

		_lowerThreshold = Param(nameof(LowerThreshold), 0.2m)
			.SetRange(0m, 1m)
			.SetDisplay("Lower Threshold", "IBS value to enter long", "Parameters")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_startTime = Param(nameof(StartTime), new DateTimeOffset(2014, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Start Time", "Start time for strategy", "Time");

		_endTime = Param(nameof(EndTime), new DateTimeOffset(2099, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("End Time", "End time for strategy", "Time");
	}

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

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

		StartProtection(null, null);

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

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

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

		var time = candle.OpenTime;

		var range = candle.HighPrice - candle.LowPrice;
		if (range == 0)
			return;

		var ibs = (candle.ClosePrice - candle.LowPrice) / range;

		var inWindow = time >= StartTime && time <= EndTime;

		if (inWindow && ibs < LowerThreshold && Position <= 0)
			BuyMarket();

		if (Position > 0 && ibs >= UpperThreshold)
			SellMarket();
	}
}