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LANZ Strategy 3.0

LANZ Strategy 3.0 交易亚洲区间突破。方向在纽约时间01:15–02:15的决策窗口确定，在区间高或低放置限价单并设置基于斐波那契的止盈和止损。若到02:15订单未成交，策略可能反向；未成交的订单在08:00取消，所有持仓于15:45平仓。

细节

  • 入场条件：
    • 决策窗口后突破亚洲区间高点或低点。
  • 方向：多空双向。
  • 出场条件：
    • 斐波那契止盈或止损。
    • 所有持仓在15:45 NY 平仓。
  • 止损：斐波那契倍数。
  • 默认参数：
    • UseOptimizedFibo = true
  • 过滤器：
    • 类型：突破
    • 方向：双向
    • 指标：无
    • 止损：是
    • 复杂度：高
    • 时间框架：任意
    • 季节性：是
    • 神经网络：否
    • 背离：否
    • 风险等级：中
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>
/// LANZ Strategy 3.0 trades breakouts of the Asian range using Fibonacci targets.
/// </summary>
public class Lanz30BacktestStrategy : Strategy
{
	private readonly StrategyParam<bool> _useOptimizedFibo;
	private readonly StrategyParam<int> _maxEntries;
	private readonly StrategyParam<int> _cooldownDays;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _refHigh;
	private decimal _refLow;
	private bool _rangeSession;

	private decimal? _entryPrice;
	private decimal? _tp;
	private decimal? _sl;
	private bool _directionDefined;
	private bool _isBuy;
	private bool _tradeExecuted;
	private bool _tradeExpired;
	private bool _orderSent;
	private decimal _lastClose;
	private int _entriesExecuted;
	private DateTime _nextTradeDate;

	/// <summary>
	/// Use optimized Fibonacci coefficients.
	/// </summary>
	public bool UseOptimizedFibo { get => _useOptimizedFibo.Value; set => _useOptimizedFibo.Value = value; }

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

	/// <summary>
	/// Maximum entries per run.
	/// </summary>
	public int MaxEntries { get => _maxEntries.Value; set => _maxEntries.Value = value; }

	/// <summary>
	/// Minimum number of days between entries.
	/// </summary>
	public int CooldownDays { get => _cooldownDays.Value; set => _cooldownDays.Value = value; }

	/// <summary>
	/// Initializes a new instance of <see cref="Lanz30BacktestStrategy"/>.
	/// </summary>
	public Lanz30BacktestStrategy()
	{
		_useOptimizedFibo = Param(nameof(UseOptimizedFibo), true)
			.SetDisplay("Use Optimized Fibo", "Use optimized Fibonacci coefficients", "General");

		_maxEntries = Param(nameof(MaxEntries), 20)
			.SetGreaterThanZero()
			.SetDisplay("Max Entries", "Maximum entries per run", "Risk");

		_cooldownDays = Param(nameof(CooldownDays), 2)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Days", "Minimum days between entries", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();

		_refHigh = _refLow = 0m;
		_rangeSession = false;
		_entryPrice = _tp = _sl = null;
		_directionDefined = false;
		_isBuy = false;
		_tradeExecuted = false;
		_tradeExpired = false;
		_orderSent = false;
		_lastClose = 0m;
		_entriesExecuted = 0;
		_nextTradeDate = DateTime.MinValue;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_entriesExecuted = 0;
		_nextTradeDate = DateTime.MinValue;

		var dummyEma1 = new ExponentialMovingAverage { Length = 10 };
		var dummyEma2 = new ExponentialMovingAverage { Length = 20 };
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(dummyEma1, dummyEma2, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal d1, decimal d2)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var t = candle.OpenTime;

		var rangeSession = t.TimeOfDay >= new TimeSpan(9, 30, 0) && t.TimeOfDay < new TimeSpan(11, 0, 0);
		var newSession = rangeSession && !_rangeSession;
		_rangeSession = rangeSession;

		if (newSession)
		{
			_refHigh = candle.HighPrice;
			_refLow = candle.LowPrice;
			_entryPrice = _tp = _sl = null;
			_directionDefined = false;
			_isBuy = false;
			_tradeExecuted = false;
			_tradeExpired = false;
			_orderSent = false;
		}
		else if (rangeSession)
		{
			_refHigh = Math.Max(_refHigh, candle.HighPrice);
			_refLow = Math.Min(_refLow, candle.LowPrice);
		}

		var decisionWindow = t.TimeOfDay >= new TimeSpan(11, 0, 0) && t.TimeOfDay < new TimeSpan(12, 0, 0);
		var entryWindow = t.TimeOfDay >= new TimeSpan(11, 0, 0) && t.TimeOfDay < new TimeSpan(15, 0, 0);
		var expireWindow = t.TimeOfDay >= new TimeSpan(15, 0, 0) && t.TimeOfDay < new TimeSpan(15, 5, 0);
		var fallbackTime = t.Hour == 12 && t.Minute == 0;
		var closeTime = t.Hour == 15 && t.Minute == 45;

		if (decisionWindow && !_directionDefined)
		{
			var fiboRange = _refHigh - _refLow;
			var asiaMid = (_refHigh + _refLow) / 2m;
			_isBuy = candle.ClosePrice < asiaMid;
			_entryPrice = _isBuy ? _refLow : _refHigh;

			if (UseOptimizedFibo)
			{
				_tp = _isBuy ? _refLow + 1.95m * fiboRange : _refHigh - 1.95m * fiboRange;
				_sl = _isBuy ? _refLow - 0.65m * fiboRange : _refHigh + 0.65m * fiboRange;
			}
			else
			{
				_tp = _isBuy ? _refLow + 2.25m * fiboRange : _refHigh - 2.25m * fiboRange;
				_sl = _isBuy ? _refLow - 0.75m * fiboRange : _refHigh + 0.75m * fiboRange;
			}

			_directionDefined = true;
		}

		if (_directionDefined && entryWindow && !_tradeExecuted && !_orderSent && !_tradeExpired && _entriesExecuted < MaxEntries && t.Date >= _nextTradeDate && _entryPrice is decimal price)
		{
			if (_isBuy)
				BuyMarket();
			else
				SellMarket();

			_orderSent = true;
			_tradeExecuted = true;
			_entriesExecuted++;
			_nextTradeDate = t.Date.AddDays(CooldownDays);
		}

		if (!_tradeExecuted && Position != 0)
		_tradeExecuted = true;

		if (expireWindow && !_tradeExecuted && !_tradeExpired)
		{
			_tradeExpired = true;
		}

		if (_tradeExecuted && _tp is decimal tp && _sl is decimal sl)
		{
			if (Position > 0)
			{
				if (candle.LowPrice <= sl)
				SellMarket();
				else if (candle.HighPrice >= tp)
				SellMarket();
			}
			else if (Position < 0)
			{
				if (candle.HighPrice >= sl)
				BuyMarket();
				else if (candle.LowPrice <= tp)
				BuyMarket();
			}
		}

		if (closeTime && _tradeExecuted)
		{
			if (Position > 0)
				SellMarket();
			else if (Position < 0)
				BuyMarket();
		}

		_lastClose = candle.ClosePrice;
	}
}