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Larry Connors 3 Day High Low Strategy

实现 Larry Connors 的“三日高低”均值回归策略。

逻辑

  • 满足以下条件时买入：
    • 收盘价高于长期SMA；
    • 收盘价低于短期SMA；
    • 最近三根K线的高点和低点连续下降。
  • 当收盘价再次上穿短期SMA时平仓。

参数

  • Long MA Length —— 长期SMA周期（默认200）
  • Short MA Length —— 短期SMA周期（默认5）
  • Candle Type —— 使用的K线类型
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>
/// Larry Connors 3 Day High/Low strategy.
/// Buys after three consecutive lower highs and lows below a short moving average while price is above a long moving average.
/// Exits when price crosses above the short moving average.
/// </summary>
public class LarryConnors3DayHighLowStrategy : Strategy
{
	private readonly StrategyParam<int> _longMaLength;
	private readonly StrategyParam<int> _shortMaLength;
	private readonly StrategyParam<int> _maxEntries;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private SMA _longSma;
	private SMA _shortSma;

	private int _barCount;
	private decimal _high1;
	private decimal _high2;
	private decimal _high3;
	private decimal _low1;
	private decimal _low2;
	private decimal _low3;
	private int _entriesExecuted;
	private int _barsSinceSignal;

	/// <summary>
	/// Long moving average period.
	/// </summary>
	public int LongMaLength
	{
		get => _longMaLength.Value;
		set => _longMaLength.Value = value;
	}

	/// <summary>
	/// Short moving average period.
	/// </summary>
	public int ShortMaLength
	{
		get => _shortMaLength.Value;
		set => _shortMaLength.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </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 bars between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public LarryConnors3DayHighLowStrategy()
	{
		_longMaLength = Param(nameof(LongMaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Long MA Length", "Period of the long moving average", "General")

			.SetOptimize(20, 100, 10);

		_shortMaLength = Param(nameof(ShortMaLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Short MA Length", "Period of the short moving average", "General")
			
			.SetOptimize(3, 10, 1);

		_maxEntries = Param(nameof(MaxEntries), 35)
			.SetGreaterThanZero()
			.SetDisplay("Max Entries", "Maximum entries per run", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Bars", "Minimum bars between orders", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_longSma = null;
		_shortSma = null;
		_barCount = 0;
		_high1 = _high2 = _high3 = 0m;
		_low1 = _low2 = _low3 = 0m;
		_entriesExecuted = 0;
		_barsSinceSignal = 0;
	}

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

		_longSma = new SMA { Length = LongMaLength };
		_shortSma = new SMA { Length = ShortMaLength };
		_entriesExecuted = 0;
		_barsSinceSignal = CooldownBars;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_longSma, _shortSma, ProcessCandle)
			.Start();

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

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

		_barsSinceSignal++;

		if (_longSma.IsFormed && _shortSma.IsFormed && _barCount >= 3)
		{
			// Exit: close long when price crosses above short MA
			if (candle.ClosePrice > shortMa && Position > 0)
			{
				SellMarket(Math.Abs(Position));
				_barsSinceSignal = 0;
			}
			// Entry: buy after 3 consecutive lower highs/lows, close below short MA, above long MA
			else if (_barsSinceSignal >= CooldownBars && Position <= 0 && _entriesExecuted < MaxEntries)
			{
				var aboveLongMa = candle.ClosePrice > longMa;
				var belowShortMa = candle.ClosePrice < shortMa;
				var lowerHighsLows3 = _high2 < _high3 && _low2 < _low3;
				var lowerHighsLows2 = _high1 < _high2 && _low1 < _low2;
				var lowerHighsLows1 = candle.HighPrice < _high1 && candle.LowPrice < _low1;

				if (aboveLongMa && belowShortMa && lowerHighsLows3 && lowerHighsLows2 && lowerHighsLows1)
				{
					BuyMarket(Volume + Math.Abs(Position));
					_entriesExecuted++;
					_barsSinceSignal = 0;
				}
			}
		}

		_barCount++;
		_high3 = _high2;
		_high2 = _high1;
		_high1 = candle.HighPrice;

		_low3 = _low2;
		_low2 = _low1;
		_low1 = candle.LowPrice;
	}
}