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Liquid Pulse Strategy

该策略检测由 MACD 和 ADX 确认的高成交量激增。ATR 定义止损和止盈，并限制每日交易次数。

细节

  • 入场条件:
    • 多头：成交量激增，MACD 上穿信号线，+DI > -DI，ADX ≥ 阈值
    • 空头：成交量激增，MACD 下穿信号线，-DI > +DI，ADX ≥ 阈值
  • 方向：双向
  • 出场条件：基于 ATR 的止损或止盈
  • 止损：ATR 倍数
  • 默认值：
    • VolumeSensitivity = Medium
    • MacdSpeed = Medium
    • DailyTradeLimit = 20
    • AtrPeriod = 9
    • AdxTrendThreshold = 41
  • 筛选：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：MACD、ADX、ATR、成交量
    • 止损：是
    • 复杂度：中等
    • 周期：中期
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：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;

/// <summary>
/// Liquid Pulse strategy.
/// Detects high volume spikes confirmed by MACD and ADX.
/// ATR defines stop and take profit; limits trades per day.
/// </summary>
public class LiquidPulseStrategy : Strategy
{
	public enum VolumeSensitivityLevels { Low, Medium, High }
	public enum MacdSpeedOptions { Fast, Medium, Slow }

	private readonly StrategyParam<VolumeSensitivityLevels> _volumeSensitivity;
	private readonly StrategyParam<MacdSpeedOptions> _macdSpeed;
	private readonly StrategyParam<int> _dailyTradeLimit;
	private readonly StrategyParam<int> _adxTrendThreshold;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private MovingAverageConvergenceDivergenceSignal _macd;
	private AverageDirectionalIndex _adx;
	private AverageTrueRange _atr;
	private SimpleMovingAverage _volSma;

	private decimal _prevMacd, _prevSignal, _entryPrice, _stop, _tp;
	private DateTime _day;
	private int _dailyTrades;
	private int _volLookback;
	private decimal _volThreshold;

	public VolumeSensitivityLevels VolumeSensitivity { get => _volumeSensitivity.Value; set => _volumeSensitivity.Value = value; }
	public MacdSpeedOptions MacdSpeed { get => _macdSpeed.Value; set => _macdSpeed.Value = value; }
	public int DailyTradeLimit { get => _dailyTradeLimit.Value; set => _dailyTradeLimit.Value = value; }
	public int AdxTrendThreshold { get => _adxTrendThreshold.Value; set => _adxTrendThreshold.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LiquidPulseStrategy()
	{
		_volumeSensitivity = Param(nameof(VolumeSensitivity), VolumeSensitivityLevels.Medium)
			.SetDisplay("Volume Sensitivity", "Volume sensitivity", "General");
		_macdSpeed = Param(nameof(MacdSpeed), MacdSpeedOptions.Medium)
			.SetDisplay("MACD Speed", "MACD speed", "General");
		_dailyTradeLimit = Param(nameof(DailyTradeLimit), 20)
			.SetDisplay("Daily Trade Limit", "Max trades per day", "Risk");
		_adxTrendThreshold = Param(nameof(AdxTrendThreshold), 20)
			.SetDisplay("ADX Trend Threshold", "Trend threshold", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 9)
			.SetDisplay("ATR Period", "ATR period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");
	}

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

		_prevMacd = 0m;
		_prevSignal = 0m;
		_entryPrice = 0m;
		_stop = 0m;
		_tp = 0m;
		_day = default;
		_dailyTrades = 0;
		_volLookback = 0;
		_volThreshold = 0m;

		_macd = null;
		_adx = null;
		_atr = null;
		_volSma = null;
	}

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

		_prevMacd = _prevSignal = 0m;
		_entryPrice = _stop = _tp = 0m;
		_day = default;
		_dailyTrades = 0;

		(_volLookback, _volThreshold) = VolumeSensitivity switch
		{
			VolumeSensitivityLevels.Low => (30, 1.5m),
			VolumeSensitivityLevels.Medium => (20, 1.2m),
			_ => (11, 1.0m)
		};
		_volSma = new SMA { Length = _volLookback };

		var (fast, slow, signal) = MacdSpeed switch
		{
			MacdSpeedOptions.Fast => (2, 7, 5),
			MacdSpeedOptions.Medium => (5, 13, 9),
			_ => (12, 26, 9)
		};
		_macd = new()
		{
			Macd = { ShortMa = { Length = fast }, LongMa = { Length = slow } },
			SignalMa = { Length = signal }
		};
		_adx = new() { Length = 14 };
		_atr = new() { Length = AtrPeriod };

		var sub = SubscribeCandles(CandleType);
		sub.BindEx(_macd, _adx, _atr, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue macdVal, IIndicatorValue adxVal, IIndicatorValue atrVal)
	{
		if (candle.State != CandleStates.Finished || !macdVal.IsFinal || !adxVal.IsFinal || !atrVal.IsFinal)
			return;

		var day = candle.OpenTime.Date;
		if (day != _day)
		{
			_day = day;
			_dailyTrades = 0;
		}

		// Volume spike detection
		var volInput = new DecimalIndicatorValue(_volSma, candle.TotalVolume, candle.ServerTime) { IsFinal = true };
		var avgVolResult = _volSma.Process(volInput);
		var avgVol = avgVolResult.IsEmpty ? 0m : avgVolResult.ToDecimal();
		var highVol = avgVol > 0m && candle.TotalVolume >= _volThreshold * avgVol;

		if (macdVal is not IMovingAverageConvergenceDivergenceSignalValue macdTyped)
			return;
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		if (adxVal is not IAverageDirectionalIndexValue adxTyped)
			return;
		if (adxTyped.MovingAverage is not decimal adx)
			return;
		if (adxTyped.Dx is not IDirectionalIndexValue dxVal)
			return;
		if (dxVal.Plus is not decimal plusDi || dxVal.Minus is not decimal minusDi)
			return;

		var atr = atrVal.IsEmpty ? 0m : atrVal.ToDecimal();

		var bull = _prevMacd <= _prevSignal && macd > signal && plusDi > minusDi && adx >= AdxTrendThreshold;
		var bear = _prevMacd >= _prevSignal && macd < signal && minusDi > plusDi && adx >= AdxTrendThreshold;

		// Check stops/TP for existing position
		if (Position > 0 && _stop > 0 && (candle.LowPrice <= _stop || candle.HighPrice >= _tp))
		{
			SellMarket(Math.Abs(Position));
			_entryPrice = _stop = _tp = 0m;
		}
		else if (Position < 0 && _stop > 0 && (candle.HighPrice >= _stop || candle.LowPrice <= _tp))
		{
			BuyMarket(Math.Abs(Position));
			_entryPrice = _stop = _tp = 0m;
		}

		if (highVol && _dailyTrades < DailyTradeLimit && atr > 0)
		{
			if (bull && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_entryPrice = candle.ClosePrice;
				_stop = _entryPrice - atr * 1.5m;
				_tp = _entryPrice + atr * 2m;
				_dailyTrades++;
			}
			else if (bear && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_entryPrice = candle.ClosePrice;
				_stop = _entryPrice + atr * 1.5m;
				_tp = _entryPrice - atr * 2m;
				_dailyTrades++;
			}
		}

		_prevMacd = macd;
		_prevSignal = signal;
	}
}