中文 ZH
在 GitHub 上查看

伦敦突破经典策略

该策略利用亚洲时段的高低点构建区间，在伦敦时段突破时入场。00:00 至 06:55 UTC 的最高价和最低价形成箱体。07:00 UTC 之后，价格突破上沿则做多，突破下沿则做空。止损设在箱体中点，止盈按可调的风险回报比计算。

细节

  • 入场条件:
    • 多头：价格突破亚洲时段高点。
    • 空头：价格跌破亚洲时段低点。
  • 出场条件:
    • 止损或止盈。
    • 交易窗口结束。
  • 止损: 有。
  • 默认值:
    • 亚洲时段：00:00–06:55 UTC。
    • 交易时段：07:00–16:00 UTC。
    • CRV = 1。
  • 过滤器:
    • 类型：突破
    • 方向：双向
    • 指标：无
    • 止损：有
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：中等
using System;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// London session breakout strategy using Highest/Lowest channels.
/// </summary>
public class LondonBreakOutClassicStrategy : Strategy
{
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private Highest _highest;
	private Lowest _lowest;
	private decimal _prevHigh;
	private decimal _prevLow;
	private int _barsSinceSignal;

	public int ChannelLength { get => _channelLength.Value; set => _channelLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public LondonBreakOutClassicStrategy()
	{
		_channelLength = Param(nameof(ChannelLength), 20)
			.SetDisplay("Channel Length", "Period for breakout channel", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
		_cooldownBars = Param(nameof(CooldownBars), 20)
			.SetDisplay("Cooldown Bars", "Min bars between signals", "General");
	}

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

		_highest = null;
		_lowest = null;
		_prevHigh = 0;
		_prevLow = 0;
		_barsSinceSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_highest = new Highest { Length = ChannelLength };
		_lowest = new Lowest { Length = ChannelLength };
		_prevHigh = 0;
		_prevLow = 0;
		_barsSinceSignal = 0;

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

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

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

		_barsSinceSignal++;

		if (!_highest.IsFormed || !_lowest.IsFormed)
		{
			_prevHigh = highVal;
			_prevLow = lowVal;
			return;
		}

		if (_barsSinceSignal < CooldownBars)
		{
			_prevHigh = highVal;
			_prevLow = lowVal;
			return;
		}

		// Breakout above channel high
		if (candle.ClosePrice > _prevHigh && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}
		// Breakout below channel low
		else if (candle.ClosePrice < _prevLow && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}

		_prevHigh = highVal;
		_prevLow = lowVal;
	}
}