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Long Explosive V1 策略

当收盘价相对上一根K线上涨达到设定百分比时，Long Explosive V1 开多。若价格下跌超过设定百分比或在新多单前，平掉持仓。

详情

  • 入场条件：
    • 多头：Close - PrevClose > Close * Price increase (%) / 100。
  • 多/空方向：仅做多。
  • 出场条件：Close - PrevClose < -Close * Price decrease (%) / 100 或新多单之前。
  • 止损：无。
  • 默认值：
    • Price increase (%) = 1
    • Price decrease (%) = 1
  • 筛选器：
    • 类别：动量
    • 方向：多
    • 指标：价格
    • 止损：无
    • 复杂度：低
    • 时间框架：任意
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：低
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Explosive strategy that enters positions on strong price moves.
/// Goes long on sharp increases and short on sharp decreases.
/// </summary>
public class LongExplosiveV1Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _priceIncreasePercent;
	private readonly StrategyParam<decimal> _priceDecreasePercent;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _previousClose;
	private int _barsSinceSignal;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public decimal PriceIncreasePercent
	{
		get => _priceIncreasePercent.Value;
		set => _priceIncreasePercent.Value = value;
	}

	public decimal PriceDecreasePercent
	{
		get => _priceDecreasePercent.Value;
		set => _priceDecreasePercent.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public LongExplosiveV1Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
		_priceIncreasePercent = Param(nameof(PriceIncreasePercent), 0.5m)
			.SetDisplay("Price increase (%)", "Percentage increase to go long", "General");
		_priceDecreasePercent = Param(nameof(PriceDecreasePercent), 0.5m)
			.SetDisplay("Price decrease (%)", "Percentage decrease to go short", "General");
		_cooldownBars = Param(nameof(CooldownBars), 20)
			.SetDisplay("Cooldown Bars", "Min bars between signals", "General");
	}

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

		_previousClose = 0;
		_barsSinceSignal = 0;
	}

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

		_previousClose = 0;
		_barsSinceSignal = 0;

		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;

		_barsSinceSignal++;

		if (_previousClose == 0)
		{
			_previousClose = candle.ClosePrice;
			return;
		}

		var change = (candle.ClosePrice - _previousClose) / _previousClose * 100m;
		_previousClose = candle.ClosePrice;

		if (_barsSinceSignal < CooldownBars)
			return;

		// Strong increase -> go long
		if (change > PriceIncreasePercent && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}
		// Strong decrease -> go short
		else if (change < -PriceDecreasePercent && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}
	}
}