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Martin Strategy - No Loss Exit V3

该马丁加仓策略在价格从首单下跌指定百分比时继续做多，并按系数增加投入金额，重新计算平均成本。当蜡烛最高价达到平均成本加上止盈百分比时平仓，从而确保只在盈利时退出。

详情

  • 入场条件:
    • 多头: 空仓 → 按 Initial Cash 买入
    • 加仓: Price <= EntryPrice * (1 - PriceStep% * orderCount) 且 orderCount < MaxOrders
  • 多空方向: 仅多头
  • 出场条件:
    • High >= AvgPrice * (1 + TakeProfit%)
  • 止损: 无
  • 默认值:
    • Initial Cash = 100
    • Max Orders = 20
    • Price Step % = 1.5
    • Take Profit % = 1
    • Increase Factor = 1.05
  • 筛选:
    • 类别: 补仓
    • 方向: 多头
    • 指标: 无
    • 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: 高
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;

public class MartinNoLossExitV3Strategy : Strategy
{
	private readonly StrategyParam<decimal> _priceStepPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _increaseFactor;
	private readonly StrategyParam<int> _maxOrders;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;

	private ExponentialMovingAverage _ema;
	private decimal _entryPrice;
	private decimal _totalCost;
	private decimal _totalQty;
	private decimal _lastCash;
	private int _orderCount;
	private bool _inPosition;

	public decimal PriceStepPercent { get => _priceStepPercent.Value; set => _priceStepPercent.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public decimal IncreaseFactor { get => _increaseFactor.Value; set => _increaseFactor.Value = value; }
	public int MaxOrders { get => _maxOrders.Value; set => _maxOrders.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MartinNoLossExitV3Strategy()
	{
		_priceStepPercent = Param(nameof(PriceStepPercent), 2.5m);
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2.5m);
		_increaseFactor = Param(nameof(IncreaseFactor), 1.10m);
		_maxOrders = Param(nameof(MaxOrders), 8);
		_emaLength = Param(nameof(EmaLength), 50);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ema = null;
		_entryPrice = 0m;
		_totalCost = 0m;
		_totalQty = 0m;
		_lastCash = 0m;
		_orderCount = 0;
		_inPosition = false;
	}

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

		_entryPrice = 0m;
		_totalCost = 0m;
		_totalQty = 0m;
		_lastCash = 0m;
		_orderCount = 0;
		_inPosition = false;
		_ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_ema, ProcessCandle).Start();
	}

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

		if (!_ema.IsFormed)
			return;

		var initialCash = 100m;

		if (_inPosition)
		{
			var avgPrice = _totalQty > 0m ? _totalCost / _totalQty : 0m;
			var takeProfitPrice = avgPrice * (1 + TakeProfitPercent / 100m);

			if (candle.HighPrice >= takeProfitPrice && Position > 0)
			{
				SellMarket();
				_inPosition = false;
				_entryPrice = 0m;
				_totalCost = 0m;
				_totalQty = 0m;
				_lastCash = 0m;
				_orderCount = 0;
				return;
			}

			var nextEntryPrice = _entryPrice * (1 - PriceStepPercent / 100m * _orderCount);
			if (_orderCount < MaxOrders && candle.ClosePrice <= nextEntryPrice)
			{
				BuyMarket();
				var newCash = _lastCash * IncreaseFactor;
				_totalCost += newCash;
				_totalQty += newCash / candle.ClosePrice;
				_lastCash = newCash;
				_orderCount++;
			}
		}
		else
		{
			if (candle.ClosePrice > ema)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_totalCost = initialCash;
				_totalQty = initialCash / candle.ClosePrice;
				_lastCash = initialCash;
				_orderCount = 1;
				_inPosition = true;
			}
		}
	}
}