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MFS三蜡烛形态策略

该策略在下跌趋势中寻找由三根蜡烛组成的看涨反转序列。它检测一根大阳线作为“点火”蜡烛，随后出现一根较小的回调阴线，最后是收盘价高于回调高点的确认阳线。趋势过滤要求长周期SMA>中周期SMA>短周期SMA，并且点火蜡烛的收盘价低于短期SMA。

当形态出现时策略开多仓，并在点火蜡烛的最低价设置止损，同时根据指定的风险回报比设置止盈。

详情

  • 入场条件：点火、回调和确认蜡烛，在下行趋势中。
  • 多空方向：仅做多。
  • 出场条件：点火最低价止损或风险回报比止盈。
  • 止损止盈：是，包含止损与止盈。
  • 默认值：
    • CandleType = 15 分钟
    • SmaShortLength = 20
    • SmaMedLength = 50
    • SmaLongLength = 200
    • IgniteMultiplier = 3
    • MaxPullbackSize = 0.33
    • MinConfirmationSize = 0.33
    • RiskReward = 2
  • 筛选：
    • 类别：形态
    • 方向：做多
    • 指标：蜡烛图、移动平均
    • 止损：是
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中等
using System;
using System.Linq;
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 Mfs3BarsPatternStrategy : Strategy
{
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<decimal> _riskReward;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _sma;
	private ICandleMessage _prev1;
	private ICandleMessage _prev2;
	private decimal _stopPrice;
	private decimal _takePrice;
	private int _barsFromSignal;

	public int SmaLength { get => _smaLength.Value; set => _smaLength.Value = value; }
	public decimal RiskReward { get => _riskReward.Value; set => _riskReward.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public Mfs3BarsPatternStrategy()
	{
		_smaLength = Param(nameof(SmaLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("SMA Length", "SMA period", "General");
		_riskReward = Param(nameof(RiskReward), 2.5m)
			.SetGreaterThanZero()
			.SetDisplay("Risk Reward", "Target reward to risk ratio", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 50)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_sma = null;
		_prev1 = null;
		_prev2 = null;
		_stopPrice = 0m;
		_takePrice = 0m;
		_barsFromSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_sma = new SimpleMovingAverage { Length = SmaLength };
		_prev1 = null;
		_prev2 = null;
		_stopPrice = 0;
		_takePrice = 0;
		_barsFromSignal = SignalCooldownBars;

		var dummyEma = new ExponentialMovingAverage { Length = 10 };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_sma, dummyEma, ProcessCandle).Start();
	}

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

		if (!_sma.IsFormed || _prev1 == null || _prev2 == null)
		{
			_prev2 = _prev1;
			_prev1 = candle;
			return;
		}

		// 3-bar pattern: big bullish bar, small pullback, bullish confirmation
		var bar1Bullish = _prev2.ClosePrice > _prev2.OpenPrice;
		var bar1Body = Math.Abs(_prev2.ClosePrice - _prev2.OpenPrice);
		var bar2Bearish = _prev1.ClosePrice < _prev1.OpenPrice;
		var bar2Body = Math.Abs(_prev1.ClosePrice - _prev1.OpenPrice);
		var bar3Bullish = candle.ClosePrice > candle.OpenPrice;
		var bodyPercent = candle.ClosePrice > 0m ? bar1Body / candle.ClosePrice * 100m : 0m;
		var strongBar1 = bodyPercent >= 0.05m;
		var confirmation = candle.ClosePrice > _prev1.HighPrice;

		var pattern = bar1Bullish && strongBar1 && bar2Bearish && bar2Body < bar1Body * 0.5m && bar3Bullish && confirmation;
		_barsFromSignal++;

		if (_barsFromSignal >= SignalCooldownBars && pattern && Position == 0)
		{
			BuyMarket();
			_stopPrice = _prev2.LowPrice;
			_takePrice = candle.ClosePrice + (candle.ClosePrice - _stopPrice) * RiskReward;
			_barsFromSignal = 0;
		}

		if (Position > 0)
		{
			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takePrice)
				SellMarket();
		}

		_prev2 = _prev1;
		_prev1 = candle;
	}
}