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MOC Delta MOO Entry v2 Reverse 策略

该策略是 MOC Delta MOO Entry 的反向版本。在下午 14:50–14:55 期间统计买卖量差，并将其保存为当日成交量的百分比。次日 08:30 若该百分比超过阈值，则按相反方向开仓，并使用两条移动平均线过滤。仓位通过基于 tick 的止盈/止损或在 14:50 平仓。

细节

  • 入场条件：
    • 多头：08:30 时保存的差值百分比低于 -DeltaThreshold，且开盘价高于 SMA15 与 SMA30，并且 SMA15 高于 SMA30。
    • 空头：08:30 时保存的差值百分比高于 DeltaThreshold，且开盘价低于 SMA15 与 SMA30，并且 SMA15 低于 SMA30。
  • 多空方向：双向。
  • 出场条件：
    • 基于 tick 的止盈和止损。
    • 14:50 平掉所有仓位。
  • 止损：
    • TpTicks = 20 tick 止盈。
    • SlTicks = 10 tick 止损。
  • 默认值：
    • DeltaThreshold = 2
    • TpTicks = 20
    • SlTicks = 10
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame().
  • 筛选：
    • 类型: 成交量
    • 方向: 双向
    • 指标: SMA
    • 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
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Reverse strategy based on aggregated volume delta windows.
/// </summary>
public class MocDeltaMooEntryV2ReverseStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _deltaWindow;
	private readonly StrategyParam<decimal> _deltaThresholdPercent;
	private readonly StrategyParam<int> _signalCooldownBars;

	private decimal _windowBuyVolume;
	private decimal _windowSellVolume;
	private int _windowBarCount;
	private int _barsFromSignal;

	/// <summary>
	/// Candle timeframe.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Number of bars per delta window.
	/// </summary>
	public int DeltaWindow
	{
		get => _deltaWindow.Value;
		set => _deltaWindow.Value = value;
	}

	/// <summary>
	/// Absolute delta percent needed to trigger a reversal.
	/// </summary>
	public decimal DeltaThresholdPercent
	{
		get => _deltaThresholdPercent.Value;
		set => _deltaThresholdPercent.Value = value;
	}

	/// <summary>
	/// Minimum bars between entries.
	/// </summary>
	public int SignalCooldownBars
	{
		get => _signalCooldownBars.Value;
		set => _signalCooldownBars.Value = value;
	}

	public MocDeltaMooEntryV2ReverseStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
		_deltaWindow = Param(nameof(DeltaWindow), 24)
			.SetGreaterThanZero()
			.SetDisplay("Delta Window", "Bars per delta calculation window", "General");
		_deltaThresholdPercent = Param(nameof(DeltaThresholdPercent), 12m)
			.SetGreaterThanZero()
			.SetDisplay("Delta Threshold %", "Minimum delta percent for reversal", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 16)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_windowBuyVolume = 0m;
		_windowSellVolume = 0m;
		_windowBarCount = 0;
		_barsFromSignal = 0;
	}

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

		_windowBuyVolume = 0m;
		_windowSellVolume = 0m;
		_windowBarCount = 0;
		_barsFromSignal = SignalCooldownBars;

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (candle.ClosePrice > candle.OpenPrice)
			_windowBuyVolume += candle.TotalVolume;
		else if (candle.ClosePrice < candle.OpenPrice)
			_windowSellVolume += candle.TotalVolume;
		else
		{
			_windowBuyVolume += candle.TotalVolume * 0.5m;
			_windowSellVolume += candle.TotalVolume * 0.5m;
		}

		_windowBarCount++;
		_barsFromSignal++;

		if (_windowBarCount < DeltaWindow)
			return;

		var totalVolume = _windowBuyVolume + _windowSellVolume;
		var deltaPercent = totalVolume > 0m
			? (_windowBuyVolume - _windowSellVolume) / totalVolume * 100m
			: 0m;

		var reverseSignal = 0;
		if (deltaPercent > DeltaThresholdPercent)
			reverseSignal = -1;
		else if (deltaPercent < -DeltaThresholdPercent)
			reverseSignal = 1;

		if (_barsFromSignal >= SignalCooldownBars && reverseSignal != 0)
		{
			if (reverseSignal > 0 && Position <= 0)
			{
				var volume = Volume + Math.Abs(Position);
				BuyMarket(volume);
				_barsFromSignal = 0;
			}
			else if (reverseSignal < 0 && Position >= 0)
			{
				var volume = Volume + Math.Abs(Position);
				SellMarket(volume);
				_barsFromSignal = 0;
			}
		}

		_windowBuyVolume = 0m;
		_windowSellVolume = 0m;
		_windowBarCount = 0;
	}
}