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Narrow Range 策略

该策略在出现内部K线后交易突破，当当前K线范围比 Length 个周期前的参考K线更窄时触发。在参考K线的高点和低点放置止损单，止盈为参考范围，止损为该范围的百分比。

细节

  • 入场条件：
    • 多头：窄幅K线后价格上破参考高点
    • 空头：窄幅K线后价格下破参考低点
  • 方向：双向
  • 出场条件：
    • 在参考范围处止盈
    • 以参考范围百分比作为止损
  • 止损：是
  • 默认值：
    • Length = 4
    • StopLossPercent = 0.35m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 筛选：
    • 类型：Breakout
    • 方向：双向
    • 指标：无
    • 止损：是
    • 复杂度：基础
    • 时间框架：短期
    • 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.BusinessEntities;
using StockSharp.Messages;
namespace StockSharp.Samples.Strategies;
public class NarrowRangeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public NarrowRangeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = 40 };
		var rsi = new RelativeStrengthIndex { Length = 14 };
		var prevF = 0m; var prevS = 0m; var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(120);
		var sub = SubscribeCandles(CandleType);
		sub.Bind(fast, slow, rsi, (c, f, s, r) =>
		{
			if (c.State != CandleStates.Finished || !fast.IsFormed || !slow.IsFormed || !rsi.IsFormed) return;
			if (!init) { prevF = f; prevS = s; init = true; return; }
			if (c.OpenTime - lastSignal >= cooldown)
			{
				if (prevF <= prevS && f > s && r > 50 && Position <= 0) { BuyMarket(); lastSignal = c.OpenTime; }
				else if (prevF >= prevS && f < s && r < 50 && Position > 0) { SellMarket(); lastSignal = c.OpenTime; }
			}
			prevF = f; prevS = s;
		}).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, sub); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}
}