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OBVious MA 策略

当 OBV 上穿其多头进入均线时，策略开多；当 OBV 下穿多头退出均线时平多。OBV 下穿空头进入均线时开空，在其上穿空头退出均线时平空。方向过滤器可仅启用多头或仅启用空头。

细节

  • 入场条件:
    • 多头: OBV 上穿多头进入均线且方向不是 "Short"。
    • 空头: OBV 下穿空头进入均线且方向不是 "Long"。
  • 多/空: 都可
  • 出场条件:
    • 多头: OBV 下穿多头退出均线。
    • 空头: OBV 上穿空头退出均线。
  • 止损: 无。
  • 默认值:
    • LongEntryLength = 190
    • LongExitLength = 202
    • ShortEntryLength = 395
    • ShortExitLength = 300
    • TradeDirection = "Long"
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 都可
    • 指标: OBV, SMA
    • 止损: 无
    • 复杂度: 基础
    • 时间框架: 任意
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 低
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 ObviousMaStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ObviousMaStrategy()
	{
		_fastLength = Param(nameof(FastLength), 20).SetGreaterThanZero();
		_slowLength = Param(nameof(SlowLength), 50).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(120);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, (candle, f, s) =>
			{
				if (candle.State != CandleStates.Finished || !fast.IsFormed || !slow.IsFormed)
					return;

				if (!init)
				{
					prevF = f;
					prevS = s;
					init = true;
					return;
				}

				if (candle.OpenTime - lastSignal >= cooldown)
				{
					if (prevF <= prevS && f > s && Position <= 0)
					{
						BuyMarket();
						lastSignal = candle.OpenTime;
					}
					else if (prevF >= prevS && f < s && Position > 0)
					{
						SellMarket();
						lastSignal = candle.OpenTime;
					}
				}

				prevF = f;
				prevS = s;
			})
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fast);
			DrawIndicator(area, slow);
			DrawOwnTrades(area);
		}
	}
}