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开盘区间突破策略

该策略构建开盘区间，并在价格突破区间高低点时进行交易。开盘区间结束后，如果区间宽度超过收盘价的一定百分比，则在区间边界准备止损单。头寸的止损和止盈基于区间大小。可选择每天只进行一次初始交易，亏损交易可以反向。所有头寸在会话结束时平仓。

细节

  • 入场条件：
    • 做多：价格突破区间高点。
    • 做空：价格跌破区间低点。
  • 多空方向：双向。
  • 出场条件：
    • 基于区间的止损或止盈。
    • 会话结束平仓。
  • 止损：有。
  • 默认值：
    • 开盘区间 = 09:30–10:15。
    • 收盘时间 = 15:45。
    • MinRangePercent = 0.35。
    • RewardRisk = 1.1。
    • Retrace = 0.5。
  • 过滤器：
    • 类别: 突破
    • 方向: 双向
    • 指标: 价格
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内
using System;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

public class OpeningRangeBreakout2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _orHigh;
	private decimal _orLow;
	private bool _tradeTakenToday;
	private bool _wasInOr;
	private DateTime _currentDay;
	private bool _orEstablished;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public OpeningRangeBreakout2Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_orHigh = 0;
		_orLow = 0;
		_tradeTakenToday = false;
		_wasInOr = false;
		_currentDay = default;
		_orEstablished = false;
	}

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

		_orHigh = 0;
		_orLow = 0;
		_tradeTakenToday = false;
		_wasInOr = false;
		_currentDay = default;
		_orEstablished = false;

		var sma = new SimpleMovingAverage { Length = 20 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, (candle, smaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!sma.IsFormed)
					return;

				var day = candle.OpenTime.Date;
				if (_currentDay != day)
				{
					_currentDay = day;
					_orHigh = 0;
					_orLow = 0;
					_tradeTakenToday = false;
					_orEstablished = false;
				}

				var hour = candle.OpenTime.TimeOfDay.TotalHours;
				var inOr = hour >= 0 && hour < 1;

				if (inOr)
				{
					_orHigh = _orHigh > 0 ? Math.Max(_orHigh, candle.HighPrice) : candle.HighPrice;
					_orLow = _orLow > 0 ? Math.Min(_orLow, candle.LowPrice) : candle.LowPrice;
				}

				if (_wasInOr && !inOr && _orHigh > 0 && _orLow > 0)
				{
					var range = _orHigh - _orLow;
					if (range > 0)
						_orEstablished = true;
				}

				// Only one entry per day, no exit logic (just entry)
				if (!_tradeTakenToday && _orEstablished && !inOr)
				{
					if (candle.ClosePrice > _orHigh && candle.ClosePrice > smaVal && Position <= 0)
					{
						BuyMarket();
						_tradeTakenToday = true;
					}
					else if (candle.ClosePrice < _orLow && candle.ClosePrice < smaVal && Position >= 0)
					{
						SellMarket();
						_tradeTakenToday = true;
					}
				}

				_wasInOr = inOr;
			})
			.Start();

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