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隔夜高波动加密策略

该策略在高波动的夜间入场做多，并在午夜前平仓。波动率通过指定周期的对数收益标准差计算，并与历史波动率的中位数比较。

细节

  • 入场条件：
    • 启用 UseVolatilityFilter 时：currentHour == EntryHour && highVolatility
    • 关闭过滤器时：currentHour == EntryHour
  • 多空方向：多头
  • 止损：无
  • 默认参数：
    • VolatilityPeriodDays = 30
    • MedianPeriodDays = 208
    • EntryHour = 21
    • ExitHour = 23
    • UseVolatilityFilter = true
    • CandleType = TimeSpan.FromHours(1).TimeFrame()
  • 过滤器：
    • 类别：时间
    • 方向：多头
    • 指标：StandardDeviation，Median
    • 止损：否
    • 复杂度：初级
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：低
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

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

	private DateTime _currentDay;
	private bool _tradeTakenToday;

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

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

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

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

		_currentDay = default;
		_tradeTakenToday = 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;
					_tradeTakenToday = false;
				}

				if (_tradeTakenToday)
					return;

				var hour = candle.OpenTime.Hour;

				// Buy at 20:00, only once per day
				if (hour == 20 && Position <= 0 && candle.ClosePrice > smaVal)
				{
					BuyMarket();
					_tradeTakenToday = true;
				}
				// Sell at 8:00, only once per day
				else if (hour == 8 && Position >= 0 && candle.ClosePrice < smaVal)
				{
					SellMarket();
					_tradeTakenToday = true;
				}
			})
			.Start();

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