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发薪异常策略

该策略在每月选定的日期（1日、2日、16日和31日）开多头仓位，并在下一天平仓。

细节

  • 入场条件：
    • 多头：在选定的日期开多头。
  • 多空方向：仅多头。
  • 出场条件：
    • 在非选定日期平掉多头仓位。
  • 止损：无。
  • 默认值：
    • Trade1st = true。
    • Trade2nd = true。
    • Trade16th = true。
    • Trade31st = true。
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()。
  • 筛选：
    • 类型: 季节性
    • 方向: 多头
    • 指标: 无
    • 止损: 无
    • 复杂度: 基础
    • 时间框架: 日线
    • 季节性: 是
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 低
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Payday anomaly strategy.
/// Opens long positions on selected days of the month and closes on other days.
/// </summary>
public class PaydayAnomaly2Strategy : Strategy
{
	private readonly StrategyParam<bool> _trade1st;
	private readonly StrategyParam<bool> _trade2nd;
	private readonly StrategyParam<bool> _trade16th;
	private readonly StrategyParam<bool> _trade31st;
	private readonly StrategyParam<DataType> _candleType;

	private bool _tradeOpened;

	/// <summary>
	/// Trade on the 1st day of the month.
	/// </summary>
	public bool Trade1st
	{
		get => _trade1st.Value;
		set => _trade1st.Value = value;
	}

	/// <summary>
	/// Trade on the 2nd day of the month.
	/// </summary>
	public bool Trade2nd
	{
		get => _trade2nd.Value;
		set => _trade2nd.Value = value;
	}

	/// <summary>
	/// Trade on the 16th day of the month.
	/// </summary>
	public bool Trade16th
	{
		get => _trade16th.Value;
		set => _trade16th.Value = value;
	}

	/// <summary>
	/// Trade on the 31st day of the month.
	/// </summary>
	public bool Trade31st
	{
		get => _trade31st.Value;
		set => _trade31st.Value = value;
	}

	/// <summary>
	/// Candle type used for strategy calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="PaydayAnomalyStrategy"/> class.
	/// </summary>
	public PaydayAnomaly2Strategy()
	{
		_trade1st = Param(nameof(Trade1st), true)
			.SetDisplay("Trade 1st", "Trade on the 1st day", "General")
			;

		_trade2nd = Param(nameof(Trade2nd), true)
			.SetDisplay("Trade 2nd", "Trade on the 2nd day", "General")
			;

		_trade16th = Param(nameof(Trade16th), true)
			.SetDisplay("Trade 16th", "Trade on the 16th day", "General")
			;

		_trade31st = Param(nameof(Trade31st), true)
			.SetDisplay("Trade 31st", "Trade on the 31st day", "General")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

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

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

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

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

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

		var day = candle.OpenTime.Day;
		var isTargetDay = (day == 1 && Trade1st)
			|| (day == 2 && Trade2nd)
			|| (day == 16 && Trade16th)
			|| (day == 31 && Trade31st);

		if (isTargetDay && !_tradeOpened && Position <= 0)
		{
			BuyMarket();
			_tradeOpened = true;
		}
		else if (!isTargetDay && _tradeOpened && Position > 0)
		{
			SellMarket();
			_tradeOpened = false;
		}
	}
}