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PercentX Trend Follower

基于 Trendoscope 的 PercentX Trend Follower 策略。

该策略通过选择的通道（Keltner 或 Bollinger）计算价格与中线的距离，构建振荡器，当振荡器突破动态区间时开仓，ATR 用于止损。

细节

  • 入场条件：振荡器上穿上区间做多，下破下区间做空。
  • 多空方向：双向。
  • 出场条件：基于 ATR 的止损。
  • 止损：初始 ATR 止损。
  • 默认值：
    • BandType = Keltner
    • MaLength = 40
    • LoopbackPeriod = 80
    • OuterLoopback = 80
    • UseInitialStop = true
    • AtrLength = 14
    • TrendMultiplier = 1
    • ReverseMultiplier = 3
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器：
    • 分类: Trend
    • 方向: Both
    • 指标: BollingerBands, KeltnerChannels, ATR, Highest, Lowest
    • 止损: ATR
    • 复杂度: 中等
    • 时间框架: 日内 (5m)
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 中等
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Percent-X trend follower using Bollinger Bands oscillator with ATR stops.
/// </summary>
public class PercentXTrendFollowerStrategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _reverseMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	public int MaLength { get => _maLength.Value; set => _maLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal ReverseMultiplier { get => _reverseMultiplier.Value; set => _reverseMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public PercentXTrendFollowerStrategy()
	{
		_maLength = Param(nameof(MaLength), 40);
		_atrLength = Param(nameof(AtrLength), 14);
		_reverseMultiplier = Param(nameof(ReverseMultiplier), 3m);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = MaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(600);

		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(fast, slow, atr, (candle, fVal, sVal, atrVal) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (!fast.IsFormed || !slow.IsFormed || !atr.IsFormed)
				return;

			var f = fVal.IsFormed ? fVal.ToDecimal() : 0m;
			var s = sVal.IsFormed ? sVal.ToDecimal() : 0m;

			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);
		}
	}
}