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Power Hour Money 策略

该策略在所选纽约交易时段运行，只有当月、周、日和小时K线同向时才开仓。 当所有这些周期的收盘价高于开盘价时做多； 当它们全部收盘价低于开盘价时做空。 可选的跟踪止损用于保护利润，并可在16:45自动平仓。

细节

  • 入场：所有周期为绿色时做多，全部为红色时做空。
  • 交易时段过滤：纽约 9:30-11:30，扩展时段 8:00-16:00 或不限制。
  • 跟踪止损：多空各自的百分比设置。
  • 收盘：可选择在16:45全部平仓。
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>
/// Power Hour Money strategy.
/// EMA crossover with RSI filter.
/// </summary>
public class PowerHourMoneyStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Slow EMA length.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// The type of candles used for trading.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance.
	/// </summary>
	public PowerHourMoneyStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Base candle series", "General");
	}

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

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

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowLength };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

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

				if (!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);
		}
	}
}