中文 ZH
在 GitHub 上查看

Premarket Gap MomoTrader 策略

该策略专注于盘前跳空动量。当当前K线相对前一收盘涨幅达到设定百分比、出现强烈的多头实体且成交量充足时，策略在可选的盘前时段内做多。仓位大小依据实体所占幅度动态调整。

进场后，只要后续K线继续收阳且成交量增加，仓位保持。第一根阴线或成交量不再放大时平仓。策略每天只允许一笔交易。

细节

  • 入场条件：
    • 当前K线相对前收涨幅 ≥ MinGainPct。
    • K线收阳且 Volume > MinVolume。
    • 实体比例 ≥90% → 100%仓位，≥85% → 50%，≥75% → 25%。
    • 若 UseSession 为真，则限制在 04:00–09:30 盘前时段。
  • 出场条件：
    • 入场后首根阴线或成交量未继续放大。
  • 止损：无。
  • 默认值：
    • MinGainPct = 5
    • MinVolume = 15000
    • UseSession = true
  • 过滤器：
    • 类型：动量
    • 方向：多头
    • 指标：无
    • 止损：无
    • 复杂度：中等
    • 周期：日内
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>
/// Premarket Gap MomoTrader strategy using EMA crossover.
/// </summary>
public class PremarketGapMomoTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

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

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

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "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);
		}
	}
}