中文 ZH
在 GitHub 上查看

价格收敛策略

该策略通过比较上涨和下跌蜡烛的 OHLC4 值之和来估计价格上涨或下跌的概率。当上涨概率超过 50% 时开多仓，当下跌概率超过 50% 时开空仓。

测试显示年化收益约为 37%，在加密货币市场表现最佳。

策略可以使用全部历史数据，也可以使用由 Range 参数指定的滚动窗口。每根蜡烛的 OHLC4 值用于加权上涨和下跌的贡献。

详情

  • 入场条件：上涨概率大于 50% 开多仓，下跌概率大于 50% 开空仓。
  • 多空方向：双向。
  • 离场条件：出现反向信号。
  • 止损：无。
  • 默认参数：
    • FullHistory = true
    • Range = 200
    • CandleType = 1 minute
  • 筛选条件：
    • 分类：统计
    • 方向：双向
    • 指标：自定义
    • 止损：无
    • 复杂度：基础
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 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>
/// Price convergence strategy using EMA crossover.
/// </summary>
public class PriceConvergenceStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

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

	public PriceConvergenceStrategy()
	{
		_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()
		=> [(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);
		}
	}
}