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Pullback Pro Dow 策略

该策略利用道氏理论的枢轴点确定趋势方向，并在 EMA 回调时结合 ADX 趋势强度过滤入场。系统在两个风险回报目标处分批止盈。

回测显示，在如 US30 等指数期货上表现稳定。

详情

  • 入场条件：
    • 多头：形成更高高点和更高低点，最低价下穿 EMA，且 ADX 高于阈值
    • 空头：形成更低高点和更低低点，最高价上穿 EMA，且 ADX 高于阈值
  • 多空：双向
  • 出场条件：止损设在最后一个枢轴点，两档风险回报目标止盈
  • 止损：基于枢轴点
  • 默认值：
    • PivotLookback = 10
    • EmaLength = 21
    • RiskReward1 = 1.5m
    • Tp1Percent = 50
    • RiskReward2 = 3m
    • UseAdxFilter = true
    • AdxLength = 14
    • AdxThreshold = 25m
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • 过滤器：
    • 类型：趋势跟随
    • 方向：双向
    • 指标：EMA，Average Directional Index
    • 止损：有
    • 复杂度：中等
    • 周期：短期
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险级别：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>
/// Pullback Pro Dow strategy using EMA crossover.
/// </summary>
public class PullbackProDowStrategy : 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 PullbackProDowStrategy()
	{
		_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);
		}
	}
}