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Pure Price Action Breakout with 1:5 RR 策略

Pure Price Action Breakout with 1:5 RR 策略利用两条 EMA 的交叉，并通过 RSI 和成交量确认。止损基于 ATR，止盈为风险的五倍。

详情

  • 入场条件:
    • 多头: 快速 EMA 上穿慢速 EMA，RSI > 50，成交量高于 20 期 SMA。
    • 空头: 快速 EMA 下穿慢速 EMA，RSI < 50，成交量高于 20 期 SMA。
  • 方向: 双向。
  • 出场条件:
    • 基于 ATR 的止损以及 1:5 风险回报止盈。
  • 止损: 止损 = 1.5 × ATR，止盈 = 5 × 风险。
  • 默认参数:
    • FastPeriod = 9
    • SlowPeriod = 21
    • RsiPeriod = 14
    • AtrPeriod = 14
    • VolumePeriod = 20
    • StopLossFactor = 1.5
    • RiskRewardRatio = 5
    • MaxTradesPerDay = 5
  • 过滤器:
    • 分类: 突破
    • 方向: 双向
    • 指标: EMA, RSI, ATR, 成交量 SMA
    • 止损: ATR 止损, 1:5 止盈
    • 复杂度: 低
    • 时间框架: 5m 或 15m
    • 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>
/// Pure price action breakout strategy using EMA crossover.
/// </summary>
public class PurePriceActionBreakoutWith15RRStrategy : 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 PurePriceActionBreakoutWith15RRStrategy()
	{
		_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);
		}
	}
}