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QQQ 策略 v2 ESL easy-peasy-x

该策略通过主移动平均线的突破并结合趋势过滤来交易QQQ。当收盘价上穿主均线且均线向上并且价格高于长期趋势均线时买入；当收盘价下穿主均线且均线向下并且价格低于短期趋势均线时做空。

Details

  • Entry Criteria:
    • Long: 收盘价上穿主均线、均线向上、价格高于长趋势均线。
    • Short: 收盘价下穿主均线、均线向下、价格低于短趋势均线。
  • Long/Short: 两者。
  • Exit Criteria: 反向信号。
  • Stops: 无。
  • Default Values:
    • Main MA Length = 200
    • Trend Long Length = 100
    • Trend Short Length = 50
  • Filters:
    • Category: 趋势跟随
    • Direction: 双向
    • Indicators: 移动平均线
    • Stops: 无
    • Complexity: 中等
    • Timeframe: 中期
    • Seasonality: 否
    • Neural networks: 否
    • Divergence: 否
    • Risk level: 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>
/// QQQ v2 ESL easy peasy strategy using EMA crossover.
/// </summary>
public class QqqV2EslEasyPeasyXStrategy : 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 QqqV2EslEasyPeasyXStrategy()
	{
		_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);
		}
	}
}