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Risk to Reward Fixed SL Backtester 策略

当收盘价等于设定值时进入多头。止损基于ATR或一定周期内的最低价，止盈由风险回报比或固定百分比计算。达到目标后可将止损移到保本位。

细节

  • 入场条件：收盘价等于 DealStartValue
  • 多空方向：多头
  • 出场条件：止盈或止损（可选保本）
  • 止损：ATR 或 最低价，带保本
  • 默认值：
    • DealStartValue = 100
    • UseRiskToReward = true
    • RiskToRewardRatio = 1.5
    • StopLossType = Atr
    • AtrFactor = 1.4
    • PivotLookback = 8
    • FixedTp = 0.015
    • FixedSl = 0.015
    • UseBreakEven = true
    • BreakEvenRr = 1.0
    • BreakEvenPercent = 0.001
  • 过滤器：
    • 类别: 趋势
    • 方向: 多头
    • 指标: ATR, Lowest
    • 止损: 有
    • 复杂度: 基础
    • 周期: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 中
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>
/// Risk to reward fixed SL backtester strategy using EMA crossover.
/// </summary>
public class RiskToRewardFixedSlBacktesterStrategy : 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 RiskToRewardFixedSlBacktesterStrategy()
	{
		_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");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	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); }
	}
}