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时间框架策略

基于 EMA 交叉并结合时间过滤的策略。

测试表明年均收益约为 31%。该策略在加密市场表现最佳。

当快速 EMA 上穿慢速 EMA 且长期趋势向上时买入；相反信号时做空。交易时间限制与 ADX 过滤用于避开低动能阶段。风险通过百分比止盈和止损控制。

详情

  • 入场条件:
    • 多头: EMA9 上穿 EMA20 且 EMA50 高于 EMA200。
    • 空头: EMA9 下破 EMA20 且 EMA50 低于 EMA200。
  • 多空方向: 双向
  • 退出条件:
    • 多头: 止损或止盈
    • 空头: 止损或止盈
  • 止损: 支持，可选追踪
  • 默认值:
    • TakeProfitPercent = 1.5
    • StopLossPercent = 1.0
    • TrailingPercent = 0.5
    • StartHour = 15
    • EndHour = 20
    • CooldownBars = 5
  • 过滤器:
    • 类别: 趋势跟随
    • 方向: 双向
    • 指标: EMA, RSI, ADX
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 短期
    • 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>
/// Timeframe strategy using EMA crossover.
/// </summary>
public class TimeframeStrategy : 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 TimeframeStrategy()
	{
		_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); }
	}
}