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VRS Vegas Reversal Strategy

基于K线影线的反转策略。

测试显示年化收益约37%，在加密货币市场表现最好。

系统寻找相对于收盘价的较大影线。较长的下影线触发做多，较长的上影线触发做空。价格向有利方向移动两倍影线长度时平仓。

详情

  • 入场条件：
    • 做多：下影线 ≥ Spike% * close 且没有上影线。
    • 做空：上影线 ≥ Spike% * close 且没有下影线。
  • 多空方向：双向。
  • 出场条件：目标价 = 入场价 ± (影线 * 2)。
  • 止损：无。
  • 默认值：
    • SpikePercent = 0.025
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤条件：
    • 类型：反转
    • 方向：双向
    • 指标：Price action
    • 止损：无
    • 复杂度：基础
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：高
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Vegas Reversal strategy based on spike percentage.
/// Enters long on large lower wick and short on large upper wick.
/// Exits when price moves twice the spike length in favor.
/// </summary>
public class VrsVegasReversalStrategy : Strategy
{
    private readonly StrategyParam<decimal> _spikePercent;
    private readonly StrategyParam<DataType> _candleType;

    private decimal _entryPrice;
    private decimal _spikeSize;
    private bool _isLong;

    /// <summary>
    /// Spike percentage relative to close price.
    /// </summary>
    public decimal SpikePercent
    {
	get => _spikePercent.Value;
	set => _spikePercent.Value = value;
    }

    /// <summary>
    /// Candle type for calculations.
    /// </summary>
    public DataType CandleType
    {
	get => _candleType.Value;
	set => _candleType.Value = value;
    }

    /// <summary>
    /// Initializes a new instance of <see cref="VrsVegasReversalStrategy"/>.
    /// </summary>
    public VrsVegasReversalStrategy()
    {
	_spikePercent = Param(nameof(SpikePercent), 0.025m)
	    .SetGreaterThanZero()
	    .SetDisplay("Spike %", "Spike percentage threshold", "Reversal")
	    
	    .SetOptimize(0.01m, 0.05m, 0.005m);

	_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
	    .SetDisplay("Candle Type", "Type of candles", "General");
    }

    /// <inheritdoc />
    public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
    {
	return [(Security, CandleType)];
    }

    /// <inheritdoc />
    protected override void OnReseted()
    {
	base.OnReseted();
	_entryPrice = 0;
	_spikeSize = 0;
	_isLong = false;
    }

    /// <inheritdoc />
    protected override void OnStarted2(DateTime time)
    {
	base.OnStarted2(time);
	Volume = NormalizeVolume(1m);

	var subscription = SubscribeCandles(CandleType);
	subscription
	    .Bind(ProcessCandle)
	    .Start();

	var area = CreateChartArea();
	if (area != null)
	{
	    DrawCandles(area, subscription);
	    DrawOwnTrades(area);
	}
    }

    private void ProcessCandle(ICandleMessage candle)
    {
	if (candle.State != CandleStates.Finished)
	    return;

	var upperSpike = candle.HighPrice - Math.Max(candle.ClosePrice, candle.OpenPrice);
	var lowerSpike = Math.Min(candle.ClosePrice, candle.OpenPrice) - candle.LowPrice;

	var validUpper = upperSpike >= candle.ClosePrice * SpikePercent;
	var validLower = lowerSpike >= candle.ClosePrice * SpikePercent;
	var valid = (validUpper && !validLower) || (validLower && !validUpper);

	var enterLong = valid && validLower;
	var enterShort = valid && validUpper;

	if (enterLong && Position <= 0)
	{
	    _entryPrice = candle.ClosePrice;
	    _spikeSize = lowerSpike;
	    _isLong = true;
	    BuyMarket(NormalizeVolume(Volume + Math.Abs(Position)));
	}
	else if (enterShort && Position >= 0)
	{
	    _entryPrice = candle.ClosePrice;
	    _spikeSize = upperSpike;
	    _isLong = false;
	    SellMarket(NormalizeVolume(Volume + Math.Abs(Position)));
	}

	if (Position > 0 && _isLong)
	{
	    var target = _entryPrice + _spikeSize * 2m;
	    if (candle.ClosePrice >= target)
		SellMarket(Position);
	}
	else if (Position < 0 && !_isLong)
	{
	    var target = _entryPrice - _spikeSize * 2m;
	    if (candle.ClosePrice <= target)
		BuyMarket(-Position);
	}
    }

    private decimal NormalizeVolume(decimal volume)
    {
	var step = Security?.VolumeStep ?? 1m;
	if (step <= 0m)
	    step = 1m;

	var minimum = Security?.MinVolume ?? step;
	if (volume < minimum)
	    volume = minimum;

	var rounded = Math.Ceiling(volume / step) * step;
	return rounded < minimum ? minimum : rounded;
    }
}