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Horizontal Ray 策略

在 SMA 交叉点绘制水平射线，并按交叉方向交易。

细节

  • 入场条件：SMA20 上穿 SMA50 做多，下穿做空。
  • 多空：双向。
  • 出场条件：相反交叉。
  • 止损：否。
  • 默认值：
    • FastLength = 20
    • SlowLength = 50
    • CandleType = 5 分钟
  • 过滤器：
    • 类别: Drawing
    • 方向: 双向
    • 指标: SMA
    • 止损: 否
    • 复杂度: 初级
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 低
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>
/// Demonstrates drawing horizontal rays on SMA crosses.
/// </summary>
public class HorizontalRayStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public HorizontalRayStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast SMA length", "General");

		_slowLength = Param(nameof(SlowLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow SMA length", "General");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new SimpleMovingAverage { Length = FastLength };
		var slow = new SimpleMovingAverage { Length = SlowLength };

		_prevFast = 0;
		_prevSlow = 0;

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

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

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

		if (_prevFast == 0)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

		if (crossUp && Position <= 0)
			BuyMarket();
		else if (crossDown && Position >= 0)
			SellMarket();

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}