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MAM Crossover Trader Strategy

策略对比蜡烛的收盘价和开盘价的简单移动平均线。 当收盘SMA从下向上穿越开盘SMA并且前两根K线确认该突破时开多；反向形态开空。出现反向信号时关闭已有仓位。固定的止损和止盈用于风险控制。

详情

  • 入场条件：最近两根K线的SMA(close) 与 SMA(open) 交叉模式。
  • 多空方向：双向。
  • 出场条件：反向交叉或保护性止损。
  • 止损：有。
  • 默认参数：
    • MaPeriod = 20
    • StopLossTicks = 40
    • TakeProfitTicks = 190
    • CandleType = TimeSpan.FromMinutes(1)
  • 过滤器：
    • 分类：趋势
    • 方向：双向
    • 指标：SMA
    • 止损：固定
    • 复杂度：基础
    • 时间框架：日内（1分）
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险级别：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>
/// MAM crossover using SMA of close prices with different periods.
/// </summary>
public class MamCrossoverTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevDiff;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MamCrossoverTraderStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast SMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow SMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevDiff = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fastSma = new SimpleMovingAverage { Length = FastPeriod };
		var slowSma = new SimpleMovingAverage { Length = SlowPeriod };

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

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

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

		var diff = fast - slow;
		var crossUp = _prevDiff <= 0 && diff > 0;
		var crossDown = _prevDiff >= 0 && diff < 0;
		_prevDiff = diff;

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