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Ride Alligator 策略

Ride Alligator 策略使用三个移动平均线，即 Alligator 指标。当嘴唇线从下向上穿过下颚线且牙齿线位于下颚线下方时开多仓；当嘴唇线从上向下穿过下颚线且牙齿线在下颚线上方时开空仓。开仓后使用下颚线作为跟踪止损。

细节

  • 入场条件:
    • 多头: Lips > Jaws && Teeth < Jaws && previous Lips < previous Jaws
    • 空头: Lips < Jaws && Teeth > Jaws && previous Lips > previous Jaws
  • 多头/空头: 双向
  • 出场条件:
    • 多头: price <= Jaws
    • 空头: price >= Jaws
  • 止损: 下颚线跟踪止损
  • 默认值:
    • AlligatorPeriod = 5
    • MaType = MovingAverageTypeEnum.Weighted
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • 过滤器:
    • 类别: 趋势跟随
    • 方向: 双向
    • 指标: Alligator
    • 止损: 是
    • 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: 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>
/// Ride Alligator strategy using SMMA jaw/teeth/lips crossover.
/// </summary>
public class RideAlligatorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevJaw;
	private decimal _prevLips;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevJaw = 0;
		_prevLips = 0;
		_hasPrev = false;
	}

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

		var jaw = new SmoothedMovingAverage { Length = 13 };
		var teeth = new SmoothedMovingAverage { Length = 8 };
		var lips = new SmoothedMovingAverage { Length = 5 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(jaw, teeth, lips, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal jaw, decimal teeth, decimal lips)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_hasPrev)
		{
			_prevJaw = jaw;
			_prevLips = lips;
			_hasPrev = true;
			return;
		}

		// Lips crosses above jaw -> buy
		if (_prevLips <= _prevJaw && lips > jaw && teeth < jaw)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		// Lips crosses below jaw -> sell
		else if (_prevLips >= _prevJaw && lips < jaw && teeth > jaw)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
		}

		// Exit on price crossing jaw
		if (Position > 0 && candle.ClosePrice < jaw)
			SellMarket();
		else if (Position < 0 && candle.ClosePrice > jaw)
			BuyMarket();

		_prevJaw = jaw;
		_prevLips = lips;
	}
}