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抛物线SAR警报策略

该策略监控抛物线SAR（Stop and Reverse）指标以识别趋势反转。当SAR值从价格上方翻到下方时，被视为看涨信号并开多单；当SAR从价格下方翻到上方时，则开空单。

默认加速因子0.02和最大加速0.2为经典设置，控制SAR靠近价格的速度。较高的数值会使指标反应更快，但可能带来更多虚假信号。策略只处理已完成的K线，并保存前一个SAR和收盘价，以在不访问历史值的情况下确定交叉。

策略默认没有止损或止盈，仅在出现相反信号时平仓。如有需要，可以启用框架提供的保护机制。

细节

  • 入场条件：Parabolic SAR与收盘价交叉。
  • 多头/空头：两者。
  • 出场条件：相反信号。
  • 止损：未定义。
  • 默认值：
    • InitialAcceleration = 0.02
    • MaxAcceleration = 0.2
    • CandleType = 5 分钟
  • 过滤器：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：Parabolic SAR
    • 止损：可选
    • 复杂度：基础
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：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>
/// Parabolic SAR Alert Strategy.
/// Opens long or short positions when Parabolic SAR flips relative to price.
/// </summary>
public class ParabolicSarAlertStrategy : Strategy
{
	private readonly StrategyParam<decimal> _initialAcceleration;
	private readonly StrategyParam<decimal> _maxAcceleration;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevSar;
	private decimal _prevClose;
	private bool _initialized;

	public decimal InitialAcceleration { get => _initialAcceleration.Value; set => _initialAcceleration.Value = value; }
	public decimal MaxAcceleration { get => _maxAcceleration.Value; set => _maxAcceleration.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ParabolicSarAlertStrategy()
	{
		_initialAcceleration = Param(nameof(InitialAcceleration), 0.02m)
			.SetDisplay("Initial Acceleration", "Initial acceleration factor for Parabolic SAR", "SAR Settings");
		_maxAcceleration = Param(nameof(MaxAcceleration), 0.2m)
			.SetDisplay("Max Acceleration", "Maximum acceleration factor for Parabolic SAR", "SAR Settings");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevSar = 0;
		_prevClose = 0;
		_initialized = false;
	}

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

		var parabolicSar = new ParabolicSar
		{
			Acceleration = InitialAcceleration,
			AccelerationMax = MaxAcceleration
		};

		SubscribeCandles(CandleType)
			.Bind(parabolicSar, ProcessCandle)
			.Start();
	}

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

		if (!_initialized)
		{
			_prevSar = sarValue;
			_prevClose = candle.ClosePrice;
			_initialized = true;
			return;
		}

		var crossUp = _prevSar > _prevClose && sarValue < candle.ClosePrice;
		var crossDown = _prevSar < _prevClose && sarValue > candle.ClosePrice;

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

		_prevSar = sarValue;
		_prevClose = candle.ClosePrice;
	}
}