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Disturbed 策略

该对冲策略同时在市场上买入和卖出，并根据当前点差进行管理。当价格向任一方向移动一个点差时，亏损的一侧将被平仓。剩余持仓在达到 gainMultiplier * spread 的盈利或亏损时退出。

细节

  • 入场条件：
    • 启动时同时下达买入和卖出市价单。
  • 多/空：同时持有。
  • 出场条件：
    • 价格移动一个点差而导致亏损的一侧被关闭。
    • 剩余一侧在 gainMultiplier * spread 盈利或亏损处关闭。
  • 止损：基于点差的隐式水平。
  • 过滤：无。
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>
/// Hedging-style strategy using EMA crossover with ATR-based mean reversion.
/// </summary>
public class DisturbedStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private bool _hasPrev;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public DisturbedStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period", "Indicators");
		_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();
		_prevEma = 0; _hasPrev = false;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new StandardDeviation { Length = AtrPeriod };

		SubscribeCandles(CandleType).Bind(ema, atr, ProcessCandle).Start();
	}

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

		if (!_hasPrev) { _prevEma = ema; _hasPrev = true; return; }

		var close = candle.ClosePrice;

		// Price crosses above EMA + ATR => buy
		if (close > ema + atr && _prevEma > 0 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// Price crosses below EMA - ATR => sell
		else if (close < ema - atr && _prevEma > 0 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
		// Exit long when price returns to EMA
		else if (Position > 0 && close <= ema)
		{
			SellMarket();
		}
		// Exit short when price returns to EMA
		else if (Position < 0 && close >= ema)
		{
			BuyMarket();
		}

		_prevEma = ema;
	}
}