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AMkA 信号策略

概述

该策略结合考夫曼自适应移动平均线 (KAMA) 的变化率和基于标准差的波动率过滤器。当 KAMA 的变化超过正阈值时开多仓，当变化低于负阈值时开空仓。阈值通过将 KAMA 变化的标准差乘以用户设定的倍数得到。

参数

  • KAMA Length – KAMA 指标的回溯周期。
  • Fast Period – KAMA 快速 EMA 的周期。
  • Slow Period – KAMA 慢速 EMA 的周期。
  • Deviation Multiplier – 与标准差相乘形成信号阈值的倍数。
  • Take Profit – 盈利百分比。
  • Stop Loss – 止损百分比。
  • Candle Type – 用于计算的蜡烛图时间框架。

交易逻辑

  1. 订阅所选时间框架的蜡烛数据。
  2. 计算 KAMA 并与上一值比较得到变化量。
  3. 使用变化量更新标准差指标。
  4. 当变化量超过 Deviation Multiplier * StdDev 时：
    • 变化量大于阈值：平空仓并开多仓。
    • 变化量小于负阈值：平多仓并开空仓。
  5. 通过 StartProtection 自动管理止盈和止损。

备注

策略仅处理已完成的蜡烛。代码使用制表符缩进，所有注释均为英文。

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>
/// AMkA based strategy using KAMA derivative and standard deviation filter.
/// Buys when KAMA rises above volatility threshold and sells when it falls below.
/// </summary>
public class AmkaSignalStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevKama;
	private bool _hasPrev;

	public int Length { get => _length.Value; set => _length.Value = value; }
	public decimal DeviationMultiplier { get => _deviationMultiplier.Value; set => _deviationMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AmkaSignalStrategy()
	{
		_length = Param(nameof(Length), 10)
			.SetGreaterThanZero()
			.SetDisplay("KAMA Length", "Lookback period for the adaptive moving average", "Indicator");

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation filter", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for indicator calculation", "General");
	}

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

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

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

		var kama = new KaufmanAdaptiveMovingAverage { Length = Length };
		var stdev = new StandardDeviation { Length = Length };

		SubscribeCandles(CandleType).Bind(kama, stdev, ProcessCandle).Start();
	}

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

		if (!_hasPrev)
		{
			_prevKama = kamaValue;
			_hasPrev = true;
			return;
		}

		var delta = kamaValue - _prevKama;
		_prevKama = kamaValue;

		if (stdevValue <= 0) return;

		var threshold = stdevValue * DeviationMultiplier;

		if (delta > threshold && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (delta < -threshold && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}