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纯马丁策略

该策略实现了一个基本的马丁系统。没有持仓时随机选择买入或卖出，若上一笔交易亏损，则成倍增加仓位和止损/止盈距离；若盈利则恢复初始参数。

该方法假设价格最终会回到盈利区间，但风险呈指数级增长。仅建议用于点差小的流动性品种。

详情

  • 入场条件:
    • 无持仓时在收盘随机买入或卖出。
  • 多空方向: 双向。
  • 出场条件:
    • 当价格按照配置的距离向有利或不利方向移动时平仓。
  • 止损: 策略内部管理的虚拟止损/止盈。
  • 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>
/// Momentum strategy with EMA trend filter.
/// </summary>
public class PureMartingaleStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevPrevClose;
	private int _barCount;

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

	public PureMartingaleStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candles for trade timing", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_prevPrevClose = 0;
		_barCount = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		SubscribeCandles(CandleType).Bind(ema, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;
		_barCount++;

		if (_barCount >= 3)
		{
			// Two consecutive rising closes above EMA => buy
			if (close > _prevClose && _prevClose > _prevPrevClose && close > emaValue && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			// Two consecutive falling closes below EMA => sell
			else if (close < _prevClose && _prevClose < _prevPrevClose && close < emaValue && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevPrevClose = _prevClose;
		_prevClose = close;
	}
}