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Charles Breakout Strategy 策略 (中文)

该文档的中文版本尚未完整，详细说明请参阅英文版 README.md。

基于上一交易日高低点的突破策略。使用RSI和EMA过滤趋势，当价格超过调整后的上轨或下轨时入场。

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>
/// Breakout strategy based on EMA crossover with RSI trend filter.
/// </summary>
public class CharlesBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public CharlesBreakoutStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 18)
			.SetDisplay("Fast EMA Period", "Fast EMA length", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 60)
			.SetDisplay("Slow EMA Period", "Slow EMA length", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI length", "Indicators");

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

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

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

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

		var fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		SubscribeCandles(CandleType).Bind(fastEma, slowEma, rsi, ProcessCandle).Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fastEma;
			_prevSlow = slowEma;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastEma > slowEma;
		var crossDown = _prevFast >= _prevSlow && fastEma < slowEma;

		if (crossUp && rsi > 50 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && rsi < 50 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fastEma;
		_prevSlow = slowEma;
	}
}