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Divergence Trader 策略

该策略比较两条简单移动平均线 (SMA)，并依据它们之间的背离进行交易。

策略使用上一根K线的快SMA与慢SMA之差作为背离指标。当该差值为正且位于设定区间内时，开多单；当该差值为负且位于对称区间内时，开空单。风险通过可选的止损和止盈控制。

细节

  • 入场条件：
    • 多头：上一根快SMA - 上一根慢SMA ≥ DvBuySell 且 ≤ DvStayOut。
    • 空头：上一根快SMA - 上一根慢SMA ≤ -DvBuySell 且 ≥ -DvStayOut。
  • 出场条件：若设置止损或止盈，则按相应水平平仓。
  • 止损/止盈：通过 StartProtection 以绝对价格偏移实现。
  • 默认值：
    • FastPeriod = 7
    • SlowPeriod = 88
    • DvBuySell = 0.0011
    • DvStayOut = 0.0079
  • 过滤器：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：SMA
    • 止损：可选
    • 复杂度：基础
    • 周期：短期
    • 季节性：无
    • 神经网络：无
    • 背离：是
    • 风险等级：中等
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>
/// Strategy based on divergence between fast and slow EMA.
/// </summary>
public class DivergenceTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	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 DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public DivergenceTraderStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA length", "Parameters");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA length", "Parameters");

		_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();
		_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 };

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

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

		if (!_hasPrev)
		{
			_prevFast = fastValue;
			_prevSlow = slowValue;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastValue > slowValue;
		var crossDown = _prevFast >= _prevSlow && fastValue < slowValue;

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

		_prevFast = fastValue;
		_prevSlow = slowValue;
	}
}