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PZ Parabolic SAR EA

该策略复刻了 PZ Parabolic SAR 专家顾问。它使用两个 Parabolic SAR 指标，分别具有不同的步长和最大加速度参数。"交易" SAR 用于判断趋势方向并产生入场信号，而 "止损" SAR 紧跟价格，当趋势反转时触发退出。

风险控制通过平均真实波幅 (ATR) 实现。开仓时根据 ATR 设置初始止损，可选的 ATR 跟踪止损会在行情向有利方向发展时收紧止损。当利润超过初始止损距离时，策略会部分平仓（默认 50%）并将止损移至保本位置。

策略可双向交易，仅处理已完成的K线，并使用市价单执行，无真实止损委托。

细节

  • 入场条件：价格与交易SAR同向且止损SAR位于同侧。
  • 交易方向：多空双向。
  • 离场条件：价格穿越止损SAR或触发 ATR 跟踪止损。
  • 止损方式：基于ATR的止损，可选跟踪止损与保本。
  • 默认参数：
    • TradeStep = 0.002
    • TradeMax = 0.2
    • StopStep = 0.004
    • StopMax = 0.4
    • AtrPeriod = 30
    • AtrMultiplier = 2.5
    • UseTrailing = false
    • TrailingAtrPeriod = 30
    • TrailingAtrMultiplier = 1.75
    • PartialClosing = true
    • PercentageToClose = 0.5
    • BreakEven = true
    • LotSize = 0.1
    • CandleType = TimeFrame(5m)
  • 筛选：
    • 类别：Trend
    • 方向：Both
    • 指标：Parabolic SAR, ATR
    • 止损：ATR, Trailing
    • 复杂度：中等
    • 时间框架：日内 (5m)
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险级别：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>
/// Parabolic SAR crossover strategy.
/// </summary>
public class PzParabolicSarEaStrategy : Strategy
{
	private readonly StrategyParam<decimal> _sarStep;
	private readonly StrategyParam<decimal> _sarMax;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevSar;
	private bool _hasPrev;

	public decimal SarStep { get => _sarStep.Value; set => _sarStep.Value = value; }
	public decimal SarMax { get => _sarMax.Value; set => _sarMax.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public PzParabolicSarEaStrategy()
	{
		_sarStep = Param(nameof(SarStep), 0.02m)
			.SetDisplay("SAR Step", "Acceleration step", "Indicators");
		_sarMax = Param(nameof(SarMax), 0.2m)
			.SetDisplay("SAR Max", "Maximum acceleration", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

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

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

		var sar = new ParabolicSar { AccelerationStep = SarStep, AccelerationMax = SarMax };

		SubscribeCandles(CandleType)
			.Bind(sar, ProcessCandle)
			.Start();
	}

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevClose = close;
			_prevSar = sarVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevClose <= _prevSar && close > sarVal;
		var crossDown = _prevClose >= _prevSar && close < sarVal;

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

		_prevClose = close;
		_prevSar = sarVal;
	}
}