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Brake Parabolic 策略

该策略实现了 Brake Parabolic 指标，该指标在价格上方或下方绘制抛物线屏障。当价格突破屏障时，趋势反转，并在突破方向开仓。算法通过参数 A、B 和 Shift 定义的曲线跟踪极值。

测试表明年化收益约为 48%。在高时间框架的趋势市场上表现最佳。

系统等待屏障改变位置。向上翻转会平掉空头并开多头；向下翻转会平掉多头并开空头。在趋势期间，当指标确认方向时，反向仓位被关闭。

细节

  • 入场条件：
    • 多头：屏障从价格上方移到下方。
    • 空头：屏障从价格下方移到上方。
  • 方向：双向。
  • 退出条件：相反信号或指标确认反向趋势。
  • 止损：无固定止损，依赖屏障反转退出。
  • 默认值：
    • A = 1.5
    • B = 1.0
    • BeginShift = 10
    • CandleType = 4 小时周期
  • 过滤器：
    • 类型：趋势
    • 方向：双向
    • 指标：自定义
    • 止损：否
    • 复杂度：中等
    • 时间框架：波段
    • 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 BrakeParabolicStrategy : 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 BrakeParabolicStrategy()
	{
		_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;
	}
}