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E TurboFx 策略

基于 MQL5 专家顾问“e-TurboFx”的 StockSharp 实现。策略监控同方向蜡烛实体逐渐增大的序列。当出现多根实体不断增大的阴线时买入，预期价格反转；当出现多根实体不断增大的阳线时卖出。止损和止盈以价格点数形式设置，可选。

细节

  • 入场条件：
    • 多头：连续 N 根阴线且每根实体都大于前一根
    • 空头：连续 N 根阳线且每根实体都大于前一根
  • 多空方向：双向
  • 离场条件：止损或止盈
  • 止损/止盈：通过 StartProtection 以点数设置
  • 默认值：
    • BarsCount = 3
    • StopLossPoints = 700
    • TakeProfitPoints = 1200
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • 过滤器：
    • 分类：Price Action
    • 方向：双向
    • 指标：无
    • 止损：有
    • 复杂度：基础
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险水平：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>
/// Reversal candle pattern strategy with EMA filter.
/// </summary>
public class ETurboFxStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private int _bearCount;
	private int _bullCount;
	private decimal _prevBody;
	private bool _hasPrev;

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

	public ETurboFxStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend filter period", "Parameters");

		_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();
		_bearCount = 0;
		_bullCount = 0;
		_prevBody = 0;
		_hasPrev = false;
	}

	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 emaVal)
	{
		if (candle.State != CandleStates.Finished) return;

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		if (candle.ClosePrice < candle.OpenPrice)
		{
			_bearCount++;
			if (_hasPrev && body > _prevBody)
				_bearCount = Math.Min(_bearCount, 10);
			else
				_bearCount = 1;

			_bullCount = 0;
		}
		else if (candle.ClosePrice > candle.OpenPrice)
		{
			_bullCount++;
			if (_hasPrev && body > _prevBody)
				_bullCount = Math.Min(_bullCount, 10);
			else
				_bullCount = 1;

			_bearCount = 0;
		}
		else
		{
			_bearCount = 0;
			_bullCount = 0;
		}

		_prevBody = body;
		_hasPrev = true;

		// Buy reversal after 3 bearish candles when price above EMA
		if (_bearCount >= 3 && candle.ClosePrice > emaVal && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// Sell reversal after 3 bullish candles when price below EMA
		else if (_bullCount >= 3 && candle.ClosePrice < emaVal && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}