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Coensio Swing Trader 策略

基于用户定义趋势线的突破策略。通过参数提供的斜率和截距计算多空趋势线。当收盘价高于买入线加上阈值时开多单；当收盘价低于卖出线减去阈值时开空单。

仓位使用以跳动点为单位的止盈和止损保护。可选的跟踪止损在价格向有利方向移动时调整保护性止损。还可以在下一根K线确认假突破时平仓。

详情

  • 入场条件:
    • 多头：Close > BuyLine + EntryThreshold
    • 空头：Close < SellLine - EntryThreshold
  • 多/空：均可
  • 出场条件：止损、止盈、跟踪止损或反向信号
  • 止损:
    • 以跳动点为单位的止盈
    • 以跳动点为单位的止损
    • 可选的跟踪止损
    • 可选的假突破平仓
  • 默认值:
    • EntryThreshold = 15m
    • StopLossTicks = 50
    • TakeProfitTicks = 100
    • EnableTrailing = false
    • TrailingStepTicks = 5
    • FalseBreakClose = true
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
    • BuyLineSlope = 0m
    • BuyLineIntercept = 0m
    • SellLineSlope = 0m
    • SellLineIntercept = 0m
  • 过滤器:
    • 分类：趋势线突破
    • 方向：双向
    • 指标：无
    • 止损：有
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 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>
/// Swing trader using EMA crossover.
/// </summary>
public class CoensioSwingTraderStrategy : 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 CoensioSwingTraderStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Trading");
		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Trading");
		_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();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

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

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

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

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}