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三重均线交叉策略

该策略基于三条移动平均线（快线、中线、慢线）之间的关系进行交易，源自 MQL EA X3MA_EA_V2_0。

交易逻辑

  • 入场
    • 当 EnableEntryMediumSlowCross 为真时，中线向上穿越慢线时做多，反向穿越时做空。
    • 当该选项为假时，策略等待快线穿越中线且两者位于慢线同一侧。多头条件为 fast > medium > slow，空头条件为 fast < medium < slow。
  • 出场
    • 当 EnableExitFastSlowCross 为真时，快线与慢线发生反向交叉时平仓。

所有信号都在已完成的K线基础上计算。

参数

名称 描述
FastMaLength 快速均线周期。
MediumMaLength 中速均线周期。
SlowMaLength 慢速均线周期。
EnableEntryMediumSlowCross 允许在中线与慢线交叉时入场。
EnableExitFastSlowCross 快线与慢线交叉时平仓。
CandleType K线时间框架。

备注

策略使用 SubscribeCandles 与 Bind 的高级 API 实现，指标值通过 ProcessCandle 回调获取，不使用 GetValue。在 OnStarted 中调用 StartProtection() 启用仓位保护。

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>
/// Triple EMA crossover strategy.
/// </summary>
public class X3MaEaV20Strategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _midPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevMid;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int MidPeriod { get => _midPeriod.Value; set => _midPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public X3MaEaV20Strategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA", "Fast EMA period", "MA");
		_midPeriod = Param(nameof(MidPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Mid MA", "Mid EMA period", "MA");
		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA", "Slow EMA period", "MA");
		_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;
		_prevMid = 0;
		_hasPrev = false;
	}

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

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

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

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevMid = midVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevMid && fastVal > midVal;
		var crossDown = _prevFast >= _prevMid && fastVal < midVal;

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

		_prevFast = fastVal;
		_prevMid = midVal;
	}
}