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双向马丁格尔策略

该策略实现了一种简化的双向马丁格尔方案。启动时同时开多单和空单，并在可配置距离放置限价单以获取利润。

工作原理

  1. 计算买卖价差，并根据当前卖价的百分比设定获利距离。
  2. 初始发送卖出市价单并在买价下方放置买入限价单，同时发送买入市价单并在卖价上方放置卖出限价单。
  3. 当某一侧的限价单缺失或价格超出范围时，算法根据 Same Side % 重新计算手数并替换挂单，如有需要会发送额外市价单以保持平衡。
  4. 所有订单都会被拆分为不超过 Volume Limit 参数的部分。

参数

  • Take Profit % – 距离当前价格的获利目标。
  • Base Volume – 每笔初始订单的最小手数。
  • Volume Limit – 单个订单允许的最大手数。
  • Same Side % – 分配给主导方向的总手数百分比。
  • Candle Type – 用作时间驱动的K线类型。
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Martingale-style hedging strategy that alternates buy/sell based on price movement.
/// Opens initial position and doubles down on adverse moves.
/// </summary>
public class TwoDirectionMartinStylizedStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<int> _maxSteps;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _entryPrice;
	private int _stepCount;
	private int _direction; // 1=long, -1=short
	private int _cooldownRemaining;

	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public int MaxSteps { get => _maxSteps.Value; set => _maxSteps.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public TwoDirectionMartinStylizedStrategy()
	{
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 0.35m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit %", "Take profit as percent of price", "General");

		_maxSteps = Param(nameof(MaxSteps), 3)
			.SetGreaterThanZero()
			.SetDisplay("Max Steps", "Maximum martingale doublings", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a full cycle", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0m;
		_stepCount = 0;
		_direction = 0;
		_cooldownRemaining = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema = new ExponentialMovingAverage { Length = 20 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawOwnTrades(area);
		}
	}

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var price = candle.ClosePrice;

		if (Position == 0)
		{
			if (_cooldownRemaining > 0)
				return;

			// Initial entry based on EMA trend
			if (price > emaValue)
			{
				BuyMarket();
				_direction = 1;
			}
			else
			{
				SellMarket();
				_direction = -1;
			}
			_entryPrice = price;
			_stepCount = 0;
			return;
		}

		var tp = _entryPrice * TakeProfitPercent / 100m;

		// Check take profit
		if (_direction == 1 && price >= _entryPrice + tp)
		{
			// Close long
			while (Position > 0) SellMarket();
			_stepCount = 0;
			_cooldownRemaining = CooldownBars;
		}
		else if (_direction == -1 && price <= _entryPrice - tp)
		{
			// Close short
			while (Position < 0) BuyMarket();
			_stepCount = 0;
			_cooldownRemaining = CooldownBars;
		}
		// Check adverse move - double down
		else if (_direction == 1 && price <= _entryPrice - tp && _stepCount < MaxSteps)
		{
			BuyMarket();
			_entryPrice = (_entryPrice + price) / 2m;
			_stepCount++;
		}
		else if (_direction == -1 && price >= _entryPrice + tp && _stepCount < MaxSteps)
		{
			SellMarket();
			_entryPrice = (_entryPrice + price) / 2m;
			_stepCount++;
		}
		// Max steps reached - cut loss
		else if (_stepCount >= MaxSteps)
		{
			if (Position > 0) SellMarket();
			else if (Position < 0) BuyMarket();
			_stepCount = 0;
			_cooldownRemaining = CooldownBars;
		}
	}
}