中文 ZH
在 GitHub 上查看

Genie Pivot 策略

该策略实现了最初用 MQL4 编写的 "Genie" 枢轴反转剥头皮系统。它扫描最近的八根 K 线以在关键点检测突然的反转。当连续七个最低点下降且当前 K 线形成更高的最低点并收于前一高点之上时触发做多。当连续七个最高点上升且当前 K 线形成更低的最高点并收于前一低点之下时触发做空。

策略使用固定的仓位大小（Strategy.Volume），并同时应用以绝对价格单位表示的追踪止损和止盈。这些参数可以优化，使系统能够捕捉快速反转并保护已获利润。

细节

  • 入场条件：
    • 多头：Low[7] > Low[6] > ... > Low[1] 且 Low[1] < Low[0] 且 High[1] < Close[0]。
    • 空头：High[7] < High[6] < ... < High[1] 且 High[1] > High[0] 且 Low[1] > Close[0]。
  • 多空方向：双向。
  • 出场条件：
    • 触发追踪止损或止盈。
  • 止损/止盈：
    • 止盈：距入场价的绝对距离。
    • 追踪止损：随着盈利移动的绝对距离。
  • 默认值：
    • TakeProfit = 500。
    • TrailingStop = 200。
    • CandleType = 1 分钟。
  • 筛选：
    • 类型：反转。
    • 方向：双向。
    • 指标：无。
    • 止损：有。
    • 复杂度：简单。
    • 时间框架：短期。
    • 季节性：无。
    • 神经网络：无。
    • 背离：无。
    • 风险级别：中等。
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>
/// Genie pivot reversal strategy.
/// Enters long after a sequence of falling lows followed by an upside breakout.
/// Enters short after a sequence of rising highs followed by a downside breakout.
/// Applies trailing stop and take-profit in absolute price units.
/// </summary>
public class GeniePivotFixedStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private readonly decimal[] _lows = new decimal[8];
	private readonly decimal[] _highs = new decimal[8];
	private int _stored;
	private int _cooldownRemaining;

	/// <summary>
	/// Take-profit distance in price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price units.
	/// </summary>
	public decimal TrailingStop
	{
		get => _trailingStop.Value;
		set => _trailingStop.Value = value;
	}

	/// <summary>
	/// Candle type used for analysis.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Number of completed candles to wait after a position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes parameters.
	/// </summary>
	public GeniePivotFixedStrategy()
	{
		_takeProfit = Param(nameof(TakeProfit), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Target profit in price units", "Risk Management")
			
			.SetOptimize(100m, 1000m, 100m);

		_trailingStop = Param(nameof(TrailingStop), 200m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Stop", "Trailing stop distance in price units", "Risk Management")
			
			.SetOptimize(50m, 500m, 50m);

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

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Risk Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_stored = 0;
		_cooldownRemaining = 0;
		Array.Clear(_lows);
		Array.Clear(_highs);
	}

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

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

		StartProtection(
			takeProfit: new Unit(TakeProfit, UnitTypes.Absolute),
			stopLoss: new Unit(TrailingStop, UnitTypes.Absolute),
			isStopTrailing: true);

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

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		for (var i = 7; i > 0; i--)
		{
			_lows[i] = _lows[i - 1];
			_highs[i] = _highs[i - 1];
		}

		_lows[0] = candle.LowPrice;
		_highs[0] = candle.HighPrice;
		if (_stored < 8)
			_stored++;

		if (_stored < 5)
			return;

		if (_cooldownRemaining > 0)
			return;

		var buySeq = _lows[4] > _lows[3] && _lows[3] > _lows[2] && _lows[2] > _lows[1];

		if (buySeq && _lows[1] < _lows[0] && _highs[1] < candle.ClosePrice && candle.ClosePrice > candle.OpenPrice)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
			_cooldownRemaining = CooldownBars;
			return;
		}

		var sellSeq = _highs[4] < _highs[3] && _highs[3] < _highs[2] && _highs[2] < _highs[1];

		if (sellSeq && _highs[1] > _highs[0] && _lows[1] > candle.ClosePrice && candle.ClosePrice < candle.OpenPrice)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
			_cooldownRemaining = CooldownBars;
		}
	}
}