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FmOne Scalping Strategy

概述

FmOne Scalping Strategy 是 FMOneEA MetaTrader 4 专家顾问的简化移植。该策略结合快慢指数移动平均线与 MACD 指标，在任何时间框架上捕捉短期动量。

工作原理

  1. 快速 EMA 与慢速 EMA 定义当前趋势。
  2. MACD 柱状图确认趋势方向的动量。
  3. 当快速 EMA 位于慢速 EMA 之上且 MACD 柱状图为正时开多单。
  4. 当快速 EMA 位于慢速 EMA 之下且 MACD 柱状图为负时开空单。
  5. 每个仓位都通过可配置的止损和止盈保护，可选的追踪止损可以跟随盈利移动。

参数

  • FastMaPeriod – 快速 EMA 周期。
  • SlowMaPeriod – 慢速 EMA 周期。
  • MacdSignalPeriod – MACD 信号线周期。
  • StopLossPercent – 以入场价百分比表示的止损。
  • TakeProfitPercent – 以入场价百分比表示的止盈。
  • EnableTrailingStop – 是否启用追踪止损。
  • CandleType – 使用的K线时间框架。

注意

此移植仅实现原始 EA 的核心逻辑。原版中的赎回循环与保本功能被省略，以保持示例简洁。

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>
/// FmOne Scalping Strategy combining EMA crossover and MACD confirmation.
/// </summary>
public class FmOneScalpingStrategy : Strategy
{
	private readonly StrategyParam<int> _fastMaPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<bool> _enableTrailingStop;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _fastMa;
	private ExponentialMovingAverage _slowMa;
	private MovingAverageConvergenceDivergence _macd;
	private decimal _prevFast;
	private decimal _prevSlow;
	private int _barsSinceTrade;
	private bool _isInitialized;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastMaPeriod
	{
		get => _fastMaPeriod.Value;
		set => _fastMaPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowMaPeriod
	{
		get => _slowMaPeriod.Value;
		set => _slowMaPeriod.Value = value;
	}

	/// <summary>
	/// MACD signal line period.
	/// </summary>
	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Take-profit percentage.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	/// <summary>
	/// Enable trailing stop.
	/// </summary>
	public bool EnableTrailingStop
	{
		get => _enableTrailingStop.Value;
		set => _enableTrailingStop.Value = value;
	}

	/// <summary>
	/// Minimum number of bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public FmOneScalpingStrategy()
	{
		_fastMaPeriod = Param(nameof(FastMaPeriod), 12)
			.SetRange(1, 100)
			.SetDisplay("Fast EMA Period", "Period for fast EMA", "Indicators")
			;

		_slowMaPeriod = Param(nameof(SlowMaPeriod), 26)
			.SetRange(1, 200)
			.SetDisplay("Slow EMA Period", "Period for slow EMA", "Indicators")
			;

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetRange(1, 50)
			.SetDisplay("MACD Signal Period", "Signal line period for MACD", "Indicators")
			;

		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetRange(0.1m, 5m)
			.SetDisplay("Stop Loss %", "Stop loss as percent of entry price", "Risk")
			;

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2m)
			.SetRange(0.1m, 5m)
			.SetDisplay("Take Profit %", "Take profit as percent of entry price", "Risk")
			;

		_enableTrailingStop = Param(nameof(EnableTrailingStop), true)
			.SetDisplay("Trailing Stop", "Enable trailing stop", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 6)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_fastMa = default;
		_slowMa = default;
		_macd = default;
		_prevFast = 0m;
		_prevSlow = 0m;
		_barsSinceTrade = CooldownBars;
		_isInitialized = false;
	}

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

		_fastMa = new ExponentialMovingAverage { Length = FastMaPeriod };
		_slowMa = new ExponentialMovingAverage { Length = SlowMaPeriod };
		_macd = new MovingAverageConvergenceDivergence(
			new ExponentialMovingAverage { Length = SlowMaPeriod },
			new ExponentialMovingAverage { Length = FastMaPeriod });
		_barsSinceTrade = CooldownBars;
		_isInitialized = false;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_fastMa, _slowMa, _macd, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPercent, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent),
			isStopTrailing: EnableTrailingStop
		);

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

		var macdArea = CreateChartArea();
		if (macdArea != null)
			DrawIndicator(macdArea, _macd);
	}

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

		_barsSinceTrade++;

		if (!_isInitialized)
		{
			_prevFast = fastMa;
			_prevSlow = slowMa;
			_isInitialized = true;
			return;
		}

		var longSignal = _prevFast <= _prevSlow && fastMa > slowMa && macdValue > 0m;
		var shortSignal = _prevFast >= _prevSlow && fastMa < slowMa && macdValue < 0m;

		if (longSignal && Position <= 0 && _barsSinceTrade >= CooldownBars)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceTrade = 0;
		}
		else if (shortSignal && Position >= 0 && _barsSinceTrade >= CooldownBars)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceTrade = 0;
		}

		_prevFast = fastMa;
		_prevSlow = slowMa;
	}
}