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Ultra WPR 交叉策略

该策略使用 Williams %R 振荡器，并通过两条移动平均线进行平滑。快速线向上穿越慢速线时建立多头，快速线向下穿越慢速线时建立空头。

策略旨在跟随新的动量，同时通过可配置的止盈和止损限制风险。

细节

  • 入场条件：
    • 多头：快速线向上穿过慢速线
    • 空头：快速线向下穿过慢速线
  • 多空方向：均可
  • 出场条件：
    • 多头：快速线再次下穿慢速线
    • 空头：快速线再次上穿慢速线
  • 止损止盈：支持，基于价格的止盈和止损
  • 默认值：
    • CandleType = TimeSpan.FromHours(4)
    • WprPeriod = 13
    • FastLength = 3
    • SlowLength = 53
    • TakeProfit = 0.2m
    • StopLoss = 0.1m
  • 过滤器：
    • 分类：趋势跟随
    • 方向：双向
    • 指标：Williams %R，移动平均
    • 止损：是
    • 复杂度：基础
    • 时间框架：H4
    • 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 Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on the crossover of fast and slow smoothed Williams %R lines.
/// </summary>
public class UltraWprCrossStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _wprPeriod;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<int> _cooldownBars;

	private readonly SimpleMovingAverage _fastMa = new();
	private readonly SimpleMovingAverage _slowMa = new();
	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _isInitialized;
	private int _barsSinceTrade;

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

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int WprPeriod
	{
		get => _wprPeriod.Value;
		set => _wprPeriod.Value = value;
	}

	/// <summary>
	/// Fast smoothing length.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow smoothing length.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

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

	/// <summary>
	/// Stop loss in price.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Bars to wait after a completed trade.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public UltraWprCrossStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_wprPeriod = Param(nameof(WprPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("WPR Period", "Williams %R period", "Indicators")
			.SetOptimize(5, 40, 1);

		_fastLength = Param(nameof(FastLength), 3)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast smoothing length", "Indicators")
			.SetOptimize(1, 20, 1);

		_slowLength = Param(nameof(SlowLength), 53)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow smoothing length", "Indicators")
			.SetOptimize(10, 100, 5);

		_takeProfit = Param(nameof(TakeProfit), 900m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit in price", "Risk")
			.SetOptimize(300m, 1500m, 100m);

		_stopLoss = Param(nameof(StopLoss), 450m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss in price", "Risk")
			.SetOptimize(200m, 900m, 50m);

		_cooldownBars = Param(nameof(CooldownBars), 1)
			.SetDisplay("Cooldown Bars", "Bars to wait after a completed trade", "Risk");
	}

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

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

		_fastMa.Length = FastLength;
		_slowMa.Length = SlowLength;
		_fastMa.Reset();
		_slowMa.Reset();
		_prevFast = 0m;
		_prevSlow = 0m;
		_isInitialized = false;
		_barsSinceTrade = CooldownBars;
	}

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

		_fastMa.Length = FastLength;
		_slowMa.Length = SlowLength;

		var wpr = new WilliamsR { Length = WprPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(wpr, ProcessCandle).Start();

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

		StartProtection(new Unit(TakeProfit, UnitTypes.Absolute), new Unit(StopLoss, UnitTypes.Absolute));
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var fast = _fastMa.Process(new DecimalIndicatorValue(_fastMa, wprValue, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var slow = _slowMa.Process(new DecimalIndicatorValue(_slowMa, wprValue, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!_fastMa.IsFormed || !_slowMa.IsFormed)
			return;

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;

		if (!_isInitialized)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_isInitialized = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fast > slow && fast < -55m;
		var crossDown = _prevFast >= _prevSlow && fast < slow && fast > -45m;

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

		_prevFast = fast;
		_prevSlow = slow;
	}
}