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Exp HLRSign 策略

该策略在 StockSharp 中实现 HLRSign 指标。 当高低比率（HLR）穿越设定阈值时开仓或平仓。

工作原理

  • 在指定范围内计算 Donchian 渠道数值。
  • 计算 HLR 值为价格位于通道内的百分比位置。
  • 根据模式不同，当 HLR 穿越上下阈值时产生买入或卖出信号：
    • ModeIn – HLR 上穿上轨买入，下穿下轨卖出。
    • ModeOut – HLR 下穿上轨卖出，上穿下轨买入。
  • 可分别开启或关闭多头和空头的开仓与平仓。

参数

名称 说明
Mode 指标模式（ModeIn 或 ModeOut）。
Range 计算最高价和最低价的区间。
UpLevel HLR 上阈值百分比。
DnLevel HLR 下阈值百分比。
CandleType 使用的K线周期。
BuyOpen 允许开多头。
SellOpen 允许开空头。
BuyClose 允许平多头。
SellClose 允许平空头。

说明

  • 策略使用 DonchianChannels 指标的高级 API。
  • 只处理已完成的K线，并在交易前检查持仓许可。
  • 未设置止损和止盈，可根据需要手动添加保护。
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>
/// HLRSign based strategy.
/// Opens and closes positions based on HLR level crossings.
/// </summary>
public class ExpHlrSignStrategy : Strategy
{
	public enum AlgMethods
	{
		ModeIn,
		ModeOut,
	}

	private readonly StrategyParam<AlgMethods> _mode;
	private readonly StrategyParam<int> _range;
	private readonly StrategyParam<decimal> _upLevel;
	private readonly StrategyParam<decimal> _dnLevel;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _buyOpen;
	private readonly StrategyParam<bool> _sellOpen;
	private readonly StrategyParam<bool> _buyClose;
	private readonly StrategyParam<bool> _sellClose;

	private decimal _previousHlr;
	private bool _isFirst = true;
	private int _barsSinceTrade;

	/// <summary>
	/// Indicator mode.
	/// </summary>
	public AlgMethods Mode
	{
		get => _mode.Value;
		set => _mode.Value = value;
	}

	/// <summary>
	/// Lookback range for highest and lowest values.
	/// </summary>
	public int Range
	{
		get => _range.Value;
		set => _range.Value = value;
	}

	/// <summary>
	/// Upper level in percent for HLR crossing.
	/// </summary>
	public decimal UpLevel
	{
		get => _upLevel.Value;
		set => _upLevel.Value = value;
	}

	/// <summary>
	/// Lower level in percent for HLR crossing.
	/// </summary>
	public decimal DnLevel
	{
		get => _dnLevel.Value;
		set => _dnLevel.Value = value;
	}

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

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyOpen
	{
		get => _buyOpen.Value;
		set => _buyOpen.Value = value;
	}

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellOpen
	{
		get => _sellOpen.Value;
		set => _sellOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long positions on sell signal.
	/// </summary>
	public bool BuyClose
	{
		get => _buyClose.Value;
		set => _buyClose.Value = value;
	}

	/// <summary>
	/// Allow closing short positions on buy signal.
	/// </summary>
	public bool SellClose
	{
		get => _sellClose.Value;
		set => _sellClose.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="ExpHlrSignStrategy"/>.
	/// </summary>
	public ExpHlrSignStrategy()
	{
		_mode = Param(nameof(Mode), AlgMethods.ModeIn)
			.SetDisplay("Mode", "Indicator operation mode", "General");

		_range = Param(nameof(Range), 40)
			.SetDisplay("Range", "Lookback period for HLR", "Indicator")
			.SetOptimize(20, 80, 10)
			;

		_upLevel = Param(nameof(UpLevel), 80m)
			.SetDisplay("Up Level", "Upper level for HLR", "Indicator")
			.SetOptimize(60m, 90m, 5m)
			;

		_dnLevel = Param(nameof(DnLevel), 20m)
			.SetDisplay("Down Level", "Lower level for HLR", "Indicator")
			.SetOptimize(10m, 40m, 5m)
			;

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

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

		_buyOpen = Param(nameof(BuyOpen), true)
			.SetDisplay("Buy Open", "Allow opening long positions", "Trading");

		_sellOpen = Param(nameof(SellOpen), true)
			.SetDisplay("Sell Open", "Allow opening short positions", "Trading");

		_buyClose = Param(nameof(BuyClose), true)
			.SetDisplay("Buy Close", "Allow closing long positions", "Trading");

		_sellClose = Param(nameof(SellClose), true)
			.SetDisplay("Sell Close", "Allow closing short positions", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousHlr = 0;
		_isFirst = true;
		_barsSinceTrade = CooldownBars;
	}

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

		var donchian = new DonchianChannels { Length = Range };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(donchian, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;

		var donchian = (DonchianChannelsValue)value;
		var upper = donchian.UpperBand;
		var lower = donchian.LowerBand;

		if (upper == null || lower == null)
			return;

		var mid = (candle.HighPrice + candle.LowPrice) / 2m;
		var range = (decimal)(upper - lower);
		var hlr = range != 0m ? 100m * (mid - lower.Value) / range : 0m;

		bool buySignal = false;
		bool sellSignal = false;

		if (_isFirst)
		{
			_previousHlr = hlr;
			_isFirst = false;
			return;
		}

		if (Mode == AlgMethods.ModeIn)
		{
			if (hlr > UpLevel && _previousHlr <= UpLevel)
				buySignal = true;
			if (hlr < DnLevel && _previousHlr >= DnLevel)
				sellSignal = true;
		}
		else
		{
			if (hlr < UpLevel && _previousHlr >= UpLevel)
				sellSignal = true;
			if (hlr > DnLevel && _previousHlr <= DnLevel)
				buySignal = true;
		}

		if (_barsSinceTrade >= CooldownBars && buySignal)
		{
			if (BuyOpen && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
		}

		if (_barsSinceTrade >= CooldownBars && sellSignal)
		{
			if (SellOpen && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
		}

		_previousHlr = hlr;
	}
}