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Trendless AG Histogram 策略

该策略基于 Trendless AG Histogram 指标交易反转。该指标测量价格与平滑移动平均之间的距离，并再次平滑结果，形成围绕零轴的直方图。当指标形成局部低点并开始上升时，可能出现向上的反转；当形成局部高点并开始下降时，可能出现向下的反转。

当直方图改变方向时开仓。如果指标在较低值后开始上升，则开多头；如果在较高值后开始下降，则开空头。可选的止损和止盈用于风险管理。

细节

  • 入场条件：
    • 做多：直方图当前值上升，且前一值低于更早的值。
    • 做空：直方图当前值下降，且前一值高于更早的值。
  • 多空方向：双向。
  • 离场条件：
    • 反向信号或触发止损/止盈。
  • 止损：使用固定价格距离的止损和止盈。
  • 默认值：
    • Fast Length = 7。
    • Slow Length = 5。
    • Stop Loss = 1000。
    • Take Profit = 2000。
    • Candle Type = 12 小时K线。
  • 过滤器：
    • 类型：趋势跟随。
    • 方向：双向。
    • 指标：基于移动平均的自定义指标。
    • 止损：有。
    • 复杂度：中等。
    • 时间框架：中期。
    • 季节性：无。
    • 神经网络：无。
    • 背离：有。
    • 风险等级：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>
/// Strategy based on the Trendless AG Histogram indicator.
/// Opens long when the histogram forms a trough and starts rising.
/// Opens short when it forms a peak and starts falling.
/// Includes optional stop-loss and take-profit levels.
/// </summary>
public class TrendlessAgHistStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private TrendlessAgHist _indicator;
	private decimal _prev1;
	private decimal _prev2;
	private bool _initialized;
	private decimal _entryPrice;
	private bool _isLong;
	private int _barsSinceTrade;

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

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

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

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

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

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

	/// <summary>
	/// Initializes a new instance of <see cref="TrendlessAgHistStrategy"/>.
	/// </summary>
	public TrendlessAgHistStrategy()
	{
		_fastLength = Param(nameof(FastLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Period of the first smoothing", "Parameters");

		_slowLength = Param(nameof(SlowLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Period of the second smoothing", "Parameters");

		_stopLoss = Param(nameof(StopLoss), 1000m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Loss limit in price units", "Risk Management");

		_takeProfit = Param(nameof(TakeProfit), 2000m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Profit target in price units", "Risk Management");

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(12).TimeFrame())
			.SetDisplay("Candle Type", "Working candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_indicator?.Reset();
		_prev1 = 0m;
		_prev2 = 0m;
		_initialized = false;
		_entryPrice = 0m;
		_isLong = false;
		_barsSinceTrade = CooldownBars;
	}

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

		_indicator = new TrendlessAgHist
		{
			FastLength = FastLength,
			SlowLength = SlowLength
		};

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

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

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

		if (!_initialized)
		{
			_prev2 = _prev1;
			_prev1 = value;
			_initialized = true;
			return;
		}

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;

		if (_barsSinceTrade >= CooldownBars && _prev1 < _prev2 && value > _prev1 && _prev1 < 0m)
		{
			if (Position <= 0)
			{
				_entryPrice = candle.ClosePrice;
				_isLong = true;
				BuyMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
		}
		else if (_barsSinceTrade >= CooldownBars && _prev1 > _prev2 && value < _prev1 && _prev1 > 0m)
		{
			if (Position >= 0)
			{
				_entryPrice = candle.ClosePrice;
				_isLong = false;
				SellMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
		}

		_prev2 = _prev1;
		_prev1 = value;

		if (Position != 0 && _entryPrice != 0m)
			CheckRisk(candle.ClosePrice);
	}

	private void CheckRisk(decimal price)
	{
		if (_isLong && Position > 0)
		{
			if (price <= _entryPrice - StopLoss || price >= _entryPrice + TakeProfit)
				SellMarket(Position);
		}
		else if (!_isLong && Position < 0)
		{
			if (price >= _entryPrice + StopLoss || price <= _entryPrice - TakeProfit)
				BuyMarket(Math.Abs(Position));
		}
	}

	private class TrendlessAgHist : BaseIndicator
	{
		public int FastLength { get; set; } = 7;
		public int SlowLength { get; set; } = 5;

		private readonly ExponentialMovingAverage _fast = new() { Length = 7 };
		private readonly ExponentialMovingAverage _slow = new() { Length = 5 };

		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			var candle = input.GetValue<ICandleMessage>();
			var price = candle.ClosePrice;

			var fastResult = _fast.Process(new DecimalIndicatorValue(_fast, price, input.Time) { IsFinal = true });
			var fastVal = fastResult.IsEmpty ? price : fastResult.ToDecimal();
			var diff = price - fastVal;
			var slowResult = _slow.Process(new DecimalIndicatorValue(_slow, diff, input.Time) { IsFinal = true });
			var slowVal = slowResult.IsEmpty ? diff : slowResult.ToDecimal();

			IsFormed = _fast.IsFormed && _slow.IsFormed;
			return new DecimalIndicatorValue(this, slowVal, input.Time);
		}

		public override void Reset()
		{
			base.Reset();
			_fast.Reset();
			_slow.Reset();
		}
	}
}