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NRatio Sign 策略

该策略使用 NRatio 指标，这是一种基于 NRTR 的振荡器，用于衡量价格与动态跟踪水平之间的归一化距离。当 NRatio 穿越预设阈值时产生交易信号。根据所选模式，系统要么在突破上下界时入场，要么在价格返回区间内时入场。

策略可同时在多头和空头方向运行，并通过百分比的止盈和止损进行风险管理。归一化距离采用指数移动平均进行平滑，以快速响应并过滤噪音。

详细信息

  • 入场条件：
    • 模式 In：
      • 做多：NRatio 上穿 UpLevel。
      • 做空：NRatio 下破 DownLevel。
    • 模式 Out：
      • 做多：NRatio 上穿 DownLevel。
      • 做空：NRatio 下破 UpLevel。
  • 方向：可做多亦可做空。
  • 出场条件：反向信号或保护性止损。
  • 止损/止盈：是，使用百分比设置。
  • 默认值：
    • CandleType = 4 小时K线
    • Kf = 1
    • Length = 3
    • Fast = 2
    • Sharp = 2
    • UpLevel = 80
    • DownLevel = 20
    • TakeProfitPercent = 2
    • StopLossPercent = 2
  • 过滤条件：
    • 类型：趋势跟随
    • 方向：双向
    • 指标：NRTR、EMA
    • 止损：是
    • 复杂度：中等
    • 时间框架：中期
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 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>
/// NRatio Sign strategy based on NRTR oscillator.
/// Generates buy or sell signals when the normalized ratio crosses thresholds.
/// </summary>
public class NRatioSignStrategy : Strategy
{
	// strategy parameters
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _kf;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _fast;
	private readonly StrategyParam<decimal> _sharp;
	private readonly StrategyParam<decimal> _upLevel;
	private readonly StrategyParam<decimal> _downLevel;
	private readonly StrategyParam<StrategyModes> _mode;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;

	// internal state variables
	private decimal _nrtr;
	private decimal _nratioPrev;
	private int _trend;
	private bool _isInitialized;
	private ExponentialMovingAverage _ema = new();

	/// <summary>
	/// NRatio calculation mode.
	/// </summary>
	public enum StrategyModes
	{
		ModeIn,
		ModeOut,
	}

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

	/// <summary>
	/// NRTR coefficient.
	/// </summary>
	public decimal Kf
	{
		get => _kf.Value;
		set => _kf.Value = value;
	}

	/// <summary>
	/// Smoothing length for EMA.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Fast parameter affecting NRTR dynamics.
	/// </summary>
	public decimal Fast
	{
		get => _fast.Value;
		set => _fast.Value = value;
	}

	/// <summary>
	/// Exponent applied to the oscillator.
	/// </summary>
	public decimal Sharp
	{
		get => _sharp.Value;
		set => _sharp.Value = value;
	}

	/// <summary>
	/// Upper threshold of NRatio.
	/// </summary>
	public decimal UpLevel
	{
		get => _upLevel.Value;
		set => _upLevel.Value = value;
	}

	/// <summary>
	/// Lower threshold of NRatio.
	/// </summary>
	public decimal DownLevel
	{
		get => _downLevel.Value;
		set => _downLevel.Value = value;
	}

	/// <summary>
	/// Signal generation mode.
	/// </summary>
	public StrategyModes Mode
	{
		get => _mode.Value;
		set => _mode.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of <see cref="NRatioSignStrategy"/>.
	/// </summary>
	public NRatioSignStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Time frame for indicator calculation", "General");

		_kf = Param(nameof(Kf), 1m)
		.SetDisplay("Kf", "NRTR coefficient", "Indicator");

		_length = Param(nameof(Length), 3)
		.SetGreaterThanZero()
		.SetDisplay("Length", "EMA smoothing length", "Indicator");

		_fast = Param(nameof(Fast), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Fast", "Fast parameter", "Indicator");

		_sharp = Param(nameof(Sharp), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Sharp", "Exponent for oscillator", "Indicator");

		_upLevel = Param(nameof(UpLevel), 80m)
		.SetDisplay("Up Level", "Upper NRatio threshold", "Indicator");

		_downLevel = Param(nameof(DownLevel), 20m)
		.SetDisplay("Down Level", "Lower NRatio threshold", "Indicator");

		_mode = Param(nameof(Mode), StrategyModes.ModeIn)
		.SetDisplay("Mode", "Signal generation mode", "Indicator");

		_takeProfit = Param(nameof(TakeProfitPercent), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Take Profit %", "Take profit percentage", "Risk Management")
		
		.SetOptimize(1m, 5m, 1m);

		_stopLoss = Param(nameof(StopLossPercent), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management")
		
		.SetOptimize(1m, 5m, 1m);
	}

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

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

	_isInitialized = false;
	_nrtr = 0m;
	_nratioPrev = 50m;
	_trend = 1;
	_ema.Length = Length;
	_ema.Reset();
	}

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

	_ema.Length = Length;
	_ema.Reset();

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

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

	private void ProcessCandle(ICandleMessage candle)
	{
	// Process only completed candles
	if (candle.State != CandleStates.Finished)
	return;

	if (!IsOnline)
	return;

	var price = candle.ClosePrice;

	if (!_isInitialized)
	{
	_trend = candle.ClosePrice >= candle.OpenPrice ? 1 : -1;
	_nrtr = _trend > 0 ? price * (1m - Kf / 100m) : price * (1m + Kf / 100m);
	_nratioPrev = 50m;
	_isInitialized = true;
	return;
	}

	var nrtr0 = _nrtr;
	var trend0 = _trend;

	if (_trend >= 0)
	{
	if (price < _nrtr)
	{
	trend0 = -1;
	nrtr0 = price * (1m + Kf / 100m);
	}
	else
	{
	trend0 = 1;
	var lPrice = price * (1m - Kf / 100m);
	nrtr0 = Math.Max(lPrice, _nrtr);
	}
	}
	else
	{
	if (price > _nrtr)
	{
	trend0 = 1;
	nrtr0 = price * (1m - Kf / 100m);
	}
	else
	{
	trend0 = -1;
	var hPrice = price * (1m + Kf / 100m);
	nrtr0 = Math.Min(hPrice, _nrtr);
	}
	}

	var oscil = (100m * Math.Abs(price - nrtr0) / price) / Kf;
	var xOscilValue = _ema.Process(new DecimalIndicatorValue(_ema, oscil, candle.OpenTime) { IsFinal = true });
	var xOscil = xOscilValue.IsEmpty ? oscil : xOscilValue.ToDecimal();

	if (!_ema.IsFormed)
	{
	_nrtr = nrtr0;
	_trend = trend0;
	return;
	}

	var nratio = 100m * (decimal)Math.Pow((double)xOscil, (double)Sharp);

	var buySignal = false;
	var sellSignal = false;

	if (Mode == StrategyModes.ModeIn)
	{
	if (nratio > UpLevel && _nratioPrev <= UpLevel)
	buySignal = true;
	if (nratio < DownLevel && _nratioPrev >= DownLevel)
	sellSignal = true;
	}
	else
	{
	if (nratio < UpLevel && _nratioPrev >= UpLevel)
	sellSignal = true;
	if (nratio > DownLevel && _nratioPrev <= DownLevel)
	buySignal = true;
	}

	_nrtr = nrtr0;
	_trend = trend0;
	_nratioPrev = nratio;

	if (buySignal && Position <= 0)
	BuyMarket(Volume + Math.Abs(Position));
	else if (sellSignal && Position >= 0)
	SellMarket(Volume + Math.Abs(Position));
	}
}