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Exp XMA Range Bands 策略

该策略将 MetaTrader 示例“Exp_XMA_Range_Bands” 转换为 StockSharp 高级 API。它利用 Keltner 通道（由移动平均算和平均真实波幅构成）来确定动态支撑和阻力。当价格在突破通道后重新回到通道内部时产生交易信号。

工作原理

  1. 构建 Keltner 通道：
    • EMA 周期 MaLength
    • ATR 周期 RangeLength
    • ATR 乘数 Deviation
  2. 当上一样 K 线收盘价高于上一个上轨时，并消除所有空头。如果下一样 K 线收盘价回到通道内（收盘价 ≤ 当前上轨），则开多。
  3. 当上一样 K 线收盘价低于上一个下轨时，并消除所有多头。如果下一样 K 线收盘价回到通道内（收盘价 ≥ 当前下轨），则开空。
  4. 开仓后根据点数设置止损和止盈。

参数

  • MaLength – 通道中心的 EMA 周期。
  • RangeLength – 用于通道宽度的 ATR 周期。
  • Deviation – ATR 乘数。
  • StopLoss – 止损点数（通过 Security.PriceStep 换算为价格）。
  • TakeProfit – 止盈点数。
  • CandleType – 用于计算的 K 线系列。

指标

  • KeltnerChannels（EMA + ATR）
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 converted from the MetaTrader example "Exp_XMA_Range_Bands".
/// Uses an EMA and ATR to build dynamic bands and trades when price re-enters the channel.
/// </summary>
public class ExpXmaRangeBandsStrategy : Strategy
{
	private static readonly TimeSpan _signalCooldown = TimeSpan.FromHours(8);

	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _rangeLength;
	private readonly StrategyParam<decimal> _deviation;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _prevClose;
	private decimal _entryPrice;
	private bool _isFirst = true;
	private DateTime _lastSignalTime;

	/// <summary>
	/// EMA period for the channel center.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

	/// <summary>
	/// ATR period used for channel width.
	/// </summary>
	public int RangeLength
	{
		get => _rangeLength.Value;
		set => _rangeLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier for band width.
	/// </summary>
	public decimal Deviation
	{
		get => _deviation.Value;
		set => _deviation.Value = value;
	}

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

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

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

	/// <summary>
	/// Initializes a new instance of the <see cref="ExpXmaRangeBandsStrategy"/>.
	/// </summary>
	public ExpXmaRangeBandsStrategy()
	{
		_maLength = Param(nameof(MaLength), 100)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "EMA period for channel center", "Indicator")
			
			.SetOptimize(50, 200, 10);

		_rangeLength = Param(nameof(RangeLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period for channel width", "Indicator")
			
			.SetOptimize(10, 60, 5);

		_deviation = Param(nameof(Deviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation", "ATR multiplier for channel width", "Indicator")
			
			.SetOptimize(1m, 5m, 0.5m);

		_stopLoss = Param(nameof(StopLoss), 1000m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss in points", "Risk")
			
			.SetOptimize(500m, 2000m, 500m);

		_takeProfit = Param(nameof(TakeProfit), 2000m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit in points", "Risk")
			
			.SetOptimize(1000m, 4000m, 500m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpper = 0;
		_prevLower = 0;
		_prevClose = 0;
		_entryPrice = 0;
		_isFirst = true;
		_lastSignalTime = default;
	}

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

		var keltner = new KeltnerChannels(
			new KeltnerChannelMiddle { Length = MaLength },
			new AverageTrueRange { Length = RangeLength },
			new KeltnerChannelBand { Length = MaLength },
			new KeltnerChannelBand { Length = MaLength })
		{
			Multiplier = Deviation,
		};

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (keltnerValue is not IKeltnerChannelsValue keltnerTyped ||
			keltnerTyped.Upper is not decimal upper ||
			keltnerTyped.Lower is not decimal lower)
			return;

		if (_isFirst)
		{
			_prevUpper = upper;
			_prevLower = lower;
			_prevClose = candle.ClosePrice;
			_isFirst = false;
			return;
		}

		if (_prevClose > _prevUpper)
		{
			if (candle.ClosePrice <= upper && Position <= 0 && CanTrade(candle))
			{
				var volume = Position < 0 ? Volume + Math.Abs(Position) : Volume;
				BuyMarket(volume);
				_entryPrice = candle.ClosePrice;
				_lastSignalTime = candle.CloseTime;
			}
		}
		else if (_prevClose < _prevLower)
		{
			if (candle.ClosePrice >= lower && Position >= 0 && CanTrade(candle))
			{
				var volume = Position > 0 ? Volume + Position : Volume;
				SellMarket(volume);
				_entryPrice = candle.ClosePrice;
				_lastSignalTime = candle.CloseTime;
			}
		}

		var step = Security.PriceStep ?? 1m;
		var sl = step * StopLoss;
		var tp = step * TakeProfit;

		if (Position > 0)
		{
			if (candle.ClosePrice <= _entryPrice - sl || candle.ClosePrice >= _entryPrice + tp)
			{
				SellMarket(Position);
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (candle.ClosePrice >= _entryPrice + sl || candle.ClosePrice <= _entryPrice - tp)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = 0;
			}
		}

		_prevUpper = upper;
		_prevLower = lower;
		_prevClose = candle.ClosePrice;
	}

	private bool CanTrade(ICandleMessage candle)
		=> _lastSignalTime == default || candle.CloseTime >= _lastSignalTime + _signalCooldown;
}