中文 ZH
在 GitHub 上查看

ColorMETRO 策略

该策略基于 ColorMETRO 指标，该指标在 RSI 周围构建快慢阶梯线。 当快线向上穿越慢线时开多仓，快线向下穿越慢线时开空仓。相反仓位在相同信号下平仓。

参数

  • Candle Type – 计算所用的蜡烛类型。
  • RSI Period – RSI 周期。
  • Fast Step – 快线步长。
  • Slow Step – 慢线步长。
  • Stop Loss – 以点数表示的止损距离。
  • Take Profit – 以点数表示的止盈距离。
  • Allow Buy – 允许开多。
  • Allow Sell – 允许开空。
  • Close Long – 允许平多。
  • Close Short – 允许平空。

策略使用 StartProtection 管理止损和止盈。

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ColorMETRO strategy using RSI crossover with 50 level.
/// Buys when RSI crosses above 50, sells when below 50.
/// </summary>
public class ColorMetroStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevRsi;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorMetroStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI calculation period", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = null;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		SubscribeCandles(CandleType)
			.Bind(rsi, ProcessCandle)
			.Start();
	}

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

		if (_prevRsi is null)
		{
			_prevRsi = rsiValue;
			return;
		}

		var crossUp = _prevRsi < 50m && rsiValue > 50m;
		var crossDown = _prevRsi > 50m && rsiValue < 50m;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevRsi = rsiValue;
	}
}