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Color J Variation 策略

该策略基于 JMA 曲线方向的变化，与 MQL 中的 ColorJVariation EA 相对应。策略跟踪 Jurik 移动平均线的斜率，当趋势由下转上或由上转下时入场，并支持绝对止损和止盈。

细节

  • 入场条件:
    • 多头：PrevSlopeDown && JMA turns up
    • 空头：PrevSlopeUp && JMA turns down
  • 多/空：双向
  • 离场条件:
    • 相反的反转信号
  • 止损：通过 StopLoss 和 TakeProfit 设置绝对价格
  • 默认值:
    • JmaPeriod = 12
    • JmaPhase = 100
    • StopLoss = 1000
    • TakeProfit = 2000
    • CandleType = TimeSpan.FromHours(1).TimeFrame()
  • 筛选:
    • 分类：趋势反转
    • 方向：双向
    • 指标：Jurik Moving Average
    • 止损：是
    • 复杂度：基础
    • 时间框架：中期
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中
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>
/// Strategy based on Jurik moving average slope reversals.
/// Buys when JMA turns up, sells when JMA turns down.
/// </summary>
public class ColorJVariationStrategy : Strategy
{
	private readonly StrategyParam<int> _jmaPeriod;
	private readonly StrategyParam<int> _jmaPhase;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevJma;
	private decimal _prevPrevJma;
	private int _count;

	public int JmaPeriod { get => _jmaPeriod.Value; set => _jmaPeriod.Value = value; }
	public int JmaPhase { get => _jmaPhase.Value; set => _jmaPhase.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorJVariationStrategy()
	{
		_jmaPeriod = Param(nameof(JmaPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("JMA Period", "JMA averaging period", "Indicator");

		_jmaPhase = Param(nameof(JmaPhase), 100)
			.SetDisplay("JMA Phase", "Phase for JMA", "Indicator");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevJma = 0;
		_prevPrevJma = 0;
		_count = 0;
	}

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

		var jma = new JurikMovingAverage
		{
			Length = JmaPeriod,
			Phase = JmaPhase
		};

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

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

		_count++;

		if (_count < 3)
		{
			_prevPrevJma = _prevJma;
			_prevJma = jmaValue;
			return;
		}

		var turnUp = _prevJma < _prevPrevJma && jmaValue > _prevJma;
		var turnDown = _prevJma > _prevPrevJma && jmaValue < _prevJma;

		if (turnUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (turnDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPrevJma = _prevJma;
		_prevJma = jmaValue;
	}
}