中文
在 GitHub 上查看

ColorJMomentum 策略

ColorJMomentum 策略基于 Jurik 平滑动量指标的方向变化进行交易。该策略源自 MQL5 专家顾问 Exp_ColorJMomentum，并使用 StockSharp 的高级 API 重新实现。

思路

  1. 计算所选价格序列的标准 Momentum 值。
  2. 使用 Jurik Moving Average (JMA) 对动量进行平滑。
  3. 监控平滑动量的最近两个数值：
    • 如果指标此前下降而现在开始上升，则开立 多头 头寸；
    • 如果指标此前上升而现在开始下降，则开立 空头 头寸。
  4. 通过百分比形式的止损和止盈来保护仓位。

策略仅处理已经完成的K线，并在内部变量中保存之前的数值，无需直接访问历史指标数据。

参数

  • Momentum Length – 动量计算周期。
  • JMA Length – JMA 平滑周期。
  • Candle Type – 订阅K线的类型和周期。
  • Stop Loss % – 止损百分比。
  • Enable Stop Loss – 是否启用止损。
  • Take Profit % – 止盈百分比。
  • Enable Long – 允许开多。
  • Enable Short – 允许开空。

所有参数均通过 StrategyParam 创建，可在 Designer 中进行优化。

使用方法

  1. 将策略连接到目标交易品种。
  2. 配置参数或保留默认值（8 周期动量和 8 周期 JMA，使用 8 小时K线）。
  3. 启动策略。当动量方向发生反转时，会通过 BuyMarket 和 SellMarket 发送订单。

说明

  • 策略只处理收盘完成的K线。
  • 指标颜色未显式指定，由 Designer 自动选择。
  • 代码遵循项目规则，不使用 LINQ 或自定义集合。
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>Completed-candle momentum smoothed by a Jurik moving average.</summary>
public class ColorJMomentumStrategy : Strategy
{
	private readonly StrategyParam<int> _momentumLength, _jmaLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent, _takeProfitPercent;
	private readonly StrategyParam<bool> _enableStopLoss, _enableLong, _enableShort;

	private JurikMovingAverage _jma;
	private decimal? _previous, _beforePrevious;
	private Order _pending;

	public int MomentumLength { get => _momentumLength.Value; set => _momentumLength.Value = value; }
	public int JmaLength { get => _jmaLength.Value; set => _jmaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public bool EnableStopLoss { get => _enableStopLoss.Value; set => _enableStopLoss.Value = value; }
	public bool EnableLong { get => _enableLong.Value; set => _enableLong.Value = value; }
	public bool EnableShort { get => _enableShort.Value; set => _enableShort.Value = value; }

	public ColorJMomentumStrategy()
	{
		_momentumLength = Param(nameof(MomentumLength), 8).SetGreaterThanZero()
			.SetDisplay("Momentum Length", "Momentum lookback", "Indicator");
		_jmaLength = Param(nameof(JmaLength), 8).SetGreaterThanZero()
			.SetDisplay("JMA Length", "Smoothing length", "Indicator");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(8).TimeFrame())
			.SetDisplay("Candle Type", "Signal candle timeframe", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 1m).SetNotNegative()
			.SetDisplay("Stop Loss %", "Optional native percent risk distance", "Risk");
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2m).SetNotNegative()
			.SetDisplay("Take Profit %", "Native percent target distance", "Risk");
		_enableStopLoss = Param(nameof(EnableStopLoss), true)
			.SetDisplay("Enable Stop Loss", "Activate initial stop", "Risk");
		_enableLong = Param(nameof(EnableLong), true)
			.SetDisplay("Enable Long", "Allow long entries", "Trading");
		_enableShort = Param(nameof(EnableShort), true)
			.SetDisplay("Enable Short", "Allow short entries", "Trading");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_jma = null;
		_previous = _beforePrevious = null;
		_pending = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previous = _beforePrevious = null;
		_pending = null;
		var momentum = new Momentum { Length = MomentumLength };
		_jma = new JurikMovingAverage { Length = JmaLength };
		Indicators.Add(_jma);
		SubscribeCandles(CandleType).Bind(momentum, ProcessCandle).Start();
		StartProtection(
			takeProfit: new Unit(TakeProfitPercent, UnitTypes.Percent),
			stopLoss: new Unit(EnableStopLoss ? StopLossPercent : 0m, UnitTypes.Percent),
			useMarketOrders: true);
	}

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

		var result = _jma.Process(momentum, candle.OpenTime, true);
		if (!result.IsFormed)
			return;
		var value = result.ToDecimal();
		var up = _beforePrevious is decimal before && _previous is decimal previous
			&& previous < before && value > previous;
		var down = _beforePrevious is decimal beforeDown && _previous is decimal previousDown
			&& previousDown > beforeDown && value < previousDown;
		_beforePrevious = _previous;
		_previous = value;

		if (!IsFormedAndOnlineAndAllowTrading()
			|| (_pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed)))
			return;
		if (up)
		{
			if (Position < 0m)
				_pending = BuyMarket(-Position + (EnableLong ? Volume : 0m));
			else if (Position == 0m && EnableLong)
				_pending = BuyMarket(Volume);
		}
		else if (down)
		{
			if (Position > 0m)
				_pending = SellMarket(Position + (EnableShort ? Volume : 0m));
			else if (Position == 0m && EnableShort)
				_pending = SellMarket(Volume);
		}
	}
}