中文 ZH
在 GitHub 上查看

Color LeMan Trend 策略

该策略移植自原始的 MQL5 专家顾问 ColorLeManTrend。指标基于三个不同周期的最高价和最低价计算多头线与空头线，并使用指数移动平均进行平滑。

思路

  • 当上一根柱子的多头线高于空头线，当前多头线下穿空头线时，产生买入信号。
  • 当上一根柱子的多头线低于空头线，当前多头线上穿空头线时，产生卖出信号。
  • 通过参数可控制是否允许开仓或平仓。

参数

  • CandleType – 指标计算所使用的时间框架。
  • Min – 最短极值计算周期。
  • Midle – 中等极值计算周期。
  • Max – 最长极值计算周期。
  • PeriodEma – 多头线与空头线的平滑周期。
  • StopLossPoints – 止损点数。
  • TakeProfitPoints – 止盈点数。
  • AllowBuy – 允许做多。
  • AllowSell – 允许做空。
  • AllowBuyClose – 允许平多。
  • AllowSellClose – 允许平空。
  • Volume – 每次交易的数量。

说明

策略仅处理完成的 K 线，并通过市价单进行交易。止损和止盈通过内置的保护机制实现。

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 based on the Color LeMan Trend indicator.
/// </summary>
public class ColorLemanTrendStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _minPeriod;
	private readonly StrategyParam<int> _midPeriod;
	private readonly StrategyParam<int> _maxPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<bool> _allowBuy;
	private readonly StrategyParam<bool> _allowSell;
	private readonly StrategyParam<bool> _allowBuyClose;
	private readonly StrategyParam<bool> _allowSellClose;

	private ExponentialMovingAverage _bullsEma;
	private ExponentialMovingAverage _bearsEma;

	private decimal? _prevBulls;
	private decimal? _prevBears;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int Min { get => _minPeriod.Value; set => _minPeriod.Value = value; }
	public int Midle { get => _midPeriod.Value; set => _midPeriod.Value = value; }
	public int Max { get => _maxPeriod.Value; set => _maxPeriod.Value = value; }
	public int PeriodEma { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public decimal StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public decimal TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }
	public bool AllowBuy { get => _allowBuy.Value; set => _allowBuy.Value = value; }
	public bool AllowSell { get => _allowSell.Value; set => _allowSell.Value = value; }
	public bool AllowBuyClose { get => _allowBuyClose.Value; set => _allowBuyClose.Value = value; }
	public bool AllowSellClose { get => _allowSellClose.Value; set => _allowSellClose.Value = value; }

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

		_minPeriod = Param(nameof(Min), 13)
			.SetGreaterThanZero()
			.SetDisplay("Min", "Shortest period", "Indicator")
			;

		_midPeriod = Param(nameof(Midle), 21)
			.SetGreaterThanZero()
			.SetDisplay("Midle", "Middle period", "Indicator")
			;

		_maxPeriod = Param(nameof(Max), 34)
			.SetGreaterThanZero()
			.SetDisplay("Max", "Longest period", "Indicator")
			;

		_emaPeriod = Param(nameof(PeriodEma), 3)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Smoothing length", "Indicator")
			;

		_stopLossPoints = Param(nameof(StopLossPoints), 1000m)
			.SetDisplay("Stop Loss", "Stop loss in points", "Protection")
			;

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 2000m)
			.SetDisplay("Take Profit", "Take profit in points", "Protection")
			;

		_allowBuy = Param(nameof(AllowBuy), true)
			.SetDisplay("Allow Buy", "Enable long entries", "Trading");

		_allowSell = Param(nameof(AllowSell), true)
			.SetDisplay("Allow Sell", "Enable short entries", "Trading");

		_allowBuyClose = Param(nameof(AllowBuyClose), true)
			.SetDisplay("Allow Buy Close", "Allow closing longs", "Trading");

		_allowSellClose = Param(nameof(AllowSellClose), true)
			.SetDisplay("Allow Sell Close", "Allow closing shorts", "Trading");

	}

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

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

		_bullsEma?.Reset();
		_bearsEma?.Reset();
		_bullsEma = null!;
		_bearsEma = null!;
		_prevBulls = null;
		_prevBears = null;
	}

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

		_bullsEma = new EMA { Length = PeriodEma };
		_bearsEma = new EMA { Length = PeriodEma };

		var highestMin = new Highest { Length = Min };
		var highestMid = new Highest { Length = Midle };
		var highestMax = new Highest { Length = Max };
		var lowestMin = new Lowest { Length = Min };
		var lowestMid = new Lowest { Length = Midle };
		var lowestMax = new Lowest { Length = Max };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highestMin, highestMid, highestMax, lowestMin, lowestMid, lowestMax, ProcessCandle)
			.Start();

		StartProtection(
			new Unit(TakeProfitPoints, UnitTypes.Absolute),
			new Unit(StopLossPoints, UnitTypes.Absolute),
			false);

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

	private void ProcessCandle(ICandleMessage candle,
		decimal highestMin, decimal highestMid, decimal highestMax,
		decimal lowestMin, decimal lowestMid, decimal lowestMax)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var hh = 3m * candle.HighPrice - (highestMin + highestMid + highestMax);
		var ll = (lowestMin + lowestMid + lowestMax) - 3m * candle.LowPrice;

		var bullsValue = _bullsEma.Process(hh, candle.OpenTime, true);
		var bearsValue = _bearsEma.Process(ll, candle.OpenTime, true);

		if (!bullsValue.IsFinal || !bearsValue.IsFinal || bullsValue.IsEmpty || bearsValue.IsEmpty)
			return;
		if (!_bullsEma.IsFormed || !_bearsEma.IsFormed)
			return;

		var bulls = bullsValue.ToDecimal();
		var bears = bearsValue.ToDecimal();

		bool buyOpen = false;
		bool sellOpen = false;
		bool buyClose = false;
		bool sellClose = false;

		if (_prevBulls is decimal prevUp && _prevBears is decimal prevDn)
		{
			if (prevUp > prevDn)
			{
				if (AllowBuy && bulls <= bears)
					buyOpen = true;
				if (AllowSellClose)
					sellClose = true;
			}

			if (prevUp < prevDn)
			{
				if (AllowSell && bulls >= bears)
					sellOpen = true;
				if (AllowBuyClose)
					buyClose = true;
			}
		}

		_prevBulls = bulls;
		_prevBears = bears;

		if (sellClose && Position < 0)
			BuyMarket(Volume);

		if (buyClose && Position > 0)
			SellMarket(Volume);

		if (buyOpen && Position <= 0)
			BuyMarket(Volume);

		if (sellOpen && Position >= 0)
			SellMarket(Volume);
	}
}