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Ergodic Ticks Volume OSMA 策略

概述

该策略是 MQL5 专家 "Exp_Ergodic_Ticks_Volume_OSMA" 在 StockSharp 平台上的改写。原始专家使用自定义指标来评估逐笔成交量动量，本版本使用 MACD 直方图来近似这个指标。

策略根据直方图的连续变化开仓或平仓：

  • 连续两次上升触发做多，并关闭现有空头。
  • 连续两次下降触发做空，并关闭现有多头。

在启动时调用 StartProtection() 以避免与现有仓位冲突。

参数

  • FastLength – MACD 快速 EMA 周期，默认 12。
  • SlowLength – MACD 慢速 EMA 周期，默认 26。
  • SignalLength – MACD 信号 EMA 周期，默认 9。
  • CandleType – 使用的蜡烛周期，默认 8 小时。

交易逻辑

  1. 订阅所选 CandleType 的蜡烛。
  2. 对每根完成的蜡烛计算 MACD 直方图。
  3. 直方图连续上升两次时，平空并买入。
  4. 直方图连续下降两次时，平多并卖出。
  5. 每当出现新蜡烛时重复上述步骤。
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 MACD histogram as an approximation of the Ergodic Ticks Volume OSMA indicator.
/// </summary>
public class ErgodicTicksVolumeOsmaStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHist;
	private decimal _prevPrevHist;
	private int _candleCount;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ErgodicTicksVolumeOsmaStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12).SetDisplay("Fast EMA", "Fast EMA length", "Indicators");
		_slowLength = Param(nameof(SlowLength), 26).SetDisplay("Slow EMA", "Slow EMA length", "Indicators");
		_signalLength = Param(nameof(SignalLength), 9).SetDisplay("Signal EMA", "Signal EMA length", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(8).TimeFrame()).SetDisplay("Timeframe", "Timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHist = default;
		_prevPrevHist = default;
		_candleCount = default;
	}

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

		var macd = new MovingAverageConvergenceDivergenceSignal(
			new MovingAverageConvergenceDivergence
			{
				ShortMa = { Length = FastLength },
				LongMa = { Length = SlowLength },
			},
			new ExponentialMovingAverage { Length = SignalLength }
		);

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (value is not MovingAverageConvergenceDivergenceSignalValue macdTyped)
			return;

		if (macdTyped.Macd is not decimal macdVal || macdTyped.Signal is not decimal signalVal)
			return;

		var hist = macdVal - signalVal;

		_candleCount++;
		if (_candleCount <= 2)
		{
			_prevPrevHist = _prevHist;
			_prevHist = hist;
			return;
		}

		var rising = _prevHist >= _prevPrevHist && hist >= _prevHist;
		var falling = _prevHist <= _prevPrevHist && hist <= _prevHist;

		if (rising && Position <= 0)
		{
			BuyMarket();
		}
		else if (falling && Position >= 0)
		{
			SellMarket();
		}

		_prevPrevHist = _prevHist;
		_prevHist = hist;
	}
}