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VininI Trend LRMA 策略

VininI Trend LRMA 策略使用线性回归移动平均线（LRMA）来追踪市场方向。策略支持两种入场模式：

  • Breakdown：当 LRMA 突破预设的上/下水平时交易。
  • Twist：当 LRMA 改变方向时交易。

细节

  • 入场条件：LRMA 突破水平（Breakdown）或方向反转（Twist）
  • 多头/空头：同时支持
  • 出场条件：反向信号
  • 止损：无
  • 默认值：
    • CandleType = TimeFrameCandle 4h
    • Period = 13
    • UpLevel = 10
    • DnLevel = -10
    • Mode = Breakdown
  • 筛选器：
    • 类别: Trend
    • 方向: Both
    • 指标: LinearRegression
    • 止损: None
    • 复杂度: Basic
    • 时间框架: Any
    • 季节性: No
    • 神经网络: No
    • 背离: No
    • 风险等级: Medium
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>
/// VininI Trend LRMA strategy.
/// Computes a trend oscillator as deviation from linear regression.
/// Buys when oscillator crosses above upper level, sells when below lower level.
/// </summary>
public class VininITrendLrmaStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _upLevel;
	private readonly StrategyParam<decimal> _dnLevel;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevOsc;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public decimal UpLevel { get => _upLevel.Value; set => _upLevel.Value = value; }
	public decimal DnLevel { get => _dnLevel.Value; set => _dnLevel.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VininITrendLrmaStrategy()
	{
		_period = Param(nameof(Period), 13)
			.SetGreaterThanZero()
			.SetDisplay("LRMA period", "Linear regression period", "General");

		_upLevel = Param(nameof(UpLevel), 0.1m)
			.SetDisplay("Upper level", "Upper trigger level (percent)", "General");

		_dnLevel = Param(nameof(DnLevel), -0.1m)
			.SetDisplay("Lower level", "Lower trigger level (percent)", "General");

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

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

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

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

		_prevOsc = null;

		var lrma = new LinearReg { Length = Period };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(lrma, ProcessCandle)
			.Start();

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

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

		if (lrma == 0)
			return;

		// Compute trend oscillator as percentage deviation from LRMA
		var osc = (candle.ClosePrice - lrma) / lrma * 100m;

		if (_prevOsc is not null)
		{
			// Breakout mode
			if (osc > UpLevel && _prevOsc <= UpLevel && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			else if (osc < DnLevel && _prevOsc >= DnLevel && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevOsc = osc;
	}
}