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日内突破策略

该策略利用每日开盘价的突破。每个交易日开始时记录开盘价，当价格偏离该水平达到设定的点数且前一根K线的实体在允许范围内时，在突破方向开仓。

入场逻辑

  • 如果前一根K线为阳线且价格向上突破开盘价 Break Point 点，则做多。
  • 如果前一根K线为阴线且价格向下突破开盘价 Break Point 点，则做空。
  • 前一根K线的实体必须位于 Last Bar Min 与 Last Bar Max 点之间。
  • 突破价位必须位于前一根K线实体内部。

风险控制

  • 可选的 Take Profit 与 Stop Loss 以点数形式从入场价计算。
  • 通过 Trailing Start、Trailing Stop 和 Trailing Step 参数启用移动止损。当价格朝有利方向移动 Trailing Start 点后，止损设在 Trailing Stop 点处，并以 Trailing Step 的步长跟随。

参数

名称 说明
Candle Type 使用的K线周期。
Break Point 触发交易的开盘价偏离距离（点）。
Last Bar Min 前一根K线的最小实体大小（点）。
Last Bar Max 前一根K线的最大实体大小（点）。
Trailing Start 启动移动止损所需的价格变动（点）。
Trailing Stop 初始移动止损距离（点）。
Trailing Step 移动止损的跟踪步长（点）。
Take Profit 盈利目标距离（点）。
Stop Loss 止损距离（点）。

说明

该策略仅处理已完成的K线，并使用市价单进出场。内部变量用于存储前一根K线数据和移动止损水平。

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>
/// Daily breakout strategy based on the previous bar size and daily open.
/// </summary>
public class DailyBreakpointStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _breakPointPct;
	private readonly StrategyParam<decimal> _lastBarMinPct;
	private readonly StrategyParam<decimal> _lastBarMaxPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<decimal> _stopLossPct;

	private decimal _prevOpen;
	private decimal _prevClose;
	private DateTimeOffset _prevTime;
	private bool _hasPrev;
	private decimal _dayOpen;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal BreakPointPct { get => _breakPointPct.Value; set => _breakPointPct.Value = value; }
	public decimal LastBarMinPct { get => _lastBarMinPct.Value; set => _lastBarMinPct.Value = value; }
	public decimal LastBarMaxPct { get => _lastBarMaxPct.Value; set => _lastBarMaxPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }

	public DailyBreakpointStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
		_breakPointPct = Param(nameof(BreakPointPct), 0.3m)
			.SetDisplay("Break Point %", "Breakout offset as % of price", "General");
		_lastBarMinPct = Param(nameof(LastBarMinPct), 0.05m)
			.SetDisplay("Min Bar %", "Minimal bar size as % of price", "Filter");
		_lastBarMaxPct = Param(nameof(LastBarMaxPct), 1.0m)
			.SetDisplay("Max Bar %", "Maximum bar size as % of price", "Filter");
		_takeProfitPct = Param(nameof(TakeProfitPct), 2m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");
		_stopLossPct = Param(nameof(StopLossPct), 1m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOpen = default;
		_prevClose = default;
		_prevTime = default;
		_hasPrev = default;
		_dayOpen = default;
	}

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

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			isStopTrailing: true,
			useMarketOrders: true);

		var sub = SubscribeCandles(CandleType);
		sub.Bind(Process).Start();
	}

	private void Process(ICandleMessage c)
	{
		if (c.State != CandleStates.Finished)
			return;

		if (!_hasPrev || c.OpenTime.Date != _prevTime.Date)
			_dayOpen = c.OpenPrice;

		if (Position == 0 && _hasPrev)
		{
			var price = c.ClosePrice;
			var lastSize = Math.Abs(_prevClose - _prevOpen);
			var minSize = LastBarMinPct / 100m * price;
			var maxSize = LastBarMaxPct / 100m * price;
			var offset = BreakPointPct / 100m * price;
			var breakBuy = _dayOpen + offset;
			var breakSell = _dayOpen - offset;

			if (_prevClose > _prevOpen && price - _dayOpen >= offset &&
				lastSize >= minSize && lastSize <= maxSize &&
				breakBuy >= _prevOpen && breakBuy <= _prevClose)
			{
				BuyMarket();
			}
			else if (_prevClose < _prevOpen && _dayOpen - price >= offset &&
				lastSize >= minSize && lastSize <= maxSize &&
				breakSell <= _prevOpen && breakSell >= _prevClose)
			{
				SellMarket();
			}
		}

		_prevOpen = c.OpenPrice;
		_prevClose = c.ClosePrice;
		_prevTime = c.OpenTime;
		_hasPrev = true;
	}
}