中文 ZH
在 GitHub 上查看

颜色零延迟 JJRSX 策略

该策略复制 MetaTrader 中 ColorZerolagJJRSX 交易策略的逻辑，使用两条平滑处理的 RSI 线来接近原始指标。快线和慢线的交叉用于生成交易信号。

工作原理

  • 当快线从慢线下方突破时，策略关闭所有空仓且可选择开立一笔多仓。
  • 当快线从慢线上方突破时，策略关闭所有多仓且可选择开立一笔空仓。
  • 使用 StartProtection 机制设置止损和目标价目标。

参数

名称 描述
FastPeriod JJRSX 快线周期
SlowPeriod JJRSX 慢线周期
BuyOpen 是否允许开多
SellOpen 是否允许开空
BuyClose 遇到反向信号时关闭多仓
SellClose 遇到反向信号时关闭空仓
StopLoss 止损点（价格单位）
TakeProfit 目标价（价格单位）
CandleType 计算使用的K红时间周期

备注

  • 策略使用内置指标和高级 Bind API。
  • 交易量从策略的 Volume 属性获取。
  • 本策略不提供 Python 版本。

参考

原 MQL 代码位于本仓库的 MQL/13854。

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 crossing of two RSI lines (fast and slow).
/// </summary>
public class ColorZerolagJjrsxStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevFast;
	private decimal? _prevSlow;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorZerolagJjrsxStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast RSI period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow RSI period", "Indicator");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = null;
		_prevSlow = null;
	}

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

		var fastRsi = new RelativeStrengthIndex { Length = FastPeriod };
		var slowRsi = new RelativeStrengthIndex { Length = SlowPeriod };

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

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

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

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

		if (_prevFast is null || _prevSlow is null)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		var crossDown = _prevFast > _prevSlow && fast < slow;
		var crossUp = _prevFast < _prevSlow && fast > slow;

		if (crossDown && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossUp && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}