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Color Zerolag JCCX 策略

该策略源自 MetaTrader 的 ColorZerolagJCCX 指标。本实现使用两条简单移动平均线进行近似。 当快速均线下穿慢速均线时做多，当快速均线上穿慢速均线时做空。

详情

  • 入场条件:
    • 多头: 快速均线下穿慢速均线
    • 空头: 快速均线上穿慢速均线
  • 多空方向: 双向
  • 出场条件: 反向信号
  • 止损: StartProtection()
  • 默认参数:
    • FastPeriod = 8
    • SlowPeriod = 21
    • CandleType = 四小时K线
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 双向
    • 指标: 移动平均
    • 止损: 可选
    • 复杂度: 基础
    • 时间框架: 波段
    • 季节性: 无
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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>
/// Simple crossover strategy inspired by ColorZerolagJCCX indicator.
/// Uses two moving averages and trades on crossovers.
/// </summary>
public class ColorZerolagJccxStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private bool _initialized;
	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 DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorZerolagJccxStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA", "Fast moving average period", "Moving Average");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA", "Slow moving average period", "Moving Average");

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

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

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

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

		var fastMa = new ExponentialMovingAverage { Length = FastPeriod };
		var slowMa = new ExponentialMovingAverage { Length = SlowPeriod };

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

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

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

		if (!_initialized)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_initialized = true;
			return;
		}

		var wasFastAbove = _prevFast > _prevSlow;
		var isFastAbove = fast > slow;

		if (!wasFastAbove && isFastAbove && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (wasFastAbove && !isFastAbove && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}