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KPrmSt Cross 策略

概述

KPrmSt Cross 策略移植自 MetaTrader 5 专家 exp_kprmst.mq5。策略使用类似随机指标的 KPrmSt 振荡器，当主线与信号线交叉时捕捉趋势反转。

策略订阅指定时间框架的K线，并计算 Stochastic 指标（作为 KPrmSt 的近似）。当 %K 线从上向下穿越 %D 线时开多仓；当 %K 线从下向上穿越 %D 线时开空仓，并相应地关闭已有仓位。

参数

  • Candle Type – 计算所用 K 线的时间框架。
  • K Period – 主线计算的周期。
  • D Period – 信号线的平滑周期。
  • Slowing – 对 %K 线的额外平滑。
  • Stop Loss – 以价格单位表示的止损，0 表示禁用。
  • Take Profit – 以价格单位表示的止盈，0 表示禁用。

交易逻辑

  1. 仅处理已经完成的 K 线。
  2. 保存振荡器的历史值以检测交叉。
  3. 当 %K 由上向下穿越 %D 时，开多仓或平空仓。
  4. 当 %K 由下向上穿越 %D 时，开空仓或平多仓。
  5. 可选的止损和止盈在达到设定的价格时平仓。

说明

  • 原始 KPrmSt 指标用 StockSharp 的 Stochastic 指标进行近似。
  • 原专家中的资金管理功能未实现。
  • 策略需要支持的行情数据与交易通道才能运行。
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>
/// KPrmSt cross strategy based on the stochastic oscillator.
/// Opens long when %K crosses above %D from below.
/// Opens short when %K crosses below %D from above.
/// </summary>
public class KprmStCrossStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;

	private StochasticOscillator _stochastic;
	private decimal? _prevK;
	private decimal? _prevD;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public decimal StopLossPct
	{
		get => _stopLossPct.Value;
		set => _stopLossPct.Value = value;
	}

	public decimal TakeProfitPct
	{
		get => _takeProfitPct.Value;
		set => _takeProfitPct.Value = value;
	}

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

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

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_stochastic = default;
		_prevK = null;
		_prevD = null;
	}

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

		_stochastic = new StochasticOscillator();

		Indicators.Add(_stochastic);

		var subscription = SubscribeCandles(CandleType);

		subscription.Bind(ProcessCandle).Start();

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

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

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

		var stochResult = _stochastic.Process(candle);
		if (!stochResult.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var stochVal = (StochasticOscillatorValue)stochResult;
		if (stochVal.K is not decimal k || stochVal.D is not decimal d)
			return;

		if (_prevK.HasValue && _prevD.HasValue)
		{
			var wasBelow = _prevK.Value < _prevD.Value;
			var isAbove = k > d;

			// K crosses above D -> buy
			if (wasBelow && isAbove && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			// K crosses below D -> sell
			else if (!wasBelow && !isAbove && _prevK.Value > _prevD.Value && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevK = k;
		_prevD = d;
	}
}