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XKRI Histogram 策略

该策略基于 Kairi Relative Index 指标，并使用指数移动平均进行平滑。系统在平滑后的振荡器出现局部高点或低点时识别反转模式并开仓做多或做空。

细节

  • 入场条件：
    • 做多：Kri[1] < Kri[2] && Kri[0] > Kri[1]
    • 做空：Kri[1] > Kri[2] && Kri[0] < Kri[1]
  • 多空方向：双向
  • 止损/止盈：按点数设定
  • 默认值：
    • KriPeriod = 20
    • SmoothPeriod = 7
    • TakeProfit = 2000
    • StopLoss = 1000
    • CandleType = TimeSpan.FromHours(4).TimeFrame()
  • 过滤器：
    • 类别：反转
    • 方向：双向
    • 指标：Kairi、EMA
    • 止损：是
    • 复杂度：初级
    • 时间框架：中期
    • 季节性：否
    • 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;

public class XkriHistogramStrategy : Strategy
{
	private readonly StrategyParam<int> _kriPeriod;
	private readonly StrategyParam<int> _smoothPeriod;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _smooth;
	private decimal _last;
	private decimal _prev;
	private decimal _prev2;
	private int _valueCount;

	public int KriPeriod { get => _kriPeriod.Value; set => _kriPeriod.Value = value; }
	public int SmoothPeriod { get => _smoothPeriod.Value; set => _smoothPeriod.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public XkriHistogramStrategy()
	{
		_kriPeriod = Param(nameof(KriPeriod), 20)
			.SetDisplay("KRI Period", "Base moving average period", "Indicators");

		_smoothPeriod = Param(nameof(SmoothPeriod), 7)
			.SetDisplay("Smooth Period", "EMA smoothing period", "Indicators");

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

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

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_smooth = default;
		_last = 0;
		_prev = 0;
		_prev2 = 0;
		_valueCount = 0;
	}

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

		var ma = new ExponentialMovingAverage { Length = KriPeriod };
		_smooth = new ExponentialMovingAverage { Length = SmoothPeriod };

		Indicators.Add(_smooth);

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ma, (candle, maValue) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (maValue == 0) return;

			var kri = 100m * (candle.ClosePrice - maValue) / maValue;
			var smoothResult = _smooth.Process(kri, candle.OpenTime, true);
			if (!smoothResult.IsFormed)
				return;

			var smooth = smoothResult.ToDecimal();

			_prev2 = _prev;
			_prev = _last;
			_last = smooth;
			_valueCount++;

			if (_valueCount < 3)
				return;

			var longSignal = _prev < _prev2 && _last > _prev && Position <= 0;
			var shortSignal = _prev > _prev2 && _last < _prev && Position >= 0;

			if (longSignal)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			else if (shortSignal)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}).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);
			DrawIndicator(area, _smooth);
			DrawOwnTrades(area);
		}
	}
}