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Labouchere EA 策略

本策略结合了随机振荡指标交叉与 Labouchere 资金管理序列。当 %K 线与 %D 线交叉时生成买卖信号。Labouchere 系统在每次平仓后调整交易手数：亏损时在序列末尾添加首尾元素之和，盈利时移除首尾元素。

策略仅在已完成的 K 线上执行交易。序列在所有元素被移除后可选择重新开始。时间过滤器允许在指定时段内交易，反向信号可用于平仓。支持以价格步长为单位的固定止损和止盈。

细节

  • 入场条件：
    • 做多：%K 从下向上穿越 %D。
    • 做空：%K 从上向下穿越 %D。
  • 多空方向：双向。
  • 出场条件：
    • 可选的反向信号平仓。
    • 固定止损和止盈（若设置）。
  • 止损：支持。
  • 资金管理：Labouchere 序列。
  • 默认参数：
    • LotSequence = "0.01,0.02,0.01,0.02,0.01,0.01,0.01,0.01"
    • NewRecycle = true
    • StopLoss = 40
    • TakeProfit = 50
    • IsReversed = false
    • UseOppositeExit = false
    • UseWorkTime = false
    • StartTime = 00:00
    • StopTime = 24:00
    • KPeriod = 10
    • DPeriod = 190
  • 筛选：
    • 类别：混合
    • 方向：双向
    • 指标：Stochastic Oscillator
    • 止损：有
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：中等
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Labouchere betting system strategy using Stochastic oscillator for signals.
/// Adjusts position sizing based on the Labouchere sequence.
/// </summary>
public class LabouchereEaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;

	private decimal? _prevK;
	private decimal? _prevD;
	private decimal _entryPrice;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int KPeriod { get => _kPeriod.Value; set => _kPeriod.Value = value; }
	public int DPeriod { get => _dPeriod.Value; set => _dPeriod.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }

	public LabouchereEaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles used", "General");

		_kPeriod = Param(nameof(KPeriod), 10)
			.SetDisplay("K Period", "Stochastic %K period", "Indicator")
			.SetGreaterThanZero();

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetDisplay("D Period", "Stochastic %D period", "Indicator")
			.SetGreaterThanZero();

		_stopLossPct = Param(nameof(StopLossPct), 1m)
			.SetDisplay("Stop Loss %", "Stop loss percent", "Risk")
			.SetGreaterThanZero();

		_takeProfitPct = Param(nameof(TakeProfitPct), 1.5m)
			.SetDisplay("Take Profit %", "Take profit percent", "Risk")
			.SetGreaterThanZero();
	}

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

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

		var stoch = new StochasticOscillator
		{
			K = { Length = KPeriod },
			D = { Length = DPeriod }
		};

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

		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(stoch, ProcessCandle).Start();
	}

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

		if (!stochValue.IsFinal || !stochValue.IsFormed)
			return;

		var stoch = (IStochasticOscillatorValue)stochValue;

		if (stoch.K is not decimal k || stoch.D is not decimal d)
			return;

		var signal = 0;

		if (_prevK.HasValue && _prevD.HasValue)
		{
			if (_prevK <= _prevD && k > d)
				signal = 1;
			else if (_prevK >= _prevD && k < d)
				signal = -1;
		}

		_prevK = k;
		_prevD = d;

		if (signal == 0)
			return;

		if (signal > 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_entryPrice = candle.ClosePrice;
		}
		else if (signal < 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_entryPrice = candle.ClosePrice;
		}
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevK = null;
		_prevD = null;
		_entryPrice = 0m;
	}
}