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ColorMETRO 随机指标策略

该策略是 MQL5 专家 exp_colormetro_stochastic.mq5 的 C# 版本。原始脚本使用自定义 ColorMETRO Stochastic 指标，这里改用 StockSharp 内置的 StochasticOscillator 并依据交叉信号进行交易。

逻辑

  • 默认订阅 8 小时K线（可配置）。
  • 计算随机指标，参数包括：
    • %K 周期 (KPeriod)
    • %D 周期 (DPeriod)
    • 额外平滑 (Slowing)
  • 记录上一根 K、D 值以检测交叉。
  • 当 %K 上穿 %D 时 买入。
  • 当 %K 下穿 %D 时 卖出。
  • 通过 StartProtection 设定 2% 的止损和止盈。

参数

名称 说明
KPeriod %K 计算周期，默认 5。
DPeriod %D 平滑周期，默认 3。
Slowing 额外平滑值，默认 3。
CandleType 使用的K线时间周期，默认 8 小时。

说明

原版 MQL 使用带有快速与慢速步进线的 ColorMETRO 指标。本版本使用标准随机指标来近似其信号。

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>
/// ColorMETRO Stochastic crossover strategy based on the Stochastic Oscillator.
/// Generates market entries when %K crosses %D.
/// </summary>
public class ColorMetroStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<int> _slowing;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevK;
	private decimal? _prevD;

	/// <summary>
	/// %K calculation period.
	/// </summary>
	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	/// <summary>
	/// %D smoothing period.
	/// </summary>
	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

	/// <summary>
	/// Additional smoothing value.
	/// </summary>
	public int Slowing
	{
		get => _slowing.Value;
		set => _slowing.Value = value;
	}

	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public ColorMetroStochasticStrategy()
	{
		_kPeriod = Param(nameof(KPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("K Period", "K calculation period", "Indicator")
			.SetOptimize(3, 15, 1);

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("D Period", "D smoothing period", "Indicator")
			.SetOptimize(2, 10, 1);

		_slowing = Param(nameof(Slowing), 3)
			.SetGreaterThanZero()
			.SetDisplay("Slowing", "Additional smoothing", "Indicator")
			.SetOptimize(1, 5, 1);

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

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

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

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

		_prevK = null;
		_prevD = null;

		var stoch = new StochasticOscillator();
		stoch.K.Length = KPeriod;
		stoch.D.Length = DPeriod;

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

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

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(2, UnitTypes.Percent));
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var stoch = (IStochasticOscillatorValue)stochValue;

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

		if (_prevK is decimal prevK && _prevD is decimal prevD)
		{
			// Bullish crossover: %K rises above %D
			if (prevK <= prevD && k > d && Position <= 0)
				BuyMarket();

			// Bearish crossover: %K falls below %D
			else if (prevK >= prevD && k < d && Position >= 0)
				SellMarket();
		}

		_prevK = k;
		_prevD = d;
	}
}