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Zakryvator 策略

Zakryvator 策略用于风险管理：它监控当前持仓，一旦浮亏超过预设阈值就立即平仓。允许的亏损根据持仓量而变化，复现了原始 MQL 脚本中“不同手数对应不同最大回撤”的思想。

该策略本身不产生入场信号。仓位应由人工或其他策略开立，Zakryvator 仅负责在亏损达到限制时自动退出，以保护账户。

细节

  • 入场条件：无；仅管理已存在的仓位。
  • 出场条件：当亏损达到当前持仓量对应的阈值时平仓。
  • 多空方向：支持多头与空头。
  • 止损：根据仓位大小设置的固定货币损失上限。
  • 过滤器：无。

参数

参数 说明
Min001002 适用于持仓量 ≤ 0.02 手的最大亏损。
Min002005 适用于持仓量 0.02–0.05 手的最大亏损。
Min00501 适用于持仓量 0.05–0.10 手的最大亏损。
Min0103 适用于持仓量 0.10–0.30 手的最大亏损。
Min0305 适用于持仓量 0.30–0.50 手的最大亏损。
Min051 适用于持仓量 0.50–1 手的最大亏损。
MinFrom1 适用于持仓量大于 1 手的最大亏损。

行为

  1. 策略订阅逐笔成交以获取实时价格。
  2. 每个成交都会根据当前价格与平均入场价计算浮动盈亏。
  3. 若亏损超过对应阈值，则以市价立即平仓。

因此，Zakryvator 提供了一种基于仓位大小限制回撤的简单有效方案。

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>
/// Strategy that opens positions using SMA crossover and closes them
/// when unrealized loss exceeds a volume-based threshold ("Zakryvator" = position closer on loss).
/// </summary>
public class ZakryvatorStrategy : Strategy
{
	private decimal _entryPrice;
	private decimal _lastPrice;
	private bool _prevShortAboveLong;

	private readonly SimpleMovingAverage _smaShort = new() { Length = 50 };
	private readonly SimpleMovingAverage _smaLong = new() { Length = 150 };

	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<decimal> _lossThreshold;

	/// <summary>Short SMA period.</summary>
	public int ShortPeriod { get => _shortPeriod.Value; set => _shortPeriod.Value = value; }

	/// <summary>Long SMA period.</summary>
	public int LongPeriod { get => _longPeriod.Value; set => _longPeriod.Value = value; }

	/// <summary>Maximum unrealized loss before closing position.</summary>
	public decimal LossThreshold { get => _lossThreshold.Value; set => _lossThreshold.Value = value; }

	/// <summary>Constructor.</summary>
	public ZakryvatorStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 50)
			.SetDisplay("Short SMA", "Short SMA period for entry signal", "Entry");
		_longPeriod = Param(nameof(LongPeriod), 150)
			.SetDisplay("Long SMA", "Long SMA period for entry signal", "Entry");
		_lossThreshold = Param(nameof(LossThreshold), 500m)
			.SetDisplay("Loss Threshold", "Max unrealized loss before closing position", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, TimeSpan.FromMinutes(5).TimeFrame())];

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

		_smaShort.Length = ShortPeriod;
		_smaLong.Length = LongPeriod;

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());

		subscription
			.Bind(_smaShort, _smaLong, ProcessCandle)
			.Start();
	}

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

		if (!_smaShort.IsFormed || !_smaLong.IsFormed)
			return;

		_lastPrice = candle.ClosePrice;

		var shortAboveLong = shortSma > longSma;

		// Check loss threshold for open position
		if (Position != 0 && _entryPrice != 0m)
		{
			var openPnL = Position * (_lastPrice - _entryPrice);

			if (openPnL <= -LossThreshold)
			{
				// Close on loss
				if (Position > 0)
					SellMarket();
				else
					BuyMarket();

				_entryPrice = 0m;
				_prevShortAboveLong = shortAboveLong;
				return;
			}
		}

		// SMA crossover entry/exit logic
		var crossUp = shortAboveLong && !_prevShortAboveLong;
		var crossDown = !shortAboveLong && _prevShortAboveLong;

		if (crossUp)
		{
			if (Position < 0)
			{
				BuyMarket();
				_entryPrice = 0m;
			}

			if (Position == 0)
			{
				BuyMarket();
				_entryPrice = _lastPrice;
			}
		}
		else if (crossDown)
		{
			if (Position > 0)
			{
				SellMarket();
				_entryPrice = 0m;
			}

			if (Position == 0)
			{
				SellMarket();
				_entryPrice = _lastPrice;
			}
		}

		_prevShortAboveLong = shortAboveLong;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_entryPrice = 0m;
		_lastPrice = 0m;
		_prevShortAboveLong = false;

		_smaShort.Reset();
		_smaLong.Reset();
	}
}