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Fibo Candles 趋势策略

该策略采用自定义的 Fibo Candles 技术来判断趋势方向。 指标根据斐波那契比例比较当前收盘价与最近的最高/最低区间，将每根K线着色。 颜色转换被视为潜在反转信号：当颜色变成看涨时，策略平掉空头并开多； 当颜色变成看跌时，平掉多头并开空。

通过可调的回溯期和斐波那契级别，方法能够适应市场波动。 每笔交易都通过固定点数的止损和止盈进行保护。

详情

  • 入场条件：
    • 做多：当前K线颜色从看跌变为看涨。
    • 做空：当前K线颜色从看涨变为看跌。
  • 方向：双向。
  • 离场条件：
    • 当出现相反颜色时关闭持仓。
  • 止损/止盈：通过 StartProtection 设置固定点数的止损和止盈。
  • 默认参数：
    • Period = 10（用于计算高低区间的K线数量）。
    • Fibo Level = 0.236（用于判断趋势的比例）。
    • Stop Loss = 1000 点。
    • Take Profit = 2000 点。
  • 过滤器：
    • 分类：趋势跟随
    • 方向：双向
    • 指标：Highest, Lowest
    • 止损：是
    • 复杂度：中等
    • 时间框架：默认1小时
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险级别：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>
/// Strategy based on color changes of the Fibo Candles indicator.
/// The indicator colors candles according to Fibonacci ratios and trend direction.
/// A change from bearish to bullish color triggers a long entry and closes short positions.
/// A change from bullish to bearish color triggers a short entry and closes long positions.
/// </summary>
public class FiboCandlesTrendStrategy : Strategy
{
	public enum FiboLevels
	{
		Level1 = 1,
		Level2,
		Level3,
		Level4,
		Level5
	}

	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<FiboLevels> _fiboLevel;
	private readonly StrategyParam<int> _stopLoss;
	private readonly StrategyParam<int> _takeProfit;

	private Highest _highest;
	private Lowest _lowest;
	private int _trend;
	private int? _previousColor;
	private decimal _levelMultiplier;

	/// <summary>
	/// Type and timeframe of candles used by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Lookback period for high and low calculations.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

	/// <summary>
	/// Fibonacci level used by the indicator logic.
	/// </summary>
	public FiboLevels Level
	{
		get => _fiboLevel.Value;
		set => _fiboLevel.Value = value;
	}

	/// <summary>
	/// Stop loss in points.
	/// </summary>
	public int StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take profit in points.
	/// </summary>
	public int TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="FiboCandlesTrendStrategy"/>.
	/// </summary>
	public FiboCandlesTrendStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type and timeframe of candles", "General");

		_period = Param(nameof(Period), 10)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Lookback period for high/low", "FiboCandles")
			
			.SetOptimize(5, 30, 5);

		_fiboLevel = Param(nameof(Level), FiboLevels.Level1)
			.SetDisplay("Fibo Level", "Fibonacci ratio level", "FiboCandles");

		_stopLoss = Param(nameof(StopLoss), 1000)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss in points", "Risk")
			
			.SetOptimize(500, 2000, 500);

		_takeProfit = Param(nameof(TakeProfit), 2000)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit in points", "Risk")
			
			.SetOptimize(1000, 4000, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highest = null;
		_lowest = null;
		_trend = 0;
		_previousColor = null;
		_levelMultiplier = 0m;
	}

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

		_highest = new Highest { Length = Period };
		_lowest = new Lowest { Length = Period };
		_levelMultiplier = GetLevelMultiplier(Level);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_highest, _lowest, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_highest.IsFormed || !_lowest.IsFormed)
			return;

		var range = highest - lowest;
		var trend = _trend;
		var open = candle.OpenPrice;
		var close = candle.ClosePrice;

		if (open > close)
		{
			if (!(trend < 0 && range * _levelMultiplier < close - lowest))
				trend = 1;
			else
				trend = -1;
		}
		else
		{
			if (!(trend > 0 && range * _levelMultiplier < highest - close))
				trend = -1;
			else
				trend = 1;
		}

		var color = trend == 1 ? 1 : 0;

		if (_previousColor.HasValue)
		{
			if (color == 1 && _previousColor.Value == 0)
			{
				BuyMarket();
			}
			else if (color == 0 && _previousColor.Value == 1)
			{
				SellMarket();
			}
		}

		_previousColor = color;
		_trend = trend;
	}

	private static decimal GetLevelMultiplier(FiboLevels level)
	{
		return level switch
		{
			FiboLevels.Level1 => 0.236m,
			FiboLevels.Level2 => 0.382m,
			FiboLevels.Level3 => 0.500m,
			FiboLevels.Level4 => 0.618m,
			FiboLevels.Level5 => 0.762m,
			_ => 0.236m
		};
	}
}