中文 ZH
在 GitHub 上查看

Panel Joke 策略

该策略是将 MetaTrader 的 panel-joke 系统转换为 StockSharp。它比较当前和上一根 K 线的七个价格指标（开盘价、高点、低点、high/low 平均值、收盘价、high/low/close 平均值以及 high/low/close 加权平均值）。每个上涨的指标会增加买入计数器，每个下降的指标会增加卖出计数器。

当 Enable Autopilot 参数为 true 时，策略会根据计数器的高低自动开仓或反向开仓，不使用额外的指标或止损规则。

详情

  • 入场条件：
    • 做多：Buy counter > Sell counter。
    • 做空：Sell counter > Buy counter。
  • 出场条件：出现相反信号时反向。
  • 止损：无。
  • 默认值：
    • Enable Autopilot = true。
    • Candle Type = 5 分钟。
  • 筛选：
    • 类别：Price action
    • 方向：双向
    • 指标：无
    • 止损：否
    • 复杂度：基础
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险级别：高
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>
/// Simple heuristic strategy comparing current and previous candles.
/// Counts how many price components moved up or down and trades on majority.
/// </summary>
public class PanelJokeStrategy : Strategy
{
	private readonly StrategyParam<bool> _enableAutopilot;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOpen;
	private decimal _prevHigh;
	private decimal _prevLow;
	private decimal _prevClose;
	private bool _hasPrev;

	/// <summary>
	/// Enables automatic order execution.
	/// </summary>
	public bool EnableAutopilot
	{
		get => _enableAutopilot.Value;
		set => _enableAutopilot.Value = value;
	}

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

	/// <summary>
	/// Initializes parameters.
	/// </summary>
	public PanelJokeStrategy()
	{
		_enableAutopilot = Param(nameof(EnableAutopilot), true)
			.SetDisplay("Enable Autopilot", "Automatically trade based on signals", "General");

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

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

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

		_prevOpen = 0;
		_prevHigh = 0;
		_prevLow = 0;
		_prevClose = 0;
		_hasPrev = false;
	}

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

		var warmup = new ExponentialMovingAverage { Length = 5 };

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

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

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

		if (!_hasPrev)
		{
			_prevOpen = candle.OpenPrice;
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			_prevClose = candle.ClosePrice;
			_hasPrev = true;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevOpen = candle.OpenPrice;
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			_prevClose = candle.ClosePrice;
			return;
		}

		var buy = 0;
		var sell = 0;

		// Compare each OHLC component
		if (candle.OpenPrice > _prevOpen)
			buy++;
		else
			sell++;

		if (candle.HighPrice > _prevHigh)
			buy++;
		else
			sell++;

		if (candle.LowPrice > _prevLow)
			buy++;
		else
			sell++;

		var avgHL = (candle.HighPrice + candle.LowPrice) / 2m;
		var prevAvgHL = (_prevHigh + _prevLow) / 2m;
		if (avgHL > prevAvgHL)
			buy++;
		else
			sell++;

		if (candle.ClosePrice > _prevClose)
			buy++;
		else
			sell++;

		var avgHLC = (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m;
		var prevAvgHLC = (_prevHigh + _prevLow + _prevClose) / 3m;
		if (avgHLC > prevAvgHLC)
			buy++;
		else
			sell++;

		var avgHLCC = (candle.HighPrice + candle.LowPrice + 2m * candle.ClosePrice) / 4m;
		var prevAvgHLCC = (_prevHigh + _prevLow + 2m * _prevClose) / 4m;
		if (avgHLCC > prevAvgHLCC)
			buy++;
		else
			sell++;

		if (buy > sell && Position <= 0)
			BuyMarket();
		else if (sell > buy && Position >= 0)
			SellMarket();

		_prevOpen = candle.OpenPrice;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_prevClose = candle.ClosePrice;
	}
}