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MaDelta策略

MaDelta策略计算快慢移动平均线之间的差值。该差值先乘以系数再立方，形成振荡值px。两个由Delta（以点数表示）间隔的动态阈值跟踪px的最新高点和低点。当px突破上阈值时，策略转为做多；当px跌破下阈值时，策略转为做空。若当前持仓与新信号方向相反，先平仓再按信号方向开仓。

该方法能够捕捉到两条均线距离快速扩张时的强劲动能。立方运算放大了大的变化并过滤小幅波动。参数Delta定义了px在确认反转前需要移动的距离，从而减少震荡行情中的虚假信号。

细节

  • 入场条件：
    • 做多：px > hi 设置 trade = 1，在空仓时开多。
    • 做空：px < lo 设置 trade = -1，在空仓时开空。
  • 反向逻辑：
    • 做多信号出现且持有空单时，先用市价买单平空再开多。
    • 做空信号出现且持有多单时，先用市价卖单平多再开空。
  • 指标：
    • 快速移动平均线（SMA），周期为FastMaPeriod。
    • 慢速移动平均线（EMA），周期为SlowMaPeriod。
    • 振荡器：px = ((Multiplier * 0.1) * (FastMA - SlowMA))^3。
  • 参数：
    • Delta – 高低通道的宽度（点）。
    • Multiplier – 在立方之前对均线差值进行缩放。
    • FastMaPeriod – 快速SMA的周期。
    • SlowMaPeriod – 慢速EMA的周期。
    • Volume – 入场订单量。
    • CandleType – 处理的K线周期。
  • 其他说明：
    • 仅处理已完成的K线。
    • 无固定止损或止盈，反向信号时反手。
    • 使用高级API绑定指标并自动绘图。
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Moving Average Delta strategy. Trades when the cubed amplified difference
/// between fast and slow moving averages crosses dynamic thresholds.
/// </summary>
public class MaDeltaStrategy : Strategy
{
	private readonly StrategyParam<int> _delta;
	private readonly StrategyParam<int> _multiplier;
	private readonly StrategyParam<int> _fastMaPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _hi;
	private decimal _lo;
	private bool _isInit;
	private int _trade;
	private decimal _deltaStep;
	private decimal _multiplierFactor;

	public int Delta { get => _delta.Value; set => _delta.Value = value; }
	public int Multiplier { get => _multiplier.Value; set => _multiplier.Value = value; }
	public int FastMaPeriod { get => _fastMaPeriod.Value; set => _fastMaPeriod.Value = value; }
	public int SlowMaPeriod { get => _slowMaPeriod.Value; set => _slowMaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MaDeltaStrategy()
	{
		_delta = Param(nameof(Delta), 195)
			.SetDisplay("Delta (pips)", "Hi-Lo threshold in pips", "General")
			.SetOptimize(50, 300, 5);

		_multiplier = Param(nameof(Multiplier), 392)
			.SetDisplay("Multiplier", "Amplifier for MA difference", "General")
			.SetOptimize(100, 500, 10);

		_fastMaPeriod = Param(nameof(FastMaPeriod), 26)
			.SetDisplay("Fast MA Period", "Period for fast moving average", "Indicators")
			.SetOptimize(5, 50, 1);

		_slowMaPeriod = Param(nameof(SlowMaPeriod), 51)
			.SetDisplay("Slow MA Period", "Period for slow moving average", "Indicators")
			.SetOptimize(10, 100, 1);

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_hi = 0m;
		_lo = 0m;
		_isInit = false;
		_trade = 0;
		_deltaStep = 0m;
		_multiplierFactor = 0m;
	}

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

		_hi = 0m;
		_lo = 0m;
		_isInit = false;
		_trade = 0;

		_deltaStep = Delta * 0.00001m;
		_multiplierFactor = Multiplier * 0.1m;

		var fastMa = new ExponentialMovingAverage { Length = FastMaPeriod };
		var slowMa = new ExponentialMovingAverage { Length = SlowMaPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var diff = _multiplierFactor * (fastMaValue - slowMaValue);
		var px = (decimal)Math.Pow((double)diff, 3);

		if (!_isInit)
		{
			_hi = 0m;
			_lo = 0m;
			_trade = 0;
			_isInit = true;
		}

		if (px > _hi)
		{
			_hi = px;
			_lo = _hi - _deltaStep;
			_trade = 1;
		}
		else if (px < _lo)
		{
			_lo = px;
			_hi = _lo + _deltaStep;
			_trade = -1;
		}

		if (_trade == 1 && Position <= 0)
			BuyMarket();
		else if (_trade == -1 && Position >= 0)
			SellMarket();
	}
}