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自動駕駛交易面板策略

此策略將 MQL5 的「Trade panel with autopilot」示例移植到 StockSharp 框架。它在多個時間框中比較當前與前一根 K 線，計算多空百分比。當百分比超過 Open % 時開倉，跌破 Close % 時平倉。可選地，使用 10 分鐘 K 線的最新分形作為止損。

參數

  • Autopilot – 是否啟用自動交易。
  • Open % – 開倉所需的票數百分比。
  • Close % – 平倉的閾值。
  • Use Fixed Volume – 是否使用固定手數。
  • Fixed Volume – 固定手數。
  • Volume % – 當使用百分比時的資金比例。
  • Use Stop Loss – 是否啟用分形止損。

邏輯

策略遍歷從 1 分鐘到 1 個月的各個時間框，根據開、高、低、收及其平均值給出買賣票數。買賣百分比控制訂單執行。若啟用止損，10 分鐘分形作為拖尾止損。

本示例僅供教學使用，並非投資建議。

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Trade panel autopilot strategy.
/// Aggregates candle comparison signals over a rolling window.
/// Buys when buy signal percentage exceeds threshold, sells on opposite.
/// </summary>
public class TradePanelWithAutopilotStrategy : Strategy
{
	private readonly StrategyParam<decimal> _openThreshold;
	private readonly StrategyParam<decimal> _closeThreshold;
	private readonly StrategyParam<int> _windowSize;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<(int buy, int sell)> _signalWindow = new();
	private ICandleMessage _prevCandle;

	public decimal OpenThreshold { get => _openThreshold.Value; set => _openThreshold.Value = value; }
	public decimal CloseThreshold { get => _closeThreshold.Value; set => _closeThreshold.Value = value; }
	public int WindowSize { get => _windowSize.Value; set => _windowSize.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TradePanelWithAutopilotStrategy()
	{
		_openThreshold = Param(nameof(OpenThreshold), 70m)
			.SetDisplay("Open %", "Threshold for new position", "General");

		_closeThreshold = Param(nameof(CloseThreshold), 45m)
			.SetDisplay("Close %", "Threshold for closing", "General");

		_windowSize = Param(nameof(WindowSize), 10)
			.SetGreaterThanZero()
			.SetDisplay("Window Size", "Number of candles for signal aggregation", "General");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevCandle = null;
		_signalWindow.Clear();
	}

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

		_prevCandle = null;
		_signalWindow.Clear();

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

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

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

		if (_prevCandle == null)
		{
			_prevCandle = candle;
			return;
		}

		// Compare current vs previous candle across 7 metrics
		int buy = 0, sell = 0;

		if (candle.OpenPrice > _prevCandle.OpenPrice) buy++; else sell++;
		if (candle.HighPrice > _prevCandle.HighPrice) buy++; else sell++;
		if (candle.LowPrice > _prevCandle.LowPrice) buy++; else sell++;
		if (candle.ClosePrice > _prevCandle.ClosePrice) buy++; else sell++;

		var hlCurr = (candle.HighPrice + candle.LowPrice) / 2m;
		var hlPrev = (_prevCandle.HighPrice + _prevCandle.LowPrice) / 2m;
		if (hlCurr > hlPrev) buy++; else sell++;

		var hlcCurr = (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m;
		var hlcPrev = (_prevCandle.HighPrice + _prevCandle.LowPrice + _prevCandle.ClosePrice) / 3m;
		if (hlcCurr > hlcPrev) buy++; else sell++;

		var hlccCurr = (candle.HighPrice + candle.LowPrice + 2m * candle.ClosePrice) / 4m;
		var hlccPrev = (_prevCandle.HighPrice + _prevCandle.LowPrice + 2m * _prevCandle.ClosePrice) / 4m;
		if (hlccCurr > hlccPrev) buy++; else sell++;

		_signalWindow.Enqueue((buy, sell));

		while (_signalWindow.Count > WindowSize)
			_signalWindow.Dequeue();

		_prevCandle = candle;

		if (_signalWindow.Count < WindowSize)
			return;

		// Aggregate signals
		int totalBuy = 0, totalSell = 0;
		foreach (var (b, s) in _signalWindow)
		{
			totalBuy += b;
			totalSell += s;
		}

		var total = totalBuy + totalSell;
		if (total == 0) return;

		var buyPct = (decimal)totalBuy / total * 100m;
		var sellPct = (decimal)totalSell / total * 100m;

		// Close positions
		if (Position > 0 && buyPct < CloseThreshold)
			SellMarket();
		else if (Position < 0 && sellPct < CloseThreshold)
			BuyMarket();

		// Open new positions
		if (Position == 0)
		{
			if (buyPct >= OpenThreshold)
				BuyMarket();
			else if (sellPct >= OpenThreshold)
				SellMarket();
		}
	}
}