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ADX DMI 策略

使用方向移动指数（DMI）交易 +DI 与 -DI 线的交叉。当上一根K线的 -DI 高于 +DI 而当前K线跌破 +DI 时，策略开多仓。上一根K线的 +DI 高于 -DI 而当前K线跌破 -DI 时，策略开空仓。反向信号可选择性关闭已有仓位。

详情

  • 入场条件：
    • 多头：上一根 -DI > +DI，当前 -DI 下穿 +DI。
    • 空头：上一根 +DI > -DI，当前 +DI 下穿 -DI。
  • 出场条件：
    • 反向交叉（若启用相应的平仓选项）。
  • 指标：
    • Directional Index（默认周期 14）
  • 止损：默认无。
  • 默认值：
    • DmiPeriod = 14
    • AllowLong = true
    • AllowShort = true
    • CloseLong = true
    • CloseShort = true
  • 过滤条件：
    • 适用于任何时间周期
    • 指标：DMI
    • 止损：可通过外部风控模块设置
    • 复杂度：基础
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>
/// Directional Movement Index crossover strategy.
/// Buys when +DI crosses above -DI, sells on opposite.
/// </summary>
public class AdxDmiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _dmiPeriod;

	private decimal? _prevPlus;
	private decimal? _prevMinus;

	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	public int DmiPeriod
	{
		get => _dmiPeriod.Value;
		set => _dmiPeriod.Value = value;
	}

	public AdxDmiStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for strategy calculation", "General");

		_dmiPeriod = Param(nameof(DmiPeriod), 14)
			.SetDisplay("DMI Period", "Directional Movement Index period", "Indicators")
			.SetGreaterThanZero();
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevPlus = null;
		_prevMinus = null;
	}

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

		_prevPlus = null;
		_prevMinus = null;

		var dmi = new DirectionalIndex { Length = DmiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(dmi, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (dmiValue is not IDirectionalIndexValue dmi)
			return;

		if (dmi.Plus is not decimal currentPlus || dmi.Minus is not decimal currentMinus)
			return;

		if (_prevPlus is null || _prevMinus is null)
		{
			_prevPlus = currentPlus;
			_prevMinus = currentMinus;
			return;
		}

		var buySignal = _prevMinus > _prevPlus && currentMinus <= currentPlus;
		var sellSignal = _prevPlus > _prevMinus && currentPlus <= currentMinus;

		if (buySignal && Position <= 0)
			BuyMarket();

		if (sellSignal && Position >= 0)
			SellMarket();

		_prevPlus = currentPlus;
		_prevMinus = currentMinus;
	}
}