中文 ZH
在 GitHub 上查看

CAi 标准差策略

该策略是将 MQL5 专家 Exp_i-CAi_StDev 移植到 StockSharp 平台的示例。它利用移动平均线和标准差通道来识别突破并在价格回到通道内时退出。

策略逻辑

  1. 计算指定周期内的简单移动平均线（SMA）。
  2. 计算同一周期内收盘价的标准差。
  3. 在 SMA 周围构建两组通道：
    • 入场通道：SMA ± OpenMultiplier × StdDev。
    • 出场通道：SMA ± CloseMultiplier × StdDev。
  4. 当价格收盘高于上方入场通道时开多单。
  5. 当价格收盘低于下方入场通道时开空单。
  6. 当价格跌破上方出场通道时平多单。
  7. 当价格升破下方出场通道时平空单。

参数

名称 描述 默认值
MaLength SMA 与标准差的计算周期 12
StdDevPeriod 标准差指标的周期 9
OpenMultiplier 入场通道的倍数 2.5
CloseMultiplier 出场通道的倍数 1.5
CandleType 策略使用的K线类型 5分钟K线

说明

  • 策略使用高层 API，通过 Bind 获取指标值。
  • 仅处理已完成的K线，以避免过早信号。
  • 源代码中的注释全部为英文。
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>
/// Strategy based on moving average and standard deviation bands.
/// Opens positions when price breaks outside a wide band
/// and closes them when price returns inside a narrower band.
/// </summary>
public class CaiStandardDeviationStrategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _stdDevPeriod;
	private readonly StrategyParam<decimal> _openMultiplier;
	private readonly StrategyParam<decimal> _closeMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	public int MaLength { get => _maLength.Value; set => _maLength.Value = value; }
	public int StdDevPeriod { get => _stdDevPeriod.Value; set => _stdDevPeriod.Value = value; }
	public decimal OpenMultiplier { get => _openMultiplier.Value; set => _openMultiplier.Value = value; }
	public decimal CloseMultiplier { get => _closeMultiplier.Value; set => _closeMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public CaiStandardDeviationStrategy()
	{
		_maLength = Param(nameof(MaLength), 12)
			.SetDisplay("MA Length", "Moving average length", "Parameters")
			.SetOptimize(5, 50, 5);

		_stdDevPeriod = Param(nameof(StdDevPeriod), 9)
			.SetDisplay("StdDev Period", "Standard deviation period", "Parameters")
			.SetOptimize(5, 50, 5);

		_openMultiplier = Param(nameof(OpenMultiplier), 2.5m)
			.SetDisplay("Open Multiplier", "StdDev multiplier for entries", "Parameters")
			.SetOptimize(1m, 3m, 0.5m);

		_closeMultiplier = Param(nameof(CloseMultiplier), 1.5m)
			.SetDisplay("Close Multiplier", "StdDev multiplier for exits", "Parameters")
			.SetOptimize(0.5m, 2m, 0.5m);

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

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

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

		var sma = new SimpleMovingAverage { Length = MaLength };
		var stdDev = new StandardDeviation { Length = StdDevPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var upperOpen = smaValue + OpenMultiplier * stdDevValue;
		var lowerOpen = smaValue - OpenMultiplier * stdDevValue;
		var upperClose = smaValue + CloseMultiplier * stdDevValue;
		var lowerClose = smaValue - CloseMultiplier * stdDevValue;

		if (Position <= 0 && candle.ClosePrice > upperOpen)
			BuyMarket();

		if (Position >= 0 && candle.ClosePrice < lowerOpen)
			SellMarket();

		if (Position > 0 && candle.ClosePrice < upperClose)
			SellMarket();

		if (Position < 0 && candle.ClosePrice > lowerClose)
			BuyMarket();
	}
}