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Polarized Fractal Efficiency 策略

该策略基于 Polarized Fractal Efficiency (PFE) 指标进行交易。PFE 衡量价格运动的效率，在动量变化时会改变符号。

交易逻辑

  1. 订阅所选周期的K线并计算 PFE。
  2. 如果上一根柱子的 PFE 低于前两根，而当前值高于上一根，则开多单。
  3. 如果上一根柱子的 PFE 高于前两根，而当前值低于上一根，则开空单。
  4. 在建立新的仓位前先平掉相反方向的仓位。
  5. 可选地启用止损和止盈保护。

参数

名称 说明
CandleType 用于分析的K线类型。
PfePeriod PFE 指标的计算周期。
SignalBar 用于生成信号的柱子偏移。
TakeProfit 止盈，价格步数。
StopLoss 止损，价格步数。 
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>
/// Polarized Fractal Efficiency strategy.
/// Computes PFE manually from close prices.
/// Buys on PFE turning up from negative, sells on PFE turning down from positive.
/// </summary>
public class PolarizedFractalEfficiencyStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _pfePeriod;

	private readonly List<decimal> _closes = new();
	private decimal _prevPfe;
	private decimal _prevPrevPfe;
	private int _formed;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int PfePeriod { get => _pfePeriod.Value; set => _pfePeriod.Value = value; }

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

		_pfePeriod = Param(nameof(PfePeriod), 9)
			.SetDisplay("PFE Period", "Indicator calculation period", "Indicators")
			.SetGreaterThanZero();
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_closes.Clear();
		_prevPfe = 0;
		_prevPrevPfe = 0;
		_formed = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_closes.Clear();
		_prevPfe = 0;
		_prevPrevPfe = 0;
		_formed = 0;

		var sma = new SimpleMovingAverage { Length = 1 };

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

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

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

		_closes.Add(candle.ClosePrice);

		var period = PfePeriod;
		if (_closes.Count < period + 1)
			return;

		// Keep only what we need
		while (_closes.Count > period + 2)
			_closes.RemoveAt(0);

		var n = _closes.Count;
		var closeNow = _closes[n - 1];
		var closePast = _closes[n - 1 - period];

		// Direct distance
		var diff = (double)(closeNow - closePast);
		var directDist = Math.Sqrt(diff * diff + (double)(period * period));

		// Sum of bar-to-bar distances
		var sumDist = 0.0;
		for (var i = n - period; i < n; i++)
		{
			var d = (double)(_closes[i] - _closes[i - 1]);
			sumDist += Math.Sqrt(d * d + 1.0);
		}

		if (sumDist == 0)
			return;

		var sign = closeNow >= closePast ? 1.0 : -1.0;
		var pfe = (decimal)(100.0 * sign * directDist / sumDist);

		_formed++;

		if (_formed < 3)
		{
			_prevPrevPfe = _prevPfe;
			_prevPfe = pfe;
			return;
		}

		if (!IsFormedAndOnline())
			return;

		// Trend reversal: PFE was falling and now rising => buy
		if (_prevPfe < _prevPrevPfe && pfe > _prevPfe && Position <= 0)
			BuyMarket();
		// PFE was rising and now falling => sell
		else if (_prevPfe > _prevPrevPfe && pfe < _prevPfe && Position >= 0)
			SellMarket();

		_prevPrevPfe = _prevPfe;
		_prevPfe = pfe;
	}
}