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RAVI Histogram 策略

该策略将 MetaTrader 的 RAVI Histogram 专家移植到 StockSharp。RAVI 指标通过比较快 EMA 与慢 EMA 的百分比差异来衡量趋势强度，并与上下阈值比较以决定交易。

当 RAVI 高于上限时，被视为多头趋势：若允许，将平掉空头并开多。当 RAVI 低于下限时，策略关闭多头并可开空。默认使用四小时 K 线。

细节

  • 入场条件：
    • 多头：RAVI 向上突破 UpLevel。
    • 空头：RAVI 向下跌破 DownLevel。
  • 方向：可做多也可做空。
  • 出场条件：
    • RAVI 产生相反信号时平仓。
  • 止损：无。
  • 过滤器：无。
  • 时间框架：默认 4 小时。
  • 参数：
    • FastLength 与 SlowLength — 用于计算 RAVI 的 EMA 周期。
    • UpLevel 与 DownLevel — 定义趋势区域的阈值。
    • BuyOpen、SellOpen、BuyClose、SellClose — 各方向操作的开关。
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>
/// RAVI Histogram trend strategy based on fast and slow EMA difference.
/// </summary>
public class RaviHistogramStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _upLevel;
	private readonly StrategyParam<decimal> _downLevel;
	private readonly StrategyParam<bool> _buyOpen;
	private readonly StrategyParam<bool> _sellOpen;
	private readonly StrategyParam<bool> _buyClose;
	private readonly StrategyParam<bool> _sellClose;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRavi;
	private bool _isFirst = true;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public decimal UpLevel { get => _upLevel.Value; set => _upLevel.Value = value; }
	public decimal DownLevel { get => _downLevel.Value; set => _downLevel.Value = value; }
	public bool BuyOpen { get => _buyOpen.Value; set => _buyOpen.Value = value; }
	public bool SellOpen { get => _sellOpen.Value; set => _sellOpen.Value = value; }
	public bool BuyClose { get => _buyClose.Value; set => _buyClose.Value = value; }
	public bool SellClose { get => _sellClose.Value; set => _sellClose.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RaviHistogramStrategy()
	{
		_fastLength = Param(nameof(FastLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast EMA length", "General");

		_slowLength = Param(nameof(SlowLength), 65)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA length", "General");

		_upLevel = Param(nameof(UpLevel), 0.1m)
			.SetDisplay("Upper Level", "Upper threshold for trend", "General");

		_downLevel = Param(nameof(DownLevel), -0.1m)
			.SetDisplay("Lower Level", "Lower threshold for trend", "General");

		_buyOpen = Param(nameof(BuyOpen), true)
			.SetDisplay("Open Long", "Allow opening long positions", "Trading");

		_sellOpen = Param(nameof(SellOpen), true)
			.SetDisplay("Open Short", "Allow opening short positions", "Trading");

		_buyClose = Param(nameof(BuyClose), true)
			.SetDisplay("Close Long", "Allow closing long positions", "Trading");

		_sellClose = Param(nameof(SellClose), true)
			.SetDisplay("Close Short", "Allow closing short positions", "Trading");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRavi = 0;
		_isFirst = true;
	}

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

		_isFirst = true;
		_prevRavi = 0;

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };

		// Subscribe to candle data and bind indicators.
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished || slow == 0)
			return;

		// Calculate RAVI value from EMA difference.
		var ravi = 100m * (fast - slow) / slow;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevRavi = ravi;
			_isFirst = false;
			return;
		}

		if (_isFirst)
		{
			_prevRavi = ravi;
			_isFirst = false;
			return;
		}

		// Handle signals when RAVI crosses thresholds.
		if (ravi > UpLevel)
		{
			if (SellClose && Position < 0)
				BuyMarket();

			if (BuyOpen && _prevRavi <= UpLevel && Position <= 0)
				BuyMarket();
		}
		else if (ravi < DownLevel)
		{
			if (BuyClose && Position > 0)
				SellMarket();

			if (SellOpen && _prevRavi >= DownLevel && Position >= 0)
				SellMarket();
		}

		_prevRavi = ravi;
	}
}