中文 ZH
在 GitHub 上查看

ColorXvaMA Digit 策略

该策略基于双重平滑移动平均线斜率的变化进行交易。先计算指数移动平均线，再通过 Jurik 移动平均线再次平滑。当快速 JMA 上穿慢速 EMA 时开多头；当其下穿时开空头。

细节

  • 入场条件：
    • 多头：快速 JMA 上穿慢速 EMA。
    • 空头：快速 JMA 下穿慢速 EMA。
  • 多空方向：双向。
  • 出场条件：反向信号。
  • 止损：无。
  • 默认值：
    • SlowLength = 15
    • FastLength = 5
  • 过滤器：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：EMA, JMA
    • 止损：无
    • 复杂度：低
    • 时间框架：8h
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中
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 the slope change of a double-smoothed moving average.
/// Uses an EMA and JMA combination to detect trend reversals.
/// </summary>
public class ColorXvaMADigitStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _slowMa;
	private JurikMovingAverage _fastMa;

	private int _previousDirection;

	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

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

	public ColorXvaMADigitStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 15)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "EMA period", "Indicators");

		_fastLength = Param(nameof(FastLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "JMA period", "Indicators");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_previousDirection = 0;
		_slowMa = null;
		_fastMa = null;
	}

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

		_previousDirection = 0;
		_slowMa = new ExponentialMovingAverage { Length = SlowLength };
		_fastMa = new JurikMovingAverage { Length = FastLength };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousDirection = fastValue > slowValue ? 1 : -1;
			return;
		}

		var direction = fastValue > slowValue ? 1 : -1;

		if (direction != _previousDirection && _previousDirection != 0)
		{
			if (direction > 0 && Position <= 0)
				BuyMarket();
			else if (direction < 0 && Position >= 0)
				SellMarket();
		}

		_previousDirection = direction;
	}
}