中文 ZH
在 GitHub 上查看

JSatl Digit System 策略

JSatl Digit System 使用 Jurik 移动平均线 (JMA) 判断趋势方向。 策略检测 JMA 的斜率，并在价格与斜率方向一致时开仓。

当 JMA 上升且收盘价高于平均线时，开多头； 当 JMA 下降且收盘价低于平均线时，开空头。 相反信号平仓。

细节

  • 入场条件：JMA 斜率与价格确认。
  • 多/空：双向。
  • 离场条件：反向信号。
  • 止损：无。
  • 默认参数：
    • JmaLength = 14
    • CandleType = TimeSpan.FromHours(4)
  • 过滤器：
    • 分类：趋势
    • 方向：双向
    • 指标：JMA
    • 止损：无
    • 复杂度：基础
    • 时间框架：波段 (4h)
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中等
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>
/// JSatl Digit System based on Jurik Moving Average slope.
/// Opens long when JMA rises and price is above the average.
/// Opens short when JMA falls and price is below the average.
/// </summary>
public class JsAtlDigitSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _jmaLength;
	private readonly StrategyParam<DataType> _candleType;

	private bool _isFirstValue = true;
	private decimal _prevJma;

	/// <summary>
	/// Period length for Jurik Moving Average.
	/// </summary>
	public int JmaLength
	{
		get => _jmaLength.Value;
		set => _jmaLength.Value = value;
	}

	/// <summary>
	/// Candle type used for analysis.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="JsAtlDigitSystemStrategy"/>.
	/// </summary>
	public JsAtlDigitSystemStrategy()
	{
		_jmaLength = Param(nameof(JmaLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("JMA Length", "Period of Jurik moving average", "General");
		_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();

		_isFirstValue = true;
		_prevJma = 0m;
	}

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

		_isFirstValue = true;
		_prevJma = 0m;

		var jma = new JurikMovingAverage { Length = JmaLength };

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

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

		if (_isFirstValue)
		{
			_prevJma = jmaValue;
			_isFirstValue = false;
			return;
		}

		var price = candle.ClosePrice;
		var slope = jmaValue - _prevJma;

		if (slope > 0m && price > jmaValue)
		{
			// JMA rising and price above average -> open long or close short
			if (Position <= 0m)
				BuyMarket();
		}
		else if (slope < 0m && price < jmaValue)
		{
			// JMA falling and price below average -> open short or close long
			if (Position >= 0m)
				SellMarket();
		}

		_prevJma = jmaValue;
	}
}