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I4 DRF v2 策略

I4 DRF v2 策略使用 i4_DRF_v2 指标，该指标统计最近周期内上涨和下跌的收盘数。 根据 TrendModes 参数，可选择反趋势模式（Direct）或顺趋势模式（NotDirect）。 当指标符号翻转时开仓或平仓，并支持以价格步长计的止损和止盈。

细节

  • 入场条件：根据 TrendModes 的指标符号翻转
  • 多空方向：双向
  • 出场条件：反向信号或止损/止盈
  • 止损：有
  • 默认值:
    • Period = 11
    • BuyPosOpen = true
    • SellPosOpen = true
    • BuyPosClose = true
    • SellPosClose = true
    • TrendModes = Direct
    • StopLoss = 1000
    • TakeProfit = 2000
  • 过滤器:
    • 分类: 趋势
    • 方向: 双向
    • 指标: 自定义
    • 止损: 有
    • 复杂度: 基础
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
using System;
using System.Linq;
using System.Collections.Generic;
using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;



/// <summary>
/// I4 DRF v2 strategy.
/// Uses a custom indicator counting up and down closes to generate signals.
/// </summary>
public class I4DrfV2Strategy : Strategy
{
	/// <summary>
	/// Trend mode options.
	/// </summary>
	public enum TrendModes
	{
		/// <summary>Contrarian trading.</summary>
		Direct,
		/// <summary>Trend following.</summary>
		NotDirect
	}

	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosClose;
	private readonly StrategyParam<TrendModes> _trendMode;
	private readonly StrategyParam<int> _stopLoss;
	private readonly StrategyParam<int> _takeProfit;
	private readonly StrategyParam<DataType> _candleType;

	private DrfIndicator _drf = null!;
	private int? _prevColor;
	private decimal _entryPrice;
	private decimal _stopPrice;
	private decimal _takePrice;

	/// <summary>
	/// Indicator period.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyPosOpen
	{
		get => _buyPosOpen.Value;
		set => _buyPosOpen.Value = value;
	}

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellPosOpen
	{
		get => _sellPosOpen.Value;
		set => _sellPosOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long positions on signal.
	/// </summary>
	public bool BuyPosClose
	{
		get => _buyPosClose.Value;
		set => _buyPosClose.Value = value;
	}

	/// <summary>
	/// Allow closing short positions on signal.
	/// </summary>
	public bool SellPosClose
	{
		get => _sellPosClose.Value;
		set => _sellPosClose.Value = value;
	}

	/// <summary>
	/// Trend mode.
	/// </summary>
	public TrendModes TrendMode
	{
		get => _trendMode.Value;
		set => _trendMode.Value = value;
	}

	/// <summary>
	/// Stop loss in price steps.
	/// </summary>
	public int StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take profit in price steps.
	/// </summary>
	public int TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="I4DrfV2Strategy"/>.
	/// </summary>
	public I4DrfV2Strategy()
	{
		_period = Param(nameof(Period), 11)
		.SetDisplay("Period", "Indicator period", "Indicator")
		.SetGreaterThanZero();

		_buyPosOpen = Param(nameof(BuyPosOpen), true)
		.SetDisplay("Buy Open", "Allow opening longs", "Trading");

		_sellPosOpen = Param(nameof(SellPosOpen), true)
		.SetDisplay("Sell Open", "Allow opening shorts", "Trading");

		_buyPosClose = Param(nameof(BuyPosClose), true)
		.SetDisplay("Buy Close", "Allow closing longs", "Trading");

		_sellPosClose = Param(nameof(SellPosClose), true)
		.SetDisplay("Sell Close", "Allow closing shorts", "Trading");

		_trendMode = Param(nameof(TrendModes), TrendModes.Direct)
		.SetDisplay("Trend Mode", "DIRECT - contrarian, NOTDIRECT - trend following", "General");

		_stopLoss = Param(nameof(StopLoss), 1000)
		.SetDisplay("Stop Loss", "Stop loss in price steps", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 2000)
		.SetDisplay("Take Profit", "Take profit in price steps", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_drf?.Reset();
		_prevColor = null;
		_entryPrice = 0m;
		_stopPrice = 0m;
		_takePrice = 0m;
	}

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

		StartProtection(null, null);

		_drf = new DrfIndicator { Length = Period };

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

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

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

		if (!_drf.IsFormed)
		{
			_prevColor = drfValue > 0 ? 1 : 0;
			return;
		}

		var currentColor = drfValue > 0 ? 1 : 0;
		var step = Security.PriceStep ?? 1m;

		// Handle protective stops
		if (Position > 0)
		{
			if ((StopLoss > 0 && candle.ClosePrice <= _stopPrice) || (TakeProfit > 0 && candle.ClosePrice >= _takePrice))
			{
				SellMarket();
				_prevColor = currentColor;
				return;
			}
		}
		else if (Position < 0)
		{
			if ((StopLoss > 0 && candle.ClosePrice >= _stopPrice) || (TakeProfit > 0 && candle.ClosePrice <= _takePrice))
			{
				BuyMarket();
				_prevColor = currentColor;
				return;
			}
		}

		if (_prevColor == null)
		{
			_prevColor = currentColor;
			return;
		}

		if (TrendMode == TrendModes.Direct)
		{
			if (_prevColor == 1 && currentColor == 0)
			{
				if (SellPosClose && Position < 0)
					BuyMarket();
				if (BuyPosOpen && Position <= 0)
				{
					BuyMarket();
					_entryPrice = candle.ClosePrice;
					_stopPrice = _entryPrice - StopLoss * step;
					_takePrice = _entryPrice + TakeProfit * step;
				}
			}
			else if (_prevColor == 0 && currentColor == 1)
			{
				if (BuyPosClose && Position > 0)
					SellMarket();
				if (SellPosOpen && Position >= 0)
				{
					SellMarket();
					_entryPrice = candle.ClosePrice;
					_stopPrice = _entryPrice + StopLoss * step;
					_takePrice = _entryPrice - TakeProfit * step;
				}
			}
		}
		else
		{
			if (_prevColor == 0 && currentColor == 1)
			{
				if (SellPosClose && Position < 0)
					BuyMarket();
				if (BuyPosOpen && Position <= 0)
				{
					BuyMarket();
					_entryPrice = candle.ClosePrice;
					_stopPrice = _entryPrice - StopLoss * step;
					_takePrice = _entryPrice + TakeProfit * step;
				}
			}
			else if (_prevColor == 1 && currentColor == 0)
			{
				if (BuyPosClose && Position > 0)
					SellMarket();
				if (SellPosOpen && Position >= 0)
				{
					SellMarket();
					_entryPrice = candle.ClosePrice;
					_stopPrice = _entryPrice + StopLoss * step;
					_takePrice = _entryPrice - TakeProfit * step;
				}
			}
		}

		_prevColor = currentColor;
	}

	private sealed class DrfIndicator : DecimalLengthIndicator
	{
		private readonly Queue<int> _signs = new();
		private decimal? _prevPrice;
		private int _sum;

		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			var price = input.GetValue<decimal>();

			if (_prevPrice is null)
			{
				_prevPrice = price;
				return new DecimalIndicatorValue(this, 0m, input.Time);
			}

			var sign = price > _prevPrice ? 1 : -1;
			_prevPrice = price;

			_signs.Enqueue(sign);
			_sum += sign;

			if (_signs.Count > Length)
				_sum -= _signs.Dequeue();

			if (_signs.Count < Length)
			{
				IsFormed = false;
				return new DecimalIndicatorValue(this, 0m, input.Time);
			}

			IsFormed = true;
			var value = (decimal)_sum / Length * 100m;
			return new DecimalIndicatorValue(this, value, input.Time);
		}

		public override void Reset()
		{
			base.Reset();
			_signs.Clear();
			_prevPrice = null;
			_sum = 0;
		}
	}
}