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JSatl Candle 策略

该策略使用 Jurik 移动平均线 (JMA) 构建平滑趋势。 当 JMA 在横盘或下行后向上转折时开多仓。 当 JMA 在横盘或上行后向下转折时开空仓。 可选的止损和止盈按入场价格的百分比计算。

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 Jurik Moving Average slope changes.
/// Opens long when JMA turns upward and short when it turns downward.
/// Includes optional stop loss and take profit protection.
/// </summary>
public class JSatlCandleStrategy : Strategy
{
	private readonly StrategyParam<int> _jmaLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<bool> _enableStopLoss;
	private readonly StrategyParam<decimal> _takeProfitPercent;

	private decimal? _prevJma;
	private int _prevDirection;

	/// <summary>
	/// JMA period length.
	/// </summary>
	public int JmaLength
	{
		get => _jmaLength.Value;
		set => _jmaLength.Value = value;
	}

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

	/// <summary>
	/// Stop loss percent.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Enable stop loss.
	/// </summary>
	public bool EnableStopLoss
	{
		get => _enableStopLoss.Value;
		set => _enableStopLoss.Value = value;
	}

	/// <summary>
	/// Take profit percent.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	public JSatlCandleStrategy()
	{
		_jmaLength = Param(nameof(JmaLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("JMA Length", "Period for Jurik Moving Average", "Parameters")
			
			.SetOptimize(2, 20, 1);

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

		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percent", "Risk Management")
			
			.SetOptimize(0.5m, 3m, 0.5m);

		_enableStopLoss = Param(nameof(EnableStopLoss), true)
			.SetDisplay("Enable Stop Loss", "Use stop loss", "Risk Management");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit %", "Take profit percent", "Risk Management")
			
			.SetOptimize(1m, 5m, 1m);
	}

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

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

		_prevJma = null;
		_prevDirection = 0;
	}

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

		_prevJma = null;
		_prevDirection = 0;

		var jma = new JurikMovingAverage { Length = JmaLength };

		SubscribeCandles(CandleType)
			.Bind(jma, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPercent * 100m, UnitTypes.Percent),
			stopLoss: EnableStopLoss ? new Unit(StopLossPercent * 100m, UnitTypes.Percent) : null);
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevDirection = _prevJma is decimal prevValue ? Math.Sign(jmaValue - prevValue) : 0;
			_prevJma = jmaValue;
			return;
		}

		var direction = _prevJma is decimal prev ? Math.Sign(jmaValue - prev) : 0;

		if (_prevDirection <= 0 && direction > 0 && Position <= 0)
			BuyMarket();
		else if (_prevDirection >= 0 && direction < 0 && Position >= 0)
			SellMarket();

		_prevDirection = direction;
		_prevJma = jmaValue;
	}
}