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X2MA JFATL 交叉策略

该策略是 MetaTrader 专家 Exp_X2MA_JFatl 的 StockSharp 版本。它结合了快速的简单移动平均线 (SMA)、较慢的 Jurik 移动平均线 (JMA) 以及额外的 JMA 过滤器来确认趋势方向。当快速均线向上穿越慢速均线且价格位于过滤器之上时开多单；当快速均线向下穿越慢速均线且价格位于过滤器之下时开空单。若价格反向穿过过滤器或出现相反的均线交叉，头寸将被关闭。

细节

  • 入场条件：
    • 做多：SMA_fast 上穿 JMA_slow 且 Close > JMA_filter。
    • 做空：SMA_fast 下穿 JMA_slow 且 Close < JMA_filter。
  • 出场条件：
    • 价格移动到过滤器的另一侧。
    • 均线发生相反交叉。
  • 多空方向：双向。
  • 止损：默认不使用。
  • 默认值：
    • Fast MA Length = 5。
    • Slow MA Length = 12。
    • Filter Length = 20。
  • 过滤器：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：多个（SMA，JMA）
    • 止损：无
    • 复杂度：中等
    • 时间框架：短期
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 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>
/// X2MA with JFATL filter strategy.
/// Opens long when the fast SMA crosses above the slow Jurik MA and price is above the filter.
/// Opens short when the fast SMA crosses below the slow Jurik MA and price is below the filter.
/// </summary>
public class X2MaJfatlStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _filterLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevDiff;
	private bool _isInitialized;
	private int _barsSinceTrade;

	/// <summary>
	/// Fast moving average length.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow Jurik moving average length.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Jurik filter length.
	/// </summary>
	public int FilterLength
	{
		get => _filterLength.Value;
		set => _filterLength.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public X2MaJfatlStrategy()
	{
		_fastLength = Param(nameof(FastLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA Length", "Length of the fast moving average", "Parameters")
			
			.SetOptimize(5, 20, 1);

		_slowLength = Param(nameof(SlowLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA Length", "Length of the slow Jurik MA", "Parameters")
			
			.SetOptimize(10, 40, 2);

		_filterLength = Param(nameof(FilterLength), 21)
			.SetGreaterThanZero()
			.SetDisplay("Filter Length", "Length of the Jurik filter", "Parameters")
			
			.SetOptimize(10, 60, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for calculation", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevDiff = 0m;
		_isInitialized = false;
		_barsSinceTrade = 10;
	}

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

		_prevDiff = 0m;
		_isInitialized = false;
		_barsSinceTrade = 10;

		var fastMa = new SMA { Length = FastLength };
		var slowMa = new JurikMovingAverage { Length = SlowLength };
		var filterMa = new JurikMovingAverage { Length = FilterLength };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(fastMa, slowMa, filterMa, Process)
			.Start();

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

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

		_barsSinceTrade++;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_isInitialized)
		{
			_prevDiff = fastValue - slowValue;
			_isInitialized = true;
			return;
		}

		var diff = fastValue - slowValue;

		// Exit if price moves against the filter
		if (Position > 0 && candle.ClosePrice < filterValue)
		{
			SellMarket();
			_barsSinceTrade = 0;
		}
		else if (Position < 0 && candle.ClosePrice > filterValue)
		{
			BuyMarket();
			_barsSinceTrade = 0;
		}

		// Crossover entries
		if (_barsSinceTrade >= 5 && _prevDiff <= 0m && diff > 0m && candle.ClosePrice > filterValue && Position <= 0)
		{
			BuyMarket();
			_barsSinceTrade = 0;
		}
		else if (_barsSinceTrade >= 5 && _prevDiff >= 0m && diff < 0m && candle.ClosePrice < filterValue && Position >= 0)
		{
			SellMarket();
			_barsSinceTrade = 0;
		}

		_prevDiff = diff;
	}
}