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MTC Combo v2 策略

来自 MetaTrader 脚本“MTC Combo v2 (barabashkakvn's edition)”的转换。

逻辑

  • 通过移动平均线斜率判断趋势。
  • 感知器过滤器计算多个间隔的开盘价差的加权和。
  • Pass 选择使用的分支：
    • 4：perceptron3 > 0 且 perceptron2 > 0 时做多；perceptron3 <= 0 且 perceptron1 < 0 时做空。
    • 3：perceptron2 > 0 时做多。
    • 2：perceptron1 < 0 时做空。
    • 其他：仅依据 MA 斜率交易。

止损与止盈由 Sl*、Tp* 参数给出。

参数

  • MaPeriod – 移动平均周期。
  • P2、P3、P4 – 感知器所用的间隔。
  • Pass – 决策模式。
  • Sl1/Tp1, Sl2/Tp2, Sl3/Tp3 – 各分支的止损与止盈。
  • CandleType – 处理的蜡烛类型。

说明

策略一次只持有一笔仓位，满足止损或止盈条件后平仓。

免责声明

仅供学习，不构成投资建议。

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>
/// Simplified MTC Combo v2 strategy.
/// </summary>
public class MtcComboV2Strategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _p2;
	private readonly StrategyParam<int> _p3;
	private readonly StrategyParam<int> _p4;
	private readonly StrategyParam<int> _pass;
	private readonly StrategyParam<decimal> _sl1;
	private readonly StrategyParam<decimal> _tp1;
	private readonly StrategyParam<decimal> _sl2;
	private readonly StrategyParam<decimal> _tp2;
	private readonly StrategyParam<decimal> _sl3;
	private readonly StrategyParam<decimal> _tp3;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _ma;
	private decimal? _prevMa;
	private readonly Queue<decimal> _opens = new();
	private decimal _entry;
	private decimal _sl;
	private decimal _tp;

	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public int P2 { get => _p2.Value; set => _p2.Value = value; }
	public int P3 { get => _p3.Value; set => _p3.Value = value; }
	public int P4 { get => _p4.Value; set => _p4.Value = value; }
	public int Pass { get => _pass.Value; set => _pass.Value = value; }
	public decimal Sl1 { get => _sl1.Value; set => _sl1.Value = value; }
	public decimal Tp1 { get => _tp1.Value; set => _tp1.Value = value; }
	public decimal Sl2 { get => _sl2.Value; set => _sl2.Value = value; }
	public decimal Tp2 { get => _tp2.Value; set => _tp2.Value = value; }
	public decimal Sl3 { get => _sl3.Value; set => _sl3.Value = value; }
	public decimal Tp3 { get => _tp3.Value; set => _tp3.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MtcComboV2Strategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 10).SetGreaterThanZero();
		_p2 = Param(nameof(P2), 20).SetGreaterThanZero();
		_p3 = Param(nameof(P3), 20).SetGreaterThanZero();
		_p4 = Param(nameof(P4), 20).SetGreaterThanZero();
		_pass = Param(nameof(Pass), 10);
		_sl1 = Param(nameof(Sl1), 50m);
		_tp1 = Param(nameof(Tp1), 50m);
		_sl2 = Param(nameof(Sl2), 50m);
		_tp2 = Param(nameof(Tp2), 50m);
		_sl3 = Param(nameof(Sl3), 50m);
		_tp3 = Param(nameof(Tp3), 50m);
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame());
		Volume = 1m;
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() =>
	[(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_ma = default;
		_prevMa = null;
		_opens.Clear();
		_entry = 0m;
		_sl = 0m;
		_tp = 0m;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_ma = new SMA { Length = MaPeriod };
		var sub = SubscribeCandles(CandleType);
		sub.Bind(_ma, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, sub);
			DrawIndicator(area, _ma);
			DrawOwnTrades(area);
		}
	}

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

		_opens.Enqueue(candle.OpenPrice);
		var max = Math.Max(Math.Max(P2, P3), P4) * 4 + 5;
		while (_opens.Count > max)
			_opens.Dequeue();

		if (Position != 0)
		{
			var step = Security.PriceStep ?? 1m;
			var stop = Position > 0 ? _entry - _sl * step : _entry + _sl * step;
			var take = Position > 0 ? _entry + _tp * step : _entry - _tp * step;
			if ((Position > 0 && candle.LowPrice <= stop) || (Position < 0 && candle.HighPrice >= stop))
			{
				ClosePos();
				return;
			}
			if ((Position > 0 && candle.HighPrice >= take) || (Position < 0 && candle.LowPrice <= take))
			{
				ClosePos();
				return;
			}
		}

		var slope = _prevMa is null ? 0m : maValue - _prevMa.Value;
		_prevMa = maValue;

		if (Position != 0)
			return;

		_sl = Sl1;
		_tp = Tp1;
		var dir = Supervisor(slope);
		if (dir > 0m)
		{
			BuyMarket();
			_entry = candle.ClosePrice;
		}
		else if (dir < 0m)
		{
			SellMarket();
			_entry = candle.ClosePrice;
		}
	}

	private void ClosePos()
	{
		if (Position > 0)
			SellMarket();
		else if (Position < 0)
			BuyMarket();
	}

	private decimal Supervisor(decimal slope)
	{
		if (Pass == 4)
		{
			if (Perceptron(P4) > 0m && Perceptron(P3) > 0m)
			{ _sl = Sl3; _tp = Tp3; return 1m; }
			if (Perceptron(P4) <= 0m && Perceptron(P2) < 0m)
			{ _sl = Sl2; _tp = Tp2; return -1m; }
		}
		else if (Pass == 3)
		{
			if (Perceptron(P3) > 0m)
			{ _sl = Sl3; _tp = Tp3; return 1m; }
		}
		else if (Pass == 2)
		{
			if (Perceptron(P2) < 0m)
			{ _sl = Sl2; _tp = Tp2; return -1m; }
		}
		return slope;
	}

	private decimal Perceptron(int p)
	{
		if (_opens.Count <= p * 4)
			return 0m;

		var arr = _opens.ToArray();
		var len = arr.Length;
		var a1 = arr[len - 1] - arr[len - 1 - p];
		var a2 = arr[len - 1 - p] - arr[len - 1 - p * 2];
		var a3 = arr[len - 1 - p * 2] - arr[len - 1 - p * 3];
		var a4 = arr[len - 1 - p * 3] - arr[len - 1 - p * 4];

		return a1 + a2 + a3 + a4;
	}
}