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Scalpel EA 策略

该策略是原始 MetaTrader 版本 Scalpel EA 的简化移植。 策略通过在主时间框架上使用商品通道指数（CCI）并结合 多个更高时间框架的突破确认来进行交易。

逻辑

  1. 指标 – 在主时间框架上计算 CCI，仅当 CCI 处于 可配置的零值附近区间时才允许交易。
  2. 趋势确认 – 对 30 分钟、1 小时和 4 小时的最新蜡烛 高低点与前一根蜡烛比较：
    • 做多需要三个时间框架的低点逐步抬高；
    • 做空需要三个时间框架的高点逐步降低。
  3. 突破入场 – 当主蜡烛的收盘价突破上一根蜡烛的 高点（做多）或低点（做空）时触发交易。
  4. 风险控制 – 通过 StartProtection 设定固定的 止盈和止损，单位为价格。

参数

名称 说明
CciPeriod CCI 指标周期。
CciLimit CCI 绝对阈值，仅在 ±阈值内允许进场。
TakeProfit 以价格单位表示的止盈。
StopLoss 以价格单位表示的止损。
CandleType 主交易时间框架，默认为 1 分钟。

备注

  • 策略会额外订阅 30 分钟、1 小时和 4 小时的蜡烛，以评估更高时间框架趋势。
  • 交易量使用基类 Strategy.Volume 属性。
  • 同一时间只会持有一个仓位，反向信号会平掉当前仓位并开立新仓。
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 version of Scalpel EA using multi-timeframe breakout with CCI filter.
/// </summary>
public class ScalpelEaStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciLimit;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private CommodityChannelIndex _cci = null!;
	private decimal _prevHighMain;
	private decimal _prevLowMain;
	private decimal _prevHighH4, _prevLowH4, _currHighH4, _currLowH4;
	private decimal _prevHighH1, _prevLowH1, _currHighH1, _currLowH1;
	private decimal _prevHighM30, _prevLowM30, _currHighM30, _currLowM30;

	/// <summary>
	/// CCI period.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// Threshold for CCI entries.
	/// </summary>
	public decimal CciLimit
	{
		get => _cciLimit.Value;
		set => _cciLimit.Value = value;
	}

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

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

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

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public ScalpelEaStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 15)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period of CCI indicator", "Indicators")
			
			.SetOptimize(5, 40, 5);

		_cciLimit = Param(nameof(CciLimit), 100m)
			.SetDisplay("CCI Limit", "CCI threshold for entries", "Indicators")
			
			.SetOptimize(1m, 10m, 1m);

		_takeProfit = Param(nameof(TakeProfit), 30m)
			.SetDisplay("Take Profit", "Take profit in price units", "Risk")
			
			.SetOptimize(10m, 100m, 10m);

		_stopLoss = Param(nameof(StopLoss), 21m)
			.SetDisplay("Stop Loss", "Stop loss in price units", "Risk")
			
			.SetOptimize(10m, 100m, 10m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, CandleType);
		yield return (Security, TimeSpan.FromMinutes(30).TimeFrame());
		yield return (Security, TimeSpan.FromHours(1).TimeFrame());
		yield return (Security, TimeSpan.FromHours(4).TimeFrame());
	}

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

		_cci?.Reset();
		_prevHighMain = _prevLowMain = 0m;
		_prevHighH4 = _prevLowH4 = _currHighH4 = _currLowH4 = 0m;
		_prevHighH1 = _prevLowH1 = _currHighH1 = _currLowH1 = 0m;
		_prevHighM30 = _prevLowM30 = _currHighM30 = _currLowM30 = 0m;
	}

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

		_cci = new CommodityChannelIndex { Length = CciPeriod };

		var main = SubscribeCandles(CandleType);
		var m30 = SubscribeCandles(TimeSpan.FromMinutes(30).TimeFrame());
		var h1 = SubscribeCandles(TimeSpan.FromHours(1).TimeFrame());
		var h4 = SubscribeCandles(TimeSpan.FromHours(4).TimeFrame());

		main.Bind(_cci, ProcessMain).Start();
		m30.Bind(ProcessM30).Start();
		h1.Bind(ProcessH1).Start();
		h4.Bind(ProcessH4).Start();

		StartProtection(
			takeProfit: new Unit(TakeProfit, UnitTypes.Absolute),
			stopLoss: new Unit(StopLoss, UnitTypes.Absolute)
		);

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

	private void ProcessM30(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
		return;

		_prevHighM30 = _currHighM30;
		_prevLowM30 = _currLowM30;
		_currHighM30 = candle.HighPrice;
		_currLowM30 = candle.LowPrice;
	}

	private void ProcessH1(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
		return;

		_prevHighH1 = _currHighH1;
		_prevLowH1 = _currLowH1;
		_currHighH1 = candle.HighPrice;
		_currLowH1 = candle.LowPrice;
	}

	private void ProcessH4(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
		return;

		_prevHighH4 = _currHighH4;
		_prevLowH4 = _currLowH4;
		_currHighH4 = candle.HighPrice;
		_currLowH4 = candle.LowPrice;
	}

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

		var cciBuy = cciValue > 0m && cciValue < CciLimit;
		var cciSell = cciValue < 0m && -cciValue < CciLimit;

		var breakoutHigh = candle.ClosePrice > _prevHighMain;
		var breakoutLow = candle.ClosePrice < _prevLowMain;

		if (cciBuy &&
		_currLowH4 > _prevLowH4 &&
		_currLowH1 > _prevLowH1 &&
		_currLowM30 > _prevLowM30 &&
		breakoutHigh &&
		Position <= 0)
		{
			BuyMarket();
		}
		else if (cciSell &&
		_currHighH4 < _prevHighH4 &&
		_currHighH1 < _prevHighH1 &&
		_currHighM30 < _prevHighM30 &&
		breakoutLow &&
		Position >= 0)
		{
			SellMarket();
		}

		_prevHighMain = candle.HighPrice;
		_prevLowMain = candle.LowPrice;
	}
}