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Fisher Transform X2 策略

该策略在两个不同的时间框架上使用 Fisher Transform 指标。高时间框架确定总体趋势，低时间框架在 Fisher 与其前值相反方向交叉时产生入场信号。可选参数允许在趋势变化或交叉信号时平仓。

详情

  • 入场条件:
    • 多头: 趋势 Fisher 上升 && 信号 Fisher 向下穿越其前值
    • 空头: 趋势 Fisher 下降 && 信号 Fisher 向上穿越其前值
  • 多空方向: 双向
  • 出场条件:
    • 可选的趋势反转平仓
    • 可选的信号时间框架反向交叉平仓
  • 止损: 以点数设置的止盈和止损
  • 默认值:
    • Trend Length = 10
    • Signal Length = 10
    • Trend Timeframe = 6 小时
    • Signal Timeframe = 30 分钟
    • Take Profit = 2000 点
    • Stop Loss = 1000 点
  • 筛选:
    • 类别: 趋势跟随
    • 方向: 双向
    • 指标: Fisher Transform
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 多时间框架
    • 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>
/// Fisher Transform strategy using two Fisher indicators (trend + signal).
/// Trend Fisher defines direction; Signal Fisher generates entries.
/// Both use same timeframe but different lengths.
/// </summary>
public class FisherTransformX2Strategy : Strategy
{
	private readonly StrategyParam<int> _trendLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private EhlersFisherTransform _trendFisher;
	private EhlersFisherTransform _signalFisher;

	private decimal _prevTrend;
	private decimal _prevSignal;
	private decimal _prevPrevSignal;
	private int _trendDirection;
	private int _count;

	public int TrendLength { get => _trendLength.Value; set => _trendLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FisherTransformX2Strategy()
	{
		_trendLength = Param(nameof(TrendLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Trend Length", "Fisher length for trend", "Parameters")
			.SetOptimize(10, 30, 2);

		_signalLength = Param(nameof(SignalLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Fisher length for signal", "Parameters")
			.SetOptimize(5, 20, 1);

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

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTrend = 0m;
		_prevSignal = 0m;
		_prevPrevSignal = 0m;
		_trendDirection = 0;
		_count = 0;
	}

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

		_trendFisher = new EhlersFisherTransform { Length = TrendLength };
		_signalFisher = new EhlersFisherTransform { Length = SignalLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_signalFisher, ProcessCandle)
			.Start();

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

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

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

		// Process trend Fisher manually with the candle
		var trendResult = _trendFisher.Process(candle);
		if (!_trendFisher.IsFormed || !_signalFisher.IsFormed)
			return;

		var signalVal = ((IEhlersFisherTransformValue)signalResult).MainLine ?? 0m;
		var trendVal = ((IEhlersFisherTransformValue)trendResult).MainLine ?? 0m;

		_count++;
		if (_count < 3)
		{
			_prevPrevSignal = _prevSignal;
			_prevSignal = signalVal;
			_prevTrend = trendVal;
			return;
		}

		// Update trend direction
		if (trendVal > _prevTrend)
			_trendDirection = 1;
		else if (trendVal < _prevTrend)
			_trendDirection = -1;

		// Signal crossover
		var signalCrossUp = signalVal > _prevSignal && _prevSignal <= _prevPrevSignal && signalVal < 0m;
		var signalCrossDown = signalVal < _prevSignal && _prevSignal >= _prevPrevSignal && signalVal > 0m;

		if (_trendDirection > 0 && signalCrossUp && Position <= 0)
			BuyMarket();
		else if (_trendDirection < 0 && signalCrossDown && Position >= 0)
			SellMarket();

		_prevTrend = trendVal;
		_prevPrevSignal = _prevSignal;
		_prevSignal = signalVal;
	}
}