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Escape 策略

该策略基于蜡烛开盘价的简单移动平均线进行交易。它比较最近完成的 5 分钟收盘价与两个开盘价的移动平均：

  • 快速 SMA（4 周期） – 用于判断做空信号。
  • 慢速 SMA（5 周期） – 用于判断做多信号。

工作原理

  1. 每当一根 5 分钟蜡烛收盘时，策略更新基于开盘价的两条 SMA。
  2. 如果当前没有持仓：
    • 当最新收盘价低于慢速 SMA 时开多。
    • 当最新收盘价高于快速 SMA 时开空。
  3. 入场后设置固定的止损和止盈（价格单位）。
  4. 当价格触及止盈或止损时平仓。

该策略使用 StockSharp 高级 API，主要用于示例说明。

参数

名称 说明 默认值
FastLength 快速 SMA 的周期。 4
SlowLength 慢速 SMA 的周期。 5
TakeProfitLong 多头止盈距离（价格单位）。 25
TakeProfitShort 空头止盈距离（价格单位）。 26
StopLossLong 多头止损距离（价格单位）。 25
StopLossShort 空头止损距离（价格单位）。 3
CandleType 使用的蜡烛类型。 TimeFrame(5m)

所有参数均可在 StockSharp 优化器中进行优化。

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>
/// Simple strategy based on SMA of open prices and previous close comparison.
/// Buys when the previous close is below the slow SMA.
/// Sells short when the previous close is above the fast SMA.
/// Uses fixed take profit and stop loss levels for both directions.
/// </summary>
public class EscapeStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _takeProfitLong;
	private readonly StrategyParam<decimal> _takeProfitShort;
	private readonly StrategyParam<decimal> _stopLossLong;
	private readonly StrategyParam<decimal> _stopLossShort;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _fastMa;
	private SimpleMovingAverage _slowMa;
	private bool _initialized;
	private decimal _previousClose;
	private decimal _previousFast;
	private decimal _previousSlow;

	/// <summary>
	/// Length of fast SMA.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Length of slow SMA.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Take profit distance for long positions in price units.
	/// </summary>
	public decimal TakeProfitLong
	{
		get => _takeProfitLong.Value;
		set => _takeProfitLong.Value = value;
	}

	/// <summary>
	/// Take profit distance for short positions in price units.
	/// </summary>
	public decimal TakeProfitShort
	{
		get => _takeProfitShort.Value;
		set => _takeProfitShort.Value = value;
	}

	/// <summary>
	/// Stop loss distance for long positions in price units.
	/// </summary>
	public decimal StopLossLong
	{
		get => _stopLossLong.Value;
		set => _stopLossLong.Value = value;
	}

	/// <summary>
	/// Stop loss distance for short positions in price units.
	/// </summary>
	public decimal StopLossShort
	{
		get => _stopLossShort.Value;
		set => _stopLossShort.Value = value;
	}

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

	public EscapeStrategy()
	{
		_fastLength = Param(nameof(FastLength), 4)
			.SetDisplay("Fast SMA Length", "Length of fast SMA", "Parameters")
			.SetGreaterThanZero()
			;

		_slowLength = Param(nameof(SlowLength), 5)
			.SetDisplay("Slow SMA Length", "Length of slow SMA", "Parameters")
			.SetGreaterThanZero()
			;

		_takeProfitLong = Param(nameof(TakeProfitLong), 25m)
			.SetDisplay("Take Profit Long", "Take profit for long trades", "Trading")
			.SetGreaterThanZero();

		_takeProfitShort = Param(nameof(TakeProfitShort), 26m)
			.SetDisplay("Take Profit Short", "Take profit for short trades", "Trading")
			.SetGreaterThanZero();

		_stopLossLong = Param(nameof(StopLossLong), 25m)
			.SetDisplay("Stop Loss Long", "Stop loss for long trades", "Trading")
			.SetGreaterThanZero();

		_stopLossShort = Param(nameof(StopLossShort), 3m)
			.SetDisplay("Stop Loss Short", "Stop loss for short trades", "Trading")
			.SetGreaterThanZero();

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for candles", "General");
	}

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

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

		_fastMa = null;
		_slowMa = null;
		_initialized = false;
		_previousClose = 0m;
		_previousFast = 0m;
		_previousSlow = 0m;
	}

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

		_fastMa = new SMA { Length = FastLength };
		_slowMa = new SMA { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle).Start();

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

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);
	}

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

		var fast = _fastMa!.Process(new DecimalIndicatorValue(_fastMa, candle.OpenPrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var slow = _slowMa!.Process(new DecimalIndicatorValue(_slowMa, candle.OpenPrice, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!_initialized)
		{
			_initialized = true;
			_previousClose = candle.ClosePrice;
			_previousFast = fast;
			_previousSlow = slow;
			return;
		}

		var close = candle.ClosePrice;
		var buySignal = _previousClose >= _previousSlow && close < slow;
		var sellSignal = _previousClose <= _previousFast && close > fast;

		if (Position == 0)
		{
			if (buySignal)
				BuyMarket();
			else if (sellSignal)
				SellMarket();
		}

		_previousClose = close;
		_previousFast = fast;
		_previousSlow = slow;
	}
}