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ExpBuySellSide策略

该策略是将MetaTrader专家顾问ExpBuySellSide转换到StockSharp API的版本。它结合了基于ATR的止损系统和简化的Step Up/Down趋势过滤器。

ATR模块在每根K线上构建动态带。当价格突破上轨时视为进入多头阶段；跌破下轨则视为进入空头阶段。

Step Up/Down模块比较快速SMA与慢速SMA，并检查它们之间的差值是否在扩大。差值沿交叉方向扩大说明趋势得到确认。

只有当两个模块同时给出同向信号时才开仓。若启用“Close Opposite”，出现反向信号时会先平掉已有仓位。

细节

  • 入场条件：
    • 做多：收盘价突破ATR上轨且快速SMA相对慢速SMA上升。
    • 做空：收盘价跌破ATR下轨且快速SMA相对慢速SMA下降。
  • 方向：双向。
  • 出场条件：
    • 出现反向信号并启用Close Opposite。
    • 通过保护函数手动平仓。
  • 止损：基于ATR * Multiplier。
  • 默认参数：
    • ATR Period = 5。
    • ATR Multiplier = 2.5。
    • Fast SMA = 2。
    • Slow SMA = 30。
    • Candle Type = 1小时。
    • Close Opposite = true。
  • 过滤标签：
    • 类型：趋势跟随
    • 方向：双向
    • 指标：多个
    • 止损：是
    • 复杂度：中等
    • 时间框架：中期
    • 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>
/// Strategy that combines an ATR based stop with a simplified Step Up/Down trend filter.
/// A long position is opened when both modules signal an upward trend.
/// A short position is opened when both modules signal a downward trend.
/// </summary>
public class ExpBuySellSideStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<bool> _closeByOppositeSignal;
	private readonly StrategyParam<DataType> _candleType;
	
	private decimal _prevDiff;
	private decimal _prevUpper;
	private decimal _prevLower;
	private int _atrTrend;
	
	/// <summary>
	/// ATR calculation period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}
	
	/// <summary>
	/// Multiplier applied to ATR for stop calculation.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}
	
	/// <summary>
	/// Fast SMA length used in trend filter.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}
	
	/// <summary>
	/// Slow SMA length used in trend filter.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}
	
	/// <summary>
	/// Close opposite position before opening new one.
	/// </summary>
	public bool CloseByOppositeSignal
	{
		get => _closeByOppositeSignal.Value;
		set => _closeByOppositeSignal.Value = value;
	}
	
	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Constructor.
	/// </summary>
	public ExpBuySellSideStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 5)
		.SetGreaterThanZero()
		.SetDisplay("ATR Period", "ATR calculation length", "ATR")
		
		.SetOptimize(3, 20, 1);
		
		_atrMultiplier = Param(nameof(AtrMultiplier), 2.5m)
		.SetGreaterThanZero()
		.SetDisplay("ATR Multiplier", "ATR band multiplier", "ATR")
		
		.SetOptimize(1m, 5m, 0.5m);
		
		_fastPeriod = Param(nameof(FastPeriod), 5)
		.SetGreaterThanZero()
		.SetDisplay("Fast SMA", "Fast moving average length", "Step Up/Down")
		
		.SetOptimize(1, 10, 1);
		
		_slowPeriod = Param(nameof(SlowPeriod), 30)
		.SetGreaterThanZero()
		.SetDisplay("Slow SMA", "Slow moving average length", "Step Up/Down")
		
		.SetOptimize(10, 60, 5);
		
		_closeByOppositeSignal = Param(nameof(CloseByOppositeSignal), true)
		.SetDisplay("Close Opposite", "Close opposite position on signal", "General");
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles", "General");
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevDiff = 0m;
		_prevUpper = 0m;
		_prevLower = 0m;
		_atrTrend = 0;
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		// Start position protection once.
		StartProtection(null, null);
		
		var atr = new ATR { Length = AtrPeriod };
		var fast = new SMA { Length = FastPeriod };
		var slow = new SMA { Length = SlowPeriod };
		
		var subscription = SubscribeCandles(CandleType);
		
		subscription
		.Bind(fast, slow, atr, ProcessCandle)
		.Start();
		
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fast);
			DrawIndicator(area, slow);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow, decimal atr)
	{
		if (candle.State != CandleStates.Finished)
		return;
		
		if (!IsFormedAndOnlineAndAllowTrading())
		return;
		
		// Step Up/Down filter using difference between fast and slow SMA.
		var diff = fast - slow;
		var stepSignal = 0;
		if (fast > slow && diff > _prevDiff)
		stepSignal = 1;
		else if (fast < slow && diff < _prevDiff)
		stepSignal = -1;
		
		_prevDiff = diff;
		
		// ATR based stop similar to SuperTrend.
		var upper = candle.HighPrice - AtrMultiplier * atr;
		var lower = candle.LowPrice + AtrMultiplier * atr;
		var atrSignal = 0;
		
		if (candle.ClosePrice > _prevUpper && _atrTrend <= 0)
		{
			_atrTrend = 1;
			atrSignal = 1;
		}
		else if (candle.ClosePrice < _prevLower && _atrTrend >= 0)
		{
			_atrTrend = -1;
			atrSignal = -1;
		}
		
		_prevUpper = upper;
		_prevLower = lower;
		
		var tradeSignal = 0;
		if (atrSignal == 1 && stepSignal == 1)
		tradeSignal = 1;
		else if (atrSignal == -1 && stepSignal == -1)
		tradeSignal = -1;
		
		switch (tradeSignal)
		{
		case 1:
			if (CloseByOppositeSignal && Position < 0)
			BuyMarket(Volume + Math.Abs(Position));
			else if (Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
			break;
		case -1:
			if (CloseByOppositeSignal && Position > 0)
			SellMarket(Volume + Math.Abs(Position));
			else if (Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
			break;
		}
	}
}