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Cash Machine 5min 策略

概述

该策略是将 CashMachine 5min MQL 智能交易系统直接迁移到 StockSharp 高级 API 的结果。策略基于 5 分钟K线，结合 DeMarker 指标与随机指标（Stochastic）的交叉过滤，并使用隐藏止损/止盈加分段移动止损来管理仓位，力图在趋势发展时逐步锁定利润。

交易逻辑

入场条件

  • 做多：上一个 DeMarker 值低于 0.30，当前值大于或等于 0.30，且同一根K线上随机指标 %K 从下向上穿越 20。必须没有持仓。
  • 做空：上一个 DeMarker 值高于 0.70，当前值小于或等于 0.70，且随机指标 %K 从上向下穿越 80。必须没有持仓。

仓位管理

  • 同一时间只允许持有一个方向的仓位；在持仓期间忽略反向信号。
  • 当价格触及 Entry ± HiddenStopLoss 或 Entry ± HiddenTakeProfit（以点数表示）时触发隐藏止损/止盈并平仓。
  • 三个利润目标（TargetTp1/2/3）会将隐藏移动止损调整至：多头为 当前价格 - (target - 13) 点，空头为 当前价格 + (target + 13) 点。额外的 13 点用于复现原始 EA 的保护逻辑，在达到阶段目标后锁定收益但不过早平仓。
  • 激活移动止损后，一旦价格触碰该水平即以市价离场。

指标

  • DeMarker：用于识别动能反转；周期与原始脚本一致。
  • 随机指标 (Stochastic Oscillator)：使用原始的 %K 周期 (StochasticLength)、%K 平滑 (StochasticK) 以及 %D 平滑 (StochasticD) 设置。

参数

参数 说明 默认值
HiddenTakeProfit 隐藏止盈距离（点）。 60
HiddenStopLoss 隐藏止损距离（点）。 30
TargetTp1 第一级移动止损触发点（点）。 20
TargetTp2 第二级移动止损触发点（点）。 35
TargetTp3 第三级移动止损触发点（点）。 50
DeMarkerLength DeMarker 平均周期。 14
StochasticLength 随机指标 %K 回看周期。 5
StochasticK %K 平滑周期。 3
StochasticD %D 平滑周期。 3
CandleType 计算所用的K线类型（默认 5 分钟）。 5 分钟周期

备注

  • 点值通过 Security.PriceStep 计算；若无法获得价格步长，则使用默认值 0.0001，与原 EA 在 3/5 位报价上的行为保持一致。
  • 所有决策基于已完成的K线。原策略在每个 tick 上运行，因此在盘中细节上可能存在轻微差异。
  • 下单量使用 StockSharp 的 Strategy.Volume 属性控制，可根据需求自行设置。
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>
/// Cash Machine strategy: combines DeMarker and Stochastic oscillator crossovers
/// with staged profit protection using ATR-based distances.
/// </summary>
public class CashMachine5minStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tpAtrMult;
	private readonly StrategyParam<decimal> _slAtrMult;
	private readonly StrategyParam<decimal> _trailAtrMult;
	private readonly StrategyParam<int> _deMarkerLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevDeMarker;
	private decimal? _prevRsi;
	private decimal _entryPrice;
	private decimal? _stopPrice;

	public decimal TpAtrMult { get => _tpAtrMult.Value; set => _tpAtrMult.Value = value; }
	public decimal SlAtrMult { get => _slAtrMult.Value; set => _slAtrMult.Value = value; }
	public decimal TrailAtrMult { get => _trailAtrMult.Value; set => _trailAtrMult.Value = value; }
	public int DeMarkerLength { get => _deMarkerLength.Value; set => _deMarkerLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public CashMachine5minStrategy()
	{
		_tpAtrMult = Param(nameof(TpAtrMult), 2.5m)
			.SetGreaterThanZero()
			.SetDisplay("TP ATR Mult", "Take profit ATR multiplier", "Risk");

		_slAtrMult = Param(nameof(SlAtrMult), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("SL ATR Mult", "Stop loss ATR multiplier", "Risk");

		_trailAtrMult = Param(nameof(TrailAtrMult), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Trail ATR Mult", "Trailing stop ATR multiplier", "Risk");

		_deMarkerLength = Param(nameof(DeMarkerLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("DeMarker Length", "DeMarker period", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR calculation period", "Indicators");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevDeMarker = null;
		_prevRsi = null;
		_entryPrice = 0;
		_stopPrice = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var deMarker = new DeMarker { Length = DeMarkerLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(deMarker, rsi, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		// Manage position
		if (Position > 0)
		{
			// Trailing stop
			var trail = close - TrailAtrMult * atr;
			if (_stopPrice == null || trail > _stopPrice)
				_stopPrice = trail;

			// Take profit
			var tp = _entryPrice + TpAtrMult * atr;

			if (close <= _stopPrice || close >= tp)
			{
				SellMarket(Math.Abs(Position));
				_stopPrice = null;
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			var trail = close + TrailAtrMult * atr;
			if (_stopPrice == null || trail < _stopPrice)
				_stopPrice = trail;

			var tp = _entryPrice - TpAtrMult * atr;

			if (close >= _stopPrice || close <= tp)
			{
				BuyMarket(Math.Abs(Position));
				_stopPrice = null;
				_entryPrice = 0;
			}
		}

		// Entry signals
		if (Position == 0 && _prevDeMarker is decimal prevDe && _prevRsi is decimal prevRsi)
		{
			var longSignal = (prevDe < 0.25m && deMarker >= 0.25m) || (prevRsi < 25m && rsi >= 25m);
			var shortSignal = (prevDe > 0.75m && deMarker <= 0.75m) || (prevRsi > 75m && rsi <= 75m);

			if (longSignal)
			{
				BuyMarket();
				_entryPrice = close;
				_stopPrice = close - SlAtrMult * atr;
			}
			else if (shortSignal)
			{
				SellMarket();
				_entryPrice = close;
				_stopPrice = close + SlAtrMult * atr;
			}
		}

		_prevDeMarker = deMarker;
		_prevRsi = rsi;
	}
}