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e-TurboFx Steps 策略

概述

e-TurboFx 是一套寻找动量耗竭的反转策略，最初发表于 MetaTrader 5。它关注最近若干根完成的 K 线，如果同方向的 K 线实体持续放大，则认为行情可能即将反转。本移植版本基于 StockSharp 的高级 API，使用蜡烛图订阅、参数系统以及自动化的仓位保护模块。

交易逻辑

  • 观察所选 CandleType 的最近 DepthAnalysis 根完结蜡烛。
  • 统计连续收在开盘价之下的蜡烛数量（看跌）以及连续收在开盘价之上的蜡烛数量（看涨）。
  • 对每个方向追踪实体大小，只要新蜡烛的绝对实体没有超过前一根蜡烛，当前序列就会被重置。
  • 做多条件： 如果出现 DepthAnalysis 根连续的看跌蜡烛且实体逐步增大，并且当前没有持仓，则立即市价买入。
  • 做空条件： 如果出现 DepthAnalysis 根连续的看涨蜡烛且实体逐步增大，并且当前没有持仓，则立即市价卖出。
  • 当策略持有仓位时不会继续寻找新的信号，从而避免叠加交易；风险控制由 StartProtection 统一处理。

仓位管理

  • StartProtection 会按照价格步长（交易所最小跳动）注册止损和止盈。参数为 0 表示关闭对应的保护单。
  • 策略同一时间只允许存在一笔仓位。平仓之后，内部计数器会重新建立新的序列。
  • TradeVolume 决定每次市价单的下单数量，修改参数会立即同步到策略的 Volume 属性。

参数

参数 说明 默认值
DepthAnalysis 需要连续满足条件的完成蜡烛数量。数值越大，触发信号所需的序列越长。 3
TakeProfitSteps 止盈距离（以价格步长计）。0 表示不设置止盈。 120
StopLossSteps 止损距离（以价格步长计）。0 表示不设置止损。 70
TradeVolume 每次市价单的交易量。 0.1
CandleType 用于分析的蜡烛数据类型/时间框架。 1 小时蜡烛

所有数值参数都包含优化设置，可直接用于 StockSharp 的参数优化流程。

使用建议

  • 原始 MT5 EA 在每个行情跳动时重新读取历史数据；本实现通过已完成的蜡烛事件和内部状态，实现等效的行为。
  • 策略对时间框架较为敏感：较短的周期提供更多信号，但对止损/止盈要求也更紧。
  • 请确认交易标的提供有效的 PriceStep，以便价格步长正确映射到真实价格。
  • 上线实盘之前，建议先在 Designer 或 Backtester 中验证止损/止盈与品种的匹配度。
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>
/// Momentum reversal strategy that tracks consecutive candles with expanding bodies.
/// </summary>
public class ETurboFxStepsStrategy : Strategy
{
	private readonly StrategyParam<int> _depthAnalysis;
	private readonly StrategyParam<decimal> _takeProfitSteps;
	private readonly StrategyParam<decimal> _stopLossSteps;
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<DataType> _candleType;

	private int _bearishSequence;
	private int _bullishSequence;
	private decimal _previousBearishBody;
	private decimal _previousBullishBody;

	/// <summary>
	/// Number of recent candles analysed for momentum confirmation.
	/// </summary>
	public int DepthAnalysis
	{
		get => _depthAnalysis.Value;
		set => _depthAnalysis.Value = value;
	}

	/// <summary>
	/// Take profit distance measured in price steps (ticks).
	/// A value of zero disables the take profit order.
	/// </summary>
	public decimal TakeProfitSteps
	{
		get => _takeProfitSteps.Value;
		set => _takeProfitSteps.Value = value;
	}

	/// <summary>
	/// Stop loss distance measured in price steps (ticks).
	/// A value of zero disables the protective stop.
	/// </summary>
	public decimal StopLossSteps
	{
		get => _stopLossSteps.Value;
		set => _stopLossSteps.Value = value;
	}

	/// <summary>
	/// Volume used when sending market orders.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set
		{
			_tradeVolume.Value = value;
			Volume = value;
		}
	}

	/// <summary>
	/// Candle type analysed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="ETurboFxStepsStrategy" /> class.
	/// </summary>
	public ETurboFxStepsStrategy()
	{
		_depthAnalysis = Param(nameof(DepthAnalysis), 3)
			.SetGreaterThanZero()
			.SetDisplay("Depth Analysis", "Number of finished candles used for pattern detection", "Trading Rules")
			
			.SetOptimize(2, 6, 1);

		_takeProfitSteps = Param(nameof(TakeProfitSteps), 120m)
			.SetNotNegative()
			.SetDisplay("Take Profit (steps)", "Take profit distance in price steps (ticks)", "Risk Management")
			
			.SetOptimize(60m, 180m, 20m);

		_stopLossSteps = Param(nameof(StopLossSteps), 70m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (steps)", "Stop loss distance in price steps (ticks)", "Risk Management")
			
			.SetOptimize(40m, 120m, 10m);

		_tradeVolume = Param(nameof(TradeVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Order volume used for entries", "Trading Rules")
			
			.SetOptimize(0.1m, 0.5m, 0.1m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe of the candles analysed by the strategy", "Market Data");
	}

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

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

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

		ResetState();
		Volume = TradeVolume;

		var takeProfitUnit = CreateStepUnit(TakeProfitSteps);
		var stopLossUnit = CreateStepUnit(StopLossSteps);

		if (takeProfitUnit != null || stopLossUnit != null)
		{
			// Configure protective orders once the strategy starts.
			StartProtection(stopLossUnit, takeProfitUnit);
		}

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ProcessCandle)
			.Start();

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

	private Unit CreateStepUnit(decimal steps)
	{
		if (steps <= 0)
			return null;

		return new Unit(steps, UnitTypes.Absolute);
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0)
		{
			// Do not look for new signals while a position is active.
			ResetState();
			return;
		}

		var bodySize = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		if (candle.ClosePrice < candle.OpenPrice)
		{
			HandleBearishCandle(bodySize);
		}
		else if (candle.ClosePrice > candle.OpenPrice)
		{
			HandleBullishCandle(bodySize);
		}
		else
		{
			// Neutral candle breaks both sequences.
			ResetState();
		}
	}

	private void HandleBearishCandle(decimal bodySize)
	{
		ResetBullishSequence();

		if (bodySize <= 0)
		{
			ResetBearishSequence();
			return;
		}

		if (_bearishSequence == 0 || bodySize > _previousBearishBody)
		{
			// Body is larger than the previous bearish candle, extend the sequence.
			_bearishSequence++;
		}
		else
		{
			// Sequence restarts because body did not expand.
			_bearishSequence = 1;
		}

		_previousBearishBody = bodySize;

		if (_bearishSequence >= DepthAnalysis)
		{
			// Expanding bearish bodies suggest exhaustion that can trigger a long entry.
			BuyMarket();
			ResetBearishSequence();
		}
	}

	private void HandleBullishCandle(decimal bodySize)
	{
		ResetBearishSequence();

		if (bodySize <= 0)
		{
			ResetBullishSequence();
			return;
		}

		if (_bullishSequence == 0 || bodySize > _previousBullishBody)
		{
			// Body is larger than the previous bullish candle, extend the sequence.
			_bullishSequence++;
		}
		else
		{
			// Sequence restarts because body did not expand.
			_bullishSequence = 1;
		}

		_previousBullishBody = bodySize;

		if (_bullishSequence >= DepthAnalysis)
		{
			// Expanding bullish bodies suggest potential reversal to the downside.
			SellMarket();
			ResetBullishSequence();
		}
	}

	private void ResetBearishSequence()
	{
		_bearishSequence = 0;
		_previousBearishBody = 0m;
	}

	private void ResetBullishSequence()
	{
		_bullishSequence = 0;
		_previousBullishBody = 0m;
	}

	private void ResetState()
	{
		ResetBearishSequence();
		ResetBullishSequence();
	}
}