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统计重复行为策略

这是一套日内策略，用来观察最近若干个交易日中相同时间开盘的 K 线是偏多还是偏空。每当新 K 线开始时，策略会统计历史上相同小时和分钟的蜡烛实体（以点数计），分别计算多头与空头的累计力度。如果多头总和更大，则在当前柱的开盘做多；若空头总和更大，则做空。仓位在下一根 K 线关闭，此外还有固定点差的止损，模拟原始 MetaTrader 专家的处理方式。仓位大小在亏损后按黄金分割比例放大，盈利后回到初始值。

交易流程

  1. 新 K 线开始时先平掉上一根柱子留下的仓位。
  2. 搜索过去 HistoryDays 个交易日中，与当前柱同一时间（小时+分钟）开盘的所有蜡烛。
  3. 统计这些蜡烛的实体长度（点数），大于 MinimumBodyPoints 的正值累加到多头，总负值（绝对值）累加到空头。
  4. 如果多头总和大于空头总和，则按当前可交易量开多。
  5. 如果空头总和大于多头总和，则按当前可交易量开空。
  6. 为持仓设置 StopLossPips 对应的止损距离，止损触发通过完成柱的最高价/最低价来判断。
  7. 平仓时：
    • 若本次交易盈利，则将交易量重置为 InitialVolume。
    • 若亏损，则将交易量乘以 MartingaleFactor，同时按交易品种的最小/最大手数及步长限制进行修正。

参数说明

  • HistoryDays（默认 10）— 统计历史数据的天数。
  • MinimumBodyPoints（默认 10）— 小于此点数的蜡烛实体会被忽略。
  • StopLossPips（默认 15）— 止损距离，以点数表示。
  • InitialVolume（默认 0.1）— 初始下单量，作为盈亏调整的基准。
  • MartingaleFactor（默认 1.618）— 亏损后放大的倍数。
  • CandleType（默认 1 小时）— 使用的 K 线周期。

策略特性

  • 方向：可同时进行多头或空头，取决于统计结果。
  • 周期：可配置（默认 1 小时），统计严格匹配开盘的小时和分钟。
  • 仓位管理：同一时间仅持有一个仓位，在下一根柱或触发止损时平仓。
  • 风险特点：使用固定点数止损，并在连续亏损时通过黄金分割比例放大仓位。
  • 适用市场：要求交易品种提供有效的 MinPriceStep、最小/最大手数以及手数步长。

实现细节

  • 每一分钟都维护一个队列保存最近 HistoryDays 根对应蜡烛的实体点数。
  • 下单量会根据交易品种的 VolumeStep 调整，并限制在 MinVolume 与 MaxVolume 之间。
  • 止损检查基于完成柱的最高价和最低价，用来模拟原始 MQL5 策略的盘中执行方式。
  • 代码中的注释均为英文，以符合项目规范。
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 analyzes historical candle bodies for the same time of day.
/// Opens a position when bullish or bearish pressure dominates over recent days.
/// Implements simple martingale sizing after losing trades.
/// </summary>
public class StatisticsRepeatingBehaviorStrategy : Strategy
{
	private readonly StrategyParam<int> _historyDays;
	private readonly StrategyParam<int> _minimumBodyPoints;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<decimal> _initialVolume;
	private readonly StrategyParam<decimal> _martingaleFactor;
	private readonly StrategyParam<DataType> _candleType;

	private readonly System.Collections.Concurrent.ConcurrentDictionary<int, BodyStatistics> _bodyStatistics = new();

	private decimal _currentVolume;
	private decimal _entryPrice;
	private decimal _stopPrice;
	private int _positionDirection;
	private decimal _priceStep;
	private TimeSpan _timeFrame;

	/// <summary>
	/// Number of historical days to aggregate for statistics.
	/// </summary>
	public int HistoryDays
	{
		get => _historyDays.Value;
		set => _historyDays.Value = value;
	}

	/// <summary>
	/// Minimum body size in points for a candle to contribute into the statistics.
	/// </summary>
	public int MinimumBodyPoints
	{
		get => _minimumBodyPoints.Value;
		set => _minimumBodyPoints.Value = value;
	}

	/// <summary>
	/// Stop loss distance measured in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Initial order size used before applying martingale adjustments.
	/// </summary>
	public decimal InitialVolume
	{
		get => _initialVolume.Value;
		set => _initialVolume.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the order size after a losing trade.
	/// </summary>
	public decimal MartingaleFactor
	{
		get => _martingaleFactor.Value;
		set => _martingaleFactor.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="StatisticsRepeatingBehaviorStrategy"/>.
	/// </summary>
	public StatisticsRepeatingBehaviorStrategy()
	{
		_historyDays = Param(nameof(HistoryDays), 3)
			.SetGreaterThanZero()
			.SetDisplay("History Days", "Number of days to collect statistics", "Parameters")
			;

		_minimumBodyPoints = Param(nameof(MinimumBodyPoints), 0)
			.SetDisplay("Minimum Body (points)", "Ignore candles with smaller body", "Parameters")
			;

		_stopLossPips = Param(nameof(StopLossPips), 15)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Stop loss distance in pips", "Risk")
			;

		_initialVolume = Param(nameof(InitialVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Initial Volume", "Starting order size", "Trading")
			;

		_martingaleFactor = Param(nameof(MartingaleFactor), 1.618m)
			.SetGreaterThanZero()
			.SetDisplay("Martingale Factor", "Multiplier after losing trade", "Trading")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candles for analysis", "General");
	}

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

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

		_bodyStatistics.Clear();
		_currentVolume = 0m;
		_entryPrice = 0m;
		_stopPrice = 0m;
		_positionDirection = 0;
		_priceStep = 0m;
		_timeFrame = TimeSpan.Zero;
	}

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

		_priceStep = Security.PriceStep ?? 1m;

		_timeFrame = CandleType.Arg is TimeSpan span ? span : TimeSpan.Zero;
		if (_timeFrame <= TimeSpan.Zero)
			_timeFrame = TimeSpan.FromMinutes(1);

		_currentVolume = AdjustVolume(InitialVolume);

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

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

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

		var nextOpen = candle.OpenTime + _timeFrame;
		var nextKey = GetMinuteKey(nextOpen);

		// Close existing position at the beginning of the new bar.
		if (_positionDirection != 0)
		{
			var exitPrice = candle.ClosePrice;
			var stopHit = false;

			if (_positionDirection > 0)
			{
				if (candle.LowPrice <= _stopPrice)
				{
					exitPrice = _stopPrice;
					stopHit = true;
				}
			}
			else
			{
				if (candle.HighPrice >= _stopPrice)
				{
					exitPrice = _stopPrice;
					stopHit = true;
				}
			}

			if (Position > 0)
				SellMarket();
			else if (Position < 0)
				BuyMarket();

			UpdateVolumeAfterTrade(exitPrice, stopHit);
		}

		if (_positionDirection == 0 && _bodyStatistics.TryGetValue(nextKey, out var stats) && stats.Count > 0)
		{
			var bullSum = stats.BullSum;
			var bearSum = stats.BearSum;

			if (bullSum > bearSum && Position <= 0)
			{
				EnterPosition(candle, true);
			}
			else if (bearSum > bullSum && Position >= 0)
			{
				EnterPosition(candle, false);
			}
		}

		UpdateStatistics(candle);
	}

	private void EnterPosition(ICandleMessage candle, bool isLong)
	{
		var volume = _currentVolume;
		if (volume <= 0m)
			return;

		var stopDistance = StopLossPips * _priceStep;
		if (stopDistance <= 0m)
			stopDistance = _priceStep;

		if (isLong)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
			_stopPrice = _entryPrice - stopDistance;
			_positionDirection = 1;
		}
		else
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
			_stopPrice = _entryPrice + stopDistance;
			_positionDirection = -1;
		}
	}

	private void UpdateVolumeAfterTrade(decimal exitPrice, bool stopHit)
	{
		if (_positionDirection == 0)
			return;

		var profit = (_positionDirection > 0 ? exitPrice - _entryPrice : _entryPrice - exitPrice);

		if (profit > 0m && !stopHit)
		{
			_currentVolume = AdjustVolume(InitialVolume);
		}
		else
		{
			var increased = AdjustVolume(InitialVolume * MartingaleFactor);
			_currentVolume = increased;
		}

		_entryPrice = 0m;
		_stopPrice = 0m;
		_positionDirection = 0;
	}

	private void UpdateStatistics(ICandleMessage candle)
	{
		var currentKey = GetMinuteKey(candle.OpenTime);
		var stats = _bodyStatistics.GetOrAdd(currentKey, _ => new BodyStatistics());

		var body = candle.ClosePrice - candle.OpenPrice;
		var bodyPoints = body / _priceStep;
		var absBody = Math.Abs(bodyPoints);

		if (MinimumBodyPoints > 0 && absBody < MinimumBodyPoints)
			return;

		stats.Enqueue(bodyPoints);

		while (stats.Count > HistoryDays)
		{
			var removed = stats.Dequeue();
			if (removed > 0m)
				stats.BullSum -= removed;
			else if (removed < 0m)
				stats.BearSum -= Math.Abs(removed);
		}
	}

	private decimal AdjustVolume(decimal volume)
	{
		return volume <= 0m ? 1m : volume;
	}

	private static int GetMinuteKey(DateTimeOffset time)
	{
		return time.Hour * 60 + time.Minute;
	}

	private sealed class BodyStatistics
	{
		private readonly Queue<decimal> _values = new();

		public decimal BullSum { get; set; }
		public decimal BearSum { get; set; }

		public int Count => _values.Count;

		public void Enqueue(decimal value)
		{
			_values.Enqueue(value);
			if (value > 0m)
				BullSum += value;
			else if (value < 0m)
				BearSum += Math.Abs(value);
		}

		public decimal Dequeue()
		{
			return _values.Dequeue();
		}
	}
}