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XROC2 VG 时间过滤策略

该策略使用 StockSharp 高层 API 重建 MetaTrader 专家顾问 Exp_XROC2_VG_Tm。系统计算两条平滑后的价格变化率（ROC）曲线，当快速曲线与慢速曲线交叉时采取反向交易。可选的交易时段过滤器与止盈止损距离复现了原始 EA 的资金管理逻辑。

交易思路

  • 以不同的周期从收盘价计算两条 ROC 序列。
  • 每条 ROC 序列都通过可配置的移动平均方法进行平滑处理。
  • 信号按照 SignalShift 指定的历史柱索引进行评估，与 MQL 版本保持一致。
  • 如果上一根柱中快速线在慢速线之上，而信号柱快速线跌破慢速线，则平掉任何空头仓位，并可选择开多。
  • 如果上一根柱中快速线在慢速线之下，而信号柱快速线突破慢速线，则平掉任何多头仓位，并可选择开空。
  • 可选的交易窗口会在禁止交易的时间段把仓位清零，之后才评估新的入场机会。

仓位方向只有在已有仓位完全平仓后才会切换，符合原始 TradeAlgorithms 模块的行为。

指标说明

  • 快速 ROC：基于 RocPeriod1 根 K 线的价格动量、百分比或比率，并使用 SmoothMethod1、SmoothLength1 进行平滑。
  • 慢速 ROC：同样的计算方式，周期为 RocPeriod2，平滑参数为 SmoothMethod2、SmoothLength2。
  • 支持的平滑方法包括：简单、指数、平滑（RMA）以及加权移动平均。原始指标中的 JJMA、VIDYA、AMA 在此策略中用指数平滑近似实现。

风险控制

  • StopLoss 与 TakeProfit 使用绝对价格距离定义可选的止损止盈，当触发任一阈值时立即平仓。
  • OrderVolume 指定每次新开仓的数量。
  • 指标信号也可能触发平仓，即使停损停利被禁用。

时间过滤

  • UseTimeFilter 控制是否启用交易时段过滤。
  • StartTime / EndTime 定义允许交易的时间窗口；当结束时间早于开始时间时，窗口会跨越午夜，与 MQL 版本相同。
  • 若在窗口关闭时仍有持仓，会先以市价平仓，然后才评估新的入场信号。

参数列表

参数 说明
CandleType 用于计算的 K 线类型（默认 4 小时）。
RocPeriod1, RocPeriod2 快速与慢速 ROC 的回溯周期。
SmoothLength1, SmoothLength2 每条 ROC 曲线的平滑长度。
SmoothMethod1, SmoothMethod2 ROC 输出采用的移动平均类型。
RocType ROC 计算公式：动量、百分比或比率。
SignalShift 读取信号时回溯的柱数。
AllowBuyOpen, AllowSellOpen 是否允许开多 / 开空。
AllowBuyClose, AllowSellClose 是否允许由指标信号平多 / 平空。
UseTimeFilter 是否启用交易时段过滤。
StartTime, EndTime 交易窗口的起止时间。
OrderVolume 每次新订单的交易量。
StopLoss, TakeProfit 可选的绝对价差止损、止盈。

实现说明

  • 策略使用短历史缓冲保存价格与平滑值，而不是访问完整指标缓冲区，从而在不调用 GetValue 的情况下还原 SignalShift 逻辑。
  • 由于 StockSharp 标准指标库限制，JJMA、VIDYA、AMA 被映射为指数移动平均。
  • 代码中的注释全部为英文，并遵守仓库的命名空间规范。
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>
/// XROC2 VG with time filter strategy converted from MetaTrader 5.
/// </summary>
public class Xroc2VgTmStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rocPeriod1;
	private readonly StrategyParam<int> _rocPeriod2;
	private readonly StrategyParam<int> _smoothLength1;
	private readonly StrategyParam<int> _smoothLength2;
	private readonly StrategyParam<SmoothingMethods> _smoothMethod1;
	private readonly StrategyParam<SmoothingMethods> _smoothMethod2;
	private readonly StrategyParam<RocCalculationTypes> _rocType;
	private readonly StrategyParam<int> _signalShift;
	private readonly StrategyParam<bool> _allowBuyOpen;
	private readonly StrategyParam<bool> _allowSellOpen;
	private readonly StrategyParam<bool> _allowBuyClose;
	private readonly StrategyParam<bool> _allowSellClose;
	private readonly StrategyParam<bool> _useTimeFilter;
	private readonly StrategyParam<TimeSpan> _startTime;
	private readonly StrategyParam<TimeSpan> _endTime;
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;

	private readonly List<decimal> _closeHistory = new();
	private readonly List<decimal> _fastHistory = new();
	private readonly List<decimal> _slowHistory = new();

	private IIndicator _smoothFast;
	private IIndicator _smoothSlow;

	private decimal? _longEntryPrice;
	private decimal? _shortEntryPrice;

	/// <summary>
	/// Rate-of-change calculation mode.
	/// </summary>
	public enum RocCalculationTypes
	{
		/// <summary>Momentum (difference between closes).</summary>
		Momentum,

		/// <summary>Rate of change in percent.</summary>
		RateOfChange,

		/// <summary>Relative rate of change (fraction).</summary>
		Percent,

		/// <summary>Price ratio.</summary>
		Ratio,

		/// <summary>Price ratio scaled by 100.</summary>
		RatioPercent
	}

	/// <summary>
	/// Smoothing method used for ROC lines.
	/// </summary>
	public enum SmoothingMethods
	{
		/// <summary>Simple moving average.</summary>
		Simple,

		/// <summary>Exponential moving average.</summary>
		Exponential,

		/// <summary>Smoothed moving average.</summary>
		Smoothed,

		/// <summary>Weighted moving average.</summary>
		Weighted
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="Xroc2VgTmStrategy"/> class.
	/// </summary>
	public Xroc2VgTmStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe", "General");

		_rocPeriod1 = Param(nameof(RocPeriod1), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast ROC Period", "Lookback for the first ROC line", "Indicator")
			;

		_rocPeriod2 = Param(nameof(RocPeriod2), 10)
			.SetGreaterThanZero()
			.SetDisplay("Slow ROC Period", "Lookback for the second ROC line", "Indicator")
			;

		_smoothLength1 = Param(nameof(SmoothLength1), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast Smoothing", "Smoothing length for the first line", "Indicator");

		_smoothLength2 = Param(nameof(SmoothLength2), 5)
			.SetGreaterThanZero()
			.SetDisplay("Slow Smoothing", "Smoothing length for the second line", "Indicator");

		_smoothMethod1 = Param(nameof(SmoothMethod1), SmoothingMethods.Exponential)
			.SetDisplay("Fast Method", "Smoothing method for the first line", "Indicator");

		_smoothMethod2 = Param(nameof(SmoothMethod2), SmoothingMethods.Exponential)
			.SetDisplay("Slow Method", "Smoothing method for the second line", "Indicator");

		_rocType = Param(nameof(RocType), RocCalculationTypes.Momentum)
			.SetDisplay("ROC Mode", "Calculation used for rate of change", "Indicator");

		_signalShift = Param(nameof(SignalShift), 0)
			.SetNotNegative()
			.SetDisplay("Signal Shift", "Bars back to read the signals", "Logic");

		_allowBuyOpen = Param(nameof(AllowBuyOpen), true)
			.SetDisplay("Allow Long Entry", "Enable opening long positions", "Trading");

		_allowSellOpen = Param(nameof(AllowSellOpen), true)
			.SetDisplay("Allow Short Entry", "Enable opening short positions", "Trading");

		_allowBuyClose = Param(nameof(AllowBuyClose), true)
			.SetDisplay("Allow Long Exit", "Enable closing long positions by indicator", "Trading");

		_allowSellClose = Param(nameof(AllowSellClose), true)
			.SetDisplay("Allow Short Exit", "Enable closing short positions by indicator", "Trading");

		_useTimeFilter = Param(nameof(UseTimeFilter), false)
			.SetDisplay("Use Time Filter", "Restrict trading to a time window", "Timing");

		_startTime = Param(nameof(StartTime), TimeSpan.Zero)
			.SetDisplay("Start Time", "Session start time", "Timing");

		_endTime = Param(nameof(EndTime), new TimeSpan(23, 59, 0))
			.SetDisplay("End Time", "Session end time", "Timing");

		_orderVolume = Param(nameof(OrderVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Volume for new positions", "Trading");

		_stopLoss = Param(nameof(StopLoss), 0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Protective stop distance in price units", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 0m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Target distance in price units", "Risk");
	}

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

	/// <summary>
	/// Lookback of the first ROC line.
	/// </summary>
	public int RocPeriod1
	{
		get => _rocPeriod1.Value;
		set => _rocPeriod1.Value = value;
	}

	/// <summary>
	/// Lookback of the second ROC line.
	/// </summary>
	public int RocPeriod2
	{
		get => _rocPeriod2.Value;
		set => _rocPeriod2.Value = value;
	}

	/// <summary>
	/// Smoothing length applied to the first line.
	/// </summary>
	public int SmoothLength1
	{
		get => _smoothLength1.Value;
		set => _smoothLength1.Value = value;
	}

	/// <summary>
	/// Smoothing length applied to the second line.
	/// </summary>
	public int SmoothLength2
	{
		get => _smoothLength2.Value;
		set => _smoothLength2.Value = value;
	}

	/// <summary>
	/// Smoothing method for the first line.
	/// </summary>
	public SmoothingMethods SmoothMethod1
	{
		get => _smoothMethod1.Value;
		set => _smoothMethod1.Value = value;
	}

	/// <summary>
	/// Smoothing method for the second line.
	/// </summary>
	public SmoothingMethods SmoothMethod2
	{
		get => _smoothMethod2.Value;
		set => _smoothMethod2.Value = value;
	}

	/// <summary>
	/// Type of ROC calculation.
	/// </summary>
	public RocCalculationTypes RocType
	{
		get => _rocType.Value;
		set => _rocType.Value = value;
	}

	/// <summary>
	/// Number of bars back used for signal evaluation.
	/// </summary>
	public int SignalShift
	{
		get => _signalShift.Value;
		set => _signalShift.Value = value;
	}

	/// <summary>
	/// Enables long entries.
	/// </summary>
	public bool AllowBuyOpen
	{
		get => _allowBuyOpen.Value;
		set => _allowBuyOpen.Value = value;
	}

	/// <summary>
	/// Enables short entries.
	/// </summary>
	public bool AllowSellOpen
	{
		get => _allowSellOpen.Value;
		set => _allowSellOpen.Value = value;
	}

	/// <summary>
	/// Enables closing long positions by indicator signals.
	/// </summary>
	public bool AllowBuyClose
	{
		get => _allowBuyClose.Value;
		set => _allowBuyClose.Value = value;
	}

	/// <summary>
	/// Enables closing short positions by indicator signals.
	/// </summary>
	public bool AllowSellClose
	{
		get => _allowSellClose.Value;
		set => _allowSellClose.Value = value;
	}

	/// <summary>
	/// Turns the time filter on or off.
	/// </summary>
	public bool UseTimeFilter
	{
		get => _useTimeFilter.Value;
		set => _useTimeFilter.Value = value;
	}

	/// <summary>
	/// Trading session start time.
	/// </summary>
	public TimeSpan StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// Trading session end time.
	/// </summary>
	public TimeSpan EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

	/// <summary>
	/// Order volume used for new positions.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Protective stop distance in price units.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take-profit distance in price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

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

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

		_closeHistory.Clear();
		_fastHistory.Clear();
		_slowHistory.Clear();

		_smoothFast = null;
		_smoothSlow = null;

		_longEntryPrice = null;
		_shortEntryPrice = null;
	}

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

		_smoothFast = CreateSmoothingIndicator(SmoothMethod1, SmoothLength1);
		_smoothSlow = CreateSmoothingIndicator(SmoothMethod2, SmoothLength2);

		_closeHistory.Clear();
		_fastHistory.Clear();
		_slowHistory.Clear();

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

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

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

		var capacity = Math.Max(Math.Max(RocPeriod1, RocPeriod2) + SignalShift + 5, 8);
		UpdateHistory(_closeHistory, candle.ClosePrice, capacity);

		var fastRoc = CalculateRoc(RocPeriod1);
		var slowRoc = CalculateRoc(RocPeriod2);

		if (fastRoc is null || slowRoc is null)
			return;

		var fastValue = _smoothFast.Process(new DecimalIndicatorValue(_smoothFast, fastRoc.Value, candle.OpenTime) { IsFinal = true });
		var slowValue = _smoothSlow.Process(new DecimalIndicatorValue(_smoothSlow, slowRoc.Value, candle.OpenTime) { IsFinal = true });

		// Skip until we have enough data for both smoothing indicators

		var fastDecimal = fastValue.GetValue<decimal>();
		var slowDecimal = slowValue.GetValue<decimal>();

		var historyCapacity = SignalShift + 3;
		UpdateHistory(_fastHistory, fastDecimal, historyCapacity);
		UpdateHistory(_slowHistory, slowDecimal, historyCapacity);

		if (_fastHistory.Count <= SignalShift + 1 || _slowHistory.Count <= SignalShift + 1)
			return;

		var fastCurrent = _fastHistory[SignalShift];
		var fastPrevious = _fastHistory[SignalShift + 1];
		var slowCurrent = _slowHistory[SignalShift];
		var slowPrevious = _slowHistory[SignalShift + 1];

		var buyOpenSignal = AllowBuyOpen && fastPrevious <= slowPrevious && fastCurrent > slowCurrent;
		var sellOpenSignal = AllowSellOpen && fastPrevious >= slowPrevious && fastCurrent < slowCurrent;
		var buyCloseSignal = AllowBuyClose && fastCurrent < slowCurrent;
		var sellCloseSignal = AllowSellClose && fastCurrent > slowCurrent;

		var tradeAllowed = !UseTimeFilter || IsWithinTradeWindow(candle.OpenTime);

		if (UseTimeFilter && !tradeAllowed && Position != 0)
		{
			if (Position > 0)
				SellMarket();
			else
				BuyMarket();
			ResetPositionState();
			return;
		}

		if (TryApplyRiskManagement(candle))
			return;

		if (sellCloseSignal && Position < 0)
		{
			BuyMarket();
			ResetPositionState();
			return;
		}

		if (buyCloseSignal && Position > 0)
		{
			SellMarket();
			ResetPositionState();
			return;
		}

		if (!tradeAllowed)
			return;

		//if (!IsFormedAndOnlineAndAllowTrading())
		//	return;

		if (Position != 0)
			return;

		if (buyOpenSignal)
		{
			BuyMarket();
			_longEntryPrice = candle.ClosePrice;
			_shortEntryPrice = null;
		}
		else if (sellOpenSignal)
		{
			SellMarket();
			_shortEntryPrice = candle.ClosePrice;
			_longEntryPrice = null;
		}
	}

	private bool TryApplyRiskManagement(ICandleMessage candle)
	{
		if (StopLoss <= 0m && TakeProfit <= 0m)
			return false;

		if (Position > 0 && _longEntryPrice is decimal longEntry)
		{
			if (StopLoss > 0m)
			{
				var stopLevel = longEntry - StopLoss;
				if (candle.LowPrice <= stopLevel)
				{
					SellMarket();
					ResetPositionState();
					return true;
				}
			}

			if (TakeProfit > 0m)
			{
				var targetLevel = longEntry + TakeProfit;
				if (candle.HighPrice >= targetLevel)
				{
					SellMarket();
					ResetPositionState();
					return true;
				}
			}
		}
		else if (Position < 0 && _shortEntryPrice is decimal shortEntry)
		{
			if (StopLoss > 0m)
			{
				var stopLevel = shortEntry + StopLoss;
				if (candle.HighPrice >= stopLevel)
				{
					BuyMarket();
					ResetPositionState();
					return true;
				}
			}

			if (TakeProfit > 0m)
			{
				var targetLevel = shortEntry - TakeProfit;
				if (candle.LowPrice <= targetLevel)
				{
					BuyMarket();
					ResetPositionState();
					return true;
				}
			}
		}

		return false;
	}

	private decimal? CalculateRoc(int period)
	{
		if (period <= 0 || _closeHistory.Count <= period)
			return null;

		var current = _closeHistory[0];
		var previous = _closeHistory[period];

		if (previous == 0m && (RocType == RocCalculationTypes.RateOfChange || RocType == RocCalculationTypes.Percent || RocType == RocCalculationTypes.Ratio || RocType == RocCalculationTypes.RatioPercent))
			return null;

		return RocType switch
		{
			RocCalculationTypes.Momentum => current - previous,
			RocCalculationTypes.RateOfChange => previous == 0m ? null : (decimal?)((current / previous) - 1m) * 100m,
			RocCalculationTypes.Percent => previous == 0m ? null : (decimal?)((current - previous) / previous),
			RocCalculationTypes.Ratio => previous == 0m ? null : (decimal?)(current / previous),
			RocCalculationTypes.RatioPercent => previous == 0m ? null : (decimal?)(current / previous * 100m),
			_ => current - previous
		};
	}

	private bool IsWithinTradeWindow(DateTimeOffset time)
	{
		var currentMinutes = time.TimeOfDay.TotalMinutes;
		var startMinutes = StartTime.TotalMinutes;
		var endMinutes = EndTime.TotalMinutes;

		if (startMinutes < endMinutes)
			return currentMinutes >= startMinutes && currentMinutes < endMinutes;

		if (startMinutes > endMinutes)
			return currentMinutes >= startMinutes || currentMinutes < endMinutes;

		return false;
	}

	private static void UpdateHistory(List<decimal> history, decimal value, int capacity)
	{
		history.Insert(0, value);
		if (history.Count > capacity)
			history.RemoveAt(history.Count - 1);
	}

	private void ResetPositionState()
	{
		_longEntryPrice = null;
		_shortEntryPrice = null;
	}

	private static IIndicator CreateSmoothingIndicator(SmoothingMethods method, int length)
	{
		IIndicator indicator = method switch
		{
			SmoothingMethods.Simple => new SMA { Length = length },
			SmoothingMethods.Smoothed => new EMA { Length = length },
			SmoothingMethods.Weighted => new SMA { Length = length },
			_ => new EMA { Length = length }
		};

		return indicator;
	}
}