中文 ZH
在 GitHub 上查看

Ema612CrossoverStrategy

概述

  • 将 MetaTrader 5 智能交易程序 "EMA 6.12 (barabashkakvn's edition)" 移植到 StockSharp 的高级 API。
  • 使用一条快速和一条慢速的简单移动平均线（原脚本同样基于 MODE_SMA）交叉作为交易信号。
  • 通过绝对价格单位定义的可选止盈与移动止损，使策略可以针对不同交易品种灵活调参。

交易逻辑

数据准备

  • 策略订阅由 CandleType 指定的 K 线（默认 15 分钟）。
  • 计算两条 SMA：FastPeriod 为快速曲线的长度，SlowPeriod 为慢速曲线的长度，并要求慢速周期大于快速周期。

入场条件

  • 仅在每根 K 线收盘后评估信号。
  • 当上一根 K 线上慢速 SMA 在快速 SMA 之上，而当前 K 线慢速 SMA 下穿快速 SMA 时判定为看多交叉。若持有空头则先平仓，再按 Volume 开多头。
  • 当上一根 K 线上慢速 SMA 在快速 SMA 之下，而当前 K 线慢速 SMA 上穿快速 SMA 时判定为看空交叉。若持有多头则先平仓，再按 Volume 开空头。

出场条件

  • 出现相反交叉信号时立即平掉当前仓位。
  • 若 TakeProfitOffset 大于 0，则在入场价格基础上计算固定止盈：多头目标价 entry + TakeProfitOffset，空头目标价 entry - TakeProfitOffset。
  • 若 TrailingStopOffset 大于 0，则启用移动止损。只有当浮动利润超过 TrailingStopOffset + TrailingStepOffset 后才开始上移/下移止损，使其与最新收盘价保持 TrailingStopOffset 的距离，并且新的止损价必须至少向盈利方向移动 TrailingStepOffset。多头使用最低价触发止损，空头使用最高价触发。

参数

参数 默认值 说明
CandleType 15 分钟时间框架 计算均线与生成信号所使用的 K 线类型。
FastPeriod 6 快速 SMA 的周期，必须大于 0 且小于 SlowPeriod。
SlowPeriod 54 慢速 SMA 的周期，必须大于 0 且大于 FastPeriod。
Volume 1 新开仓时提交的交易量。
TakeProfitOffset 0.001 以绝对价格单位定义的止盈距离，设置为 0 可关闭。
TrailingStopOffset 0.005 移动止损与价格之间的绝对距离，设置为 0 可关闭。
TrailingStepOffset 0.0005 每次调整移动止损所需的额外盈利幅度。

提示： 所有距离参数均使用绝对价格单位。请根据交易品种的最小报价单位进行换算，例如 EURUSD 的最小报价增量为 0.0001，则默认值约等于 10、50 和 5 个点。

实现细节

  • 使用项目规范要求的 SubscribeCandles().Bind() 高级管线搭建指标和回调。
  • 若环境支持图表，将绘制两条 SMA 并标记交易。
  • 使用字段保存入场价、当前移动止损和止盈，重现 MQL5 版本的状态管理。
  • 在启动时强制检查 SlowPeriod > FastPeriod，避免错误的指标设置。

使用建议

  • 根据市场特性优化时间框架与 SMA 周期（短周期适合日内，长周期适合波段）。
  • 在运行前把点数或跳动值换算成绝对价格，以正确配置止盈和移动止损。
  • 把 TrailingStopOffset 设为 0 可以关闭移动止损，此时仅依靠反向交叉或可选止盈离场。
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>
/// EMA 6/12 crossover strategy with trailing stop management.
/// </summary>
public class Ema612CrossoverStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _takeProfitOffset;
	private readonly StrategyParam<decimal> _trailingStopOffset;
	private readonly StrategyParam<decimal> _trailingStepOffset;

	private ExponentialMovingAverage _fastSma;
	private ExponentialMovingAverage _slowSma;

	private decimal? _prevFast;
	private decimal? _prevSlow;

	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;

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

	/// <summary>
	/// Fast moving average period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow moving average period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}


	/// <summary>
	/// Take profit distance in absolute price units.
	/// </summary>
	public decimal TakeProfitOffset
	{
		get => _takeProfitOffset.Value;
		set => _takeProfitOffset.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in absolute price units.
	/// </summary>
	public decimal TrailingStopOffset
	{
		get => _trailingStopOffset.Value;
		set => _trailingStopOffset.Value = value;
	}

	/// <summary>
	/// Additional distance required to move the trailing stop.
	/// </summary>
	public decimal TrailingStepOffset
	{
		get => _trailingStepOffset.Value;
		set => _trailingStepOffset.Value = value;
	}

	/// <summary>
	/// Initializes <see cref="Ema612CrossoverStrategy"/>.
	/// </summary>
	public Ema612CrossoverStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candle resolution", "General");
		_fastPeriod = Param(nameof(FastPeriod), 6)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast SMA length", "Moving Averages");
		_slowPeriod = Param(nameof(SlowPeriod), 54)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow SMA length", "Moving Averages");
		_takeProfitOffset = Param(nameof(TakeProfitOffset), 0.001m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Target distance in price units", "Risk");
		_trailingStopOffset = Param(nameof(TrailingStopOffset), 0.005m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop", "Trailing stop distance", "Risk");
		_trailingStepOffset = Param(nameof(TrailingStepOffset), 0.0005m)
			.SetNotNegative()
			.SetDisplay("Trailing Step", "Additional profit required to tighten stop", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		ResetPositionState();
		_prevFast = null;
		_prevSlow = null;
	}

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

		if (SlowPeriod <= FastPeriod)
			throw new InvalidOperationException("Slow period must be greater than fast period.");

		_fastSma = new ExponentialMovingAverage { Length = FastPeriod };
		_slowSma = new ExponentialMovingAverage { Length = SlowPeriod };

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

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

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

		if (!_fastSma.IsFormed || !_slowSma.IsFormed)
			return;

		var bullishCross = false;
		var bearishCross = false;

		if (_prevFast.HasValue && _prevSlow.HasValue)
		{
			// Detect crossovers using previous candle values.
			bullishCross = _prevSlow > _prevFast && slow < fast;
			bearishCross = _prevSlow < _prevFast && slow > fast;
		}

		HandleExistingPosition(candle, bullishCross, bearishCross);

		if (Position == 0)
		{
			if (bullishCross)
			{
				// Slow MA crossed below the fast MA - go long.
				EnterLong(candle);
			}
			else if (bearishCross)
			{
				// Slow MA crossed above the fast MA - go short.
				EnterShort(candle);
			}
		}

		_prevFast = fast;
		_prevSlow = slow;
	}

	private void HandleExistingPosition(ICandleMessage candle, bool bullishCross, bool bearishCross)
	{
		if (Position > 0)
		{
			// Update trailing stop for the long position before evaluating exits.
			UpdateLongTrailing(candle);

			var exit = bearishCross;
			if (!exit && _takeProfitPrice.HasValue && candle.HighPrice >= _takeProfitPrice.Value)
			{
				// Price reached the take profit objective.
				exit = true;
			}

			if (!exit && _stopPrice.HasValue && candle.LowPrice <= _stopPrice.Value)
			{
				// Price retraced to the trailing stop.
				exit = true;
			}

			if (exit)
			{
				SellMarket(Position);
				ResetPositionState();
			}
		}
		else if (Position < 0)
		{
			// Update trailing stop for the short position before evaluating exits.
			UpdateShortTrailing(candle);

			var exit = bullishCross;
			if (!exit && _takeProfitPrice.HasValue && candle.LowPrice <= _takeProfitPrice.Value)
			{
				// Price reached the take profit objective for the short trade.
				exit = true;
			}

			if (!exit && _stopPrice.HasValue && candle.HighPrice >= _stopPrice.Value)
			{
				// Price rallied back to the trailing stop level.
				exit = true;
			}

			if (exit)
			{
				BuyMarket(Math.Abs(Position));
				ResetPositionState();
			}
		}
	}

	private void EnterLong(ICandleMessage candle)
	{
		BuyMarket(Volume);
		_entryPrice = candle.ClosePrice;
		_takeProfitPrice = TakeProfitOffset > 0m ? candle.ClosePrice + TakeProfitOffset : null;
		_stopPrice = null;
	}

	private void EnterShort(ICandleMessage candle)
	{
		SellMarket(Volume);
		_entryPrice = candle.ClosePrice;
		_takeProfitPrice = TakeProfitOffset > 0m ? candle.ClosePrice - TakeProfitOffset : null;
		_stopPrice = null;
	}

	private void UpdateLongTrailing(ICandleMessage candle)
	{
		if (TrailingStopOffset <= 0m || !_entryPrice.HasValue)
			return;

		var gain = candle.ClosePrice - _entryPrice.Value;
		var triggerDistance = TrailingStopOffset + TrailingStepOffset;

		if (gain <= triggerDistance)
			return;

		var candidate = candle.ClosePrice - TrailingStopOffset;
		var minAdvance = TrailingStepOffset <= 0m ? 0m : TrailingStepOffset;

		if (!_stopPrice.HasValue || candidate - _stopPrice.Value > minAdvance)
		{
			// Move stop loss closer only when price progressed enough.
			_stopPrice = candidate;
		}
	}

	private void UpdateShortTrailing(ICandleMessage candle)
	{
		if (TrailingStopOffset <= 0m || !_entryPrice.HasValue)
			return;

		var gain = _entryPrice.Value - candle.ClosePrice;
		var triggerDistance = TrailingStopOffset + TrailingStepOffset;

		if (gain <= triggerDistance)
			return;

		var candidate = candle.ClosePrice + TrailingStopOffset;
		var minAdvance = TrailingStepOffset <= 0m ? 0m : TrailingStepOffset;

		if (!_stopPrice.HasValue || _stopPrice.Value - candidate > minAdvance)
		{
			// Move stop loss for the short only after sufficient favorable movement.
			_stopPrice = candidate;
		}
	}

	private void ResetPositionState()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takeProfitPrice = null;
	}
}