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Starter V6 Mod 策略（StockSharp 版本）

概述

Starter V6 Mod 是将 MetaTrader 5 专家顾问 Starter_v6mod 迁移到 StockSharp 高阶 API 的结果。原系统以 Laguerre RSI、双指数均线、CCI 与网格式仓位控制为核心。本转换在 StockSharp 平台中复刻了多层过滤、分批加仓、动态仓位与保护逻辑。

交易逻辑

指标组合

  • Laguerre RSI 代理：使用 14 周期 RSI 并标准化到 0-1，模拟原 Laguerre RSI，参数 LevelDown 与 LevelUp 定义超卖/超买。
  • 慢速 EMA（120）与快速 EMA（40）：基于蜡烛的中位价计算，两者的价差用于判断趋势方向，AngleThreshold 以最小变动单位衡量价差阈值。
  • CCI（14）：确认动量方向，做多需 CCI < 0，做空需 CCI > 0。

入场条件

  1. 依据 EMA 价差确定趋势方向：
    • 慢 EMA - 快 EMA < -AngleThreshold 时仅允许做多；
    • 慢 EMA - 快 EMA > AngleThreshold 时仅允许做空；
    • 介于阈值内视为震荡，不开新仓。
  2. 在趋势方向允许的情况下，需同时满足振荡器与动量过滤：
    • 多头：Laguerre 代理 < LevelDown，慢 EMA、快 EMA 均低于其前值，且 CCI < 0；
    • 空头：Laguerre 代理 > LevelUp，慢 EMA、快 EMA 均高于其前值，且 CCI > 0。
  3. 网格加仓：若已有同向仓位，当前价需低于所有多单最低价 GridStepPips（或高于所有空单最高价）方可加仓。
  4. 仓位数量：同向网格持仓数不能超过 MaxOpenTrades。

离场条件

  • Laguerre 反向信号：多头在指标上穿 LevelUp 时平仓，空头在下穿 LevelDown 时平仓。
  • 止损/止盈：以点值设置，按品种的最小跳动转换成价格差，兼容 3/5 位点差品种。
  • 追踪止损：当浮盈超过 TrailingStopPips + TrailingStepPips 后开始跟随，偏移量为 TrailingStopPips。
  • 周五保护：18:00 后不再开仓，20:00 强制平仓。

资金管理

  • 仓位大小：可固定（UseManualVolume=true）或按风险计算，风险模式下 Volume = Equity * RiskPercent / StopLoss距离。
  • 权益阈值：权益低于 EquityCutoff 时停止开新仓。
  • 日内亏损限制：同一自然日内亏损平仓次数达到 MaxLossesPerDay 后停止交易。
  • 递减加仓：每次亏损后将下一笔仓位除以 DecreaseFactor^亏损次数。

实现说明

  • 使用高阶 API SubscribeCandles().Bind(...) 绑定蜡烛及指标数据，保证仅在完整蜡烛上决策。
  • 因缺乏原 Laguerre RSI 实现，采用标准 RSI 映射至 0-1 区间作为替代，阈值保持一致。
  • EMA 角度过滤通过比较快慢 EMA 价差与 AngleThreshold（以 tick 表示）来实现，与原 emaangle 自定义指标效果对应。
  • 止损、追踪逻辑在 ProcessCandle 中手动更新，以匹配 MQL 中对持仓保护的逐笔修改。
  • 通过记录平均持仓价、最低/最高持仓价与追踪阈值，在 StockSharp 聚合仓位模型下复现网格行为。

参数

参数 默认值 说明
UseManualVolume false 是否使用固定仓位。
ManualVolume 1 手动模式下的开仓量。
RiskPercent 5 风险百分比（自动仓位模式）。
StopLossPips 35 止损点数。
TakeProfitPips 10 止盈点数。
TrailingStopPips 0 追踪止损点数（0 表示关闭）。
TrailingStepPips 5 启动追踪前需达到的额外点数。
DecreaseFactor 1.6 亏损后缩减仓位的系数。
MaxLossesPerDay 3 每日允许的最大亏损次数。
EquityCutoff 800 停止交易的权益下限。
MaxOpenTrades 10 同向最大网格仓位数。
GridStepPips 30 网格加仓所需的最小价差。
LongEmaPeriod 120 慢 EMA 周期。
ShortEmaPeriod 40 快 EMA 周期。
CciPeriod 14 CCI 周期。
AngleThreshold 3 EMA 价差阈值（tick）。
LevelUp 0.85 Laguerre 上界。
LevelDown 0.15 Laguerre 下界。
CandleType 15m 使用的蜡烛周期。

使用建议

  1. 将 CandleType 设置为与原 MT5 参数一致的时间框架（EA 常用于 15 分钟）。
  2. 采用风险仓位模式时，应根据品种波动调整 StopLossPips，避免仓位异常。
  3. 确认交易所时间，内置的周五平仓逻辑以服务器时间为准。
  4. 建议开启图表绘制以观察 EMA、RSI 代理、CCI 与成交点，便于调试与优化。
  5. 若从 MT5 迁移参数，需要注意 RSI 代理与 Laguerre RSI 仍有细微差异，可微调阈值。

文件

  • CS/StarterV6ModStrategy.cs – 策略主代码。
  • README.md – 英文说明。
  • README_zh.md – 中文说明（当前文件）。
  • README_ru.md – 俄文说明。
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>
/// Conversion of the Starter_v6mod Expert Advisor using the high-level StockSharp API.
/// </summary>
public class StarterV6ModStrategy : Strategy
{
	private readonly StrategyParam<bool> _useManualVolume;
	private readonly StrategyParam<decimal> _manualVolume;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<int> _trailingStepPips;
	private readonly StrategyParam<decimal> _decreaseFactor;
	private readonly StrategyParam<int> _maxLossesPerDay;
	private readonly StrategyParam<decimal> _equityCutoff;
	private readonly StrategyParam<int> _maxOpenTrades;
	private readonly StrategyParam<int> _gridStepPips;
	private readonly StrategyParam<int> _longEmaPeriod;
	private readonly StrategyParam<int> _shortEmaPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _angleThreshold;
	private readonly StrategyParam<decimal> _levelUp;
	private readonly StrategyParam<decimal> _levelDown;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _longEma;
	private ExponentialMovingAverage _shortEma;
	private CommodityChannelIndex _cci;
	private RelativeStrengthIndex _laguerreProxy;

	private decimal? _prevLongEma;
	private decimal? _prevShortEma;

	/// <summary>
	/// Use manual volume instead of risk calculation.
	/// </summary>
	public bool UseManualVolume
	{
		get => _useManualVolume.Value;
		set => _useManualVolume.Value = value;
	}

	/// <summary>
	/// Manual volume for each new entry.
	/// </summary>
	public decimal ManualVolume
	{
		get => _manualVolume.Value;
		set => _manualVolume.Value = value;
	}

	/// <summary>
	/// Risk percentage used when position sizing is automatic.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

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

	/// <summary>
	/// Take-profit distance expressed in pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips.
	/// </summary>
	public int TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Additional distance required before the trailing stop starts to follow the price.
	/// </summary>
	public int TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Multiplier used to reduce the position size after losses.
	/// </summary>
	public decimal DecreaseFactor
	{
		get => _decreaseFactor.Value;
		set => _decreaseFactor.Value = value;
	}

	/// <summary>
	/// Maximum number of losing trades allowed per day.
	/// </summary>
	public int MaxLossesPerDay
	{
		get => _maxLossesPerDay.Value;
		set => _maxLossesPerDay.Value = value;
	}

	/// <summary>
	/// Equity threshold below which the strategy stops opening new trades.
	/// </summary>
	public decimal EquityCutoff
	{
		get => _equityCutoff.Value;
		set => _equityCutoff.Value = value;
	}

	/// <summary>
	/// Maximum number of simultaneously opened grid positions.
	/// </summary>
	public int MaxOpenTrades
	{
		get => _maxOpenTrades.Value;
		set => _maxOpenTrades.Value = value;
	}

	/// <summary>
	/// Grid step in pips used when stacking positions.
	/// </summary>
	public int GridStepPips
	{
		get => _gridStepPips.Value;
		set => _gridStepPips.Value = value;
	}

	/// <summary>
	/// Period for the slow EMA trend filter.
	/// </summary>
	public int LongEmaPeriod
	{
		get => _longEmaPeriod.Value;
		set => _longEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period for the fast EMA trend filter.
	/// </summary>
	public int ShortEmaPeriod
	{
		get => _shortEmaPeriod.Value;
		set => _shortEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period for the CCI momentum filter.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// Threshold in ticks for the EMA spread trend detector.
	/// </summary>
	public decimal AngleThreshold
	{
		get => _angleThreshold.Value;
		set => _angleThreshold.Value = value;
	}

	/// <summary>
	/// Upper Laguerre RSI level.
	/// </summary>
	public decimal LevelUp
	{
		get => _levelUp.Value;
		set => _levelUp.Value = value;
	}

	/// <summary>
	/// Lower Laguerre RSI level.
	/// </summary>
	public decimal LevelDown
	{
		get => _levelDown.Value;
		set => _levelDown.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="StarterV6ModStrategy"/> class.
	/// </summary>
	public StarterV6ModStrategy()
	{
		_useManualVolume = Param(nameof(UseManualVolume), true)
		.SetDisplay("Manual Volume", "Use manual volume instead of risk-based sizing", "Money Management");

		_manualVolume = Param(nameof(ManualVolume), 1m)
		.SetRange(0.01m, 100m)
		.SetDisplay("Volume", "Manual volume per trade", "Money Management")
		;

		_riskPercent = Param(nameof(RiskPercent), 5m)
		.SetRange(0.5m, 20m)
		.SetDisplay("Risk %", "Risk percentage when auto-sizing trades", "Money Management")
		;

		_stopLossPips = Param(nameof(StopLossPips), 35)
		.SetRange(0, 500)
		.SetDisplay("Stop Loss", "Stop-loss distance in pips", "Risk Management");

		_takeProfitPips = Param(nameof(TakeProfitPips), 10)
		.SetRange(0, 500)
		.SetDisplay("Take Profit", "Take-profit distance in pips", "Risk Management");

		_trailingStopPips = Param(nameof(TrailingStopPips), 0)
		.SetRange(0, 500)
		.SetDisplay("Trailing Stop", "Trailing stop distance in pips", "Risk Management");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5)
		.SetRange(0, 500)
		.SetDisplay("Trailing Step", "Additional distance before trailing activates", "Risk Management");

		_decreaseFactor = Param(nameof(DecreaseFactor), 1.6m)
		.SetRange(1m, 10m)
		.SetDisplay("Decrease Factor", "Volume reduction factor after losses", "Money Management");

		_maxLossesPerDay = Param(nameof(MaxLossesPerDay), 3)
		.SetRange(0, 20)
		.SetDisplay("Daily Loss Limit", "Maximum number of losses per day", "Risk Management");

		_equityCutoff = Param(nameof(EquityCutoff), 800m)
		.SetRange(0m, 1_000_000m)
		.SetDisplay("Equity Cutoff", "Stop trading if equity drops below this value", "Risk Management");

		_maxOpenTrades = Param(nameof(MaxOpenTrades), 10)
		.SetRange(1, 100)
		.SetDisplay("Max Trades", "Maximum simultaneous grid positions", "General");

		_gridStepPips = Param(nameof(GridStepPips), 30)
		.SetRange(0, 500)
		.SetDisplay("Grid Step", "Minimum pip distance between stacked entries", "General");

		_longEmaPeriod = Param(nameof(LongEmaPeriod), 120)
		.SetRange(10, 400)
		.SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
		;

		_shortEmaPeriod = Param(nameof(ShortEmaPeriod), 40)
		.SetRange(5, 200)
		.SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
		;

		_cciPeriod = Param(nameof(CciPeriod), 14)
		.SetRange(5, 100)
		.SetDisplay("CCI Period", "CCI indicator length", "Indicators")
		;

		_angleThreshold = Param(nameof(AngleThreshold), 3m)
		.SetRange(0m, 50m)
		.SetDisplay("Angle Threshold", "EMA spread threshold measured in ticks", "Indicators");

		_levelUp = Param(nameof(LevelUp), 0.85m)
		.SetRange(0.1m, 1m)
		.SetDisplay("Laguerre Up", "Upper Laguerre RSI level", "Indicators");

		_levelDown = Param(nameof(LevelDown), 0.15m)
		.SetRange(0m, 0.9m)
		.SetDisplay("Laguerre Down", "Lower Laguerre RSI level", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe used for analysis", "General");
	}

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

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

		_longEma = null;
		_shortEma = null;
		_cci = null;
		_laguerreProxy = null;
		_prevLongEma = null;
		_prevShortEma = null;
	}

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

		_longEma = new ExponentialMovingAverage { Length = LongEmaPeriod };
		_shortEma = new ExponentialMovingAverage { Length = ShortEmaPeriod };
		_cci = new CommodityChannelIndex { Length = CciPeriod };
		_laguerreProxy = new RelativeStrengthIndex { Length = 14 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_longEma, _shortEma, _cci, _laguerreProxy, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _longEma);
			DrawIndicator(area, _shortEma);
			DrawIndicator(area, _cci);
			DrawIndicator(area, _laguerreProxy);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal longEmaValue, decimal shortEmaValue, decimal cciValue, decimal rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevLongEma is null || _prevShortEma is null)
		{
			_prevLongEma = longEmaValue;
			_prevShortEma = shortEmaValue;
			return;
		}

		if (Position != 0)
		{
			_prevLongEma = longEmaValue;
			_prevShortEma = shortEmaValue;
			return;
		}

		var laguerre = rsiValue / 100m;

		// Buy: RSI low (oversold), EMAs falling (pullback), CCI negative
		var buySignal = laguerre < LevelDown && cciValue < 0m;

		// Sell: RSI high (overbought), EMAs rising, CCI positive
		var sellSignal = laguerre > LevelUp && cciValue > 0m;

		if (buySignal)
			BuyMarket();
		else if (sellSignal)
			SellMarket();

		_prevLongEma = longEmaValue;
		_prevShortEma = shortEmaValue;
	}
}