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Hans123 Trader v2 策略

Hans123 Trader v2 是 Vladimir Karputov 编写的 MetaTrader 策略在 StockSharp 平台上的移植版本。策略利用最近 80 根 K 线的最高价和最低价设置买入/卖出止损单，在价格突破区间时跟随动量入场，并提供与原始 EA 相同的风控和拖尾逻辑。

核心思路

  • 处理可配置的蜡烛类型（默认 1 小时）。
  • 在允许交易的时间窗口内，计算最近 N 根蜡烛的最高价和最低价（默认 80 根）。
  • 当市场价格与当前买价/卖价拉开足够距离时，在最高价放置 Buy Stop，在最低价放置 Sell Stop。
  • 同时激活的挂单数量受 MaxPendingOrders 限制，避免过度暴露。
  • 挂单成交后立即撤销反向挂单，并为持仓设置止损、止盈和可选的拖尾止损。

持仓管理

  • 入场：只有当蜡烛时间处于 StartHour 和 EndHour 之间时才会提交新的挂单；时间窗口之外不会开仓。
  • 风控：新建仓位后立即根据点数距离挂出止损和止盈单。
  • 拖尾止损：若启用，当浮动盈利超过拖尾距离加上步长时，取消原有止损并在更优位置重新挂单。
  • 清理：平仓后撤销所有风控单；出现新的建仓信号时撤销与方向相反的挂单，保持与 MQL 实现一致。

参数说明

参数 说明
Volume 下单和保护性订单所使用的数量。
StopLossPips 入场价到止损价的点数距离，0 表示不使用止损。
TakeProfitPips 入场价到止盈价的点数距离，0 表示不使用止盈。
TrailingStopPips 初始拖尾止损距离（点），0 表示关闭拖尾。
TrailingStepPips 每次重新移动拖尾前所需的附加盈利（点）。启用拖尾时必须大于 0。
StartHour 允许挂出突破订单的起始小时（含）。
EndHour 停止挂单的小时（不含），必须大于起始小时。
MaxPendingOrders 同时允许存在的突破挂单最大数量。
BreakoutPeriod 计算最高价和最低价的回溯蜡烛数量。
CandleType 策略处理的蜡烛类型或时间框架。

额外说明

  • 点值基于证券的价格步长推导。对于 3 位和 5 位报价的外汇品种，会按照 MQL 的定义将步长乘以 10。
  • 如果行情中缺少最佳买卖价信息，会退回使用当前蜡烛的收盘价来判断距离要求。
  • 当需要移动止损时，策略会取消旧单并重新挂单，以模拟原程序中的 PositionModify 调用。
  • 本任务仅提供 C# 版本，未创建 Python 文件夹或实现。
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>
/// Hans123 Trader v2 breakout strategy converted from the original MQL expert.
/// Enters on breakout of recent range extremes and manages trailing protection.
/// </summary>
public class Hans123TraderV2Strategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<int> _breakoutPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest;
	private Lowest _lowest;

	private decimal _entryPrice;
	private decimal _pipSize;
	private decimal _stopLossDistance;
	private decimal _takeProfitDistance;
	private decimal _trailingStopDistance;
	private decimal _trailingStepDistance;
	private decimal _highestStopPrice;
	private decimal? _prevBreakoutHigh;
	private decimal? _prevBreakoutLow;

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

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

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

	/// <summary>
	/// Trailing step in pips.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Session start hour.
	/// </summary>
	public int StartHour
	{
		get => _startHour.Value;
		set => _startHour.Value = value;
	}

	/// <summary>
	/// Session end hour.
	/// </summary>
	public int EndHour
	{
		get => _endHour.Value;
		set => _endHour.Value = value;
	}

	/// <summary>
	/// Lookback length for calculating highs and lows.
	/// </summary>
	public int BreakoutPeriod
	{
		get => _breakoutPeriod.Value;
		set => _breakoutPeriod.Value = value;
	}

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

	/// <summary>
	/// Initializes <see cref="Hans123TraderV2Strategy"/>.
	/// </summary>
	public Hans123TraderV2Strategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 50m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Stop distance", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 50m)
			.SetNotNegative()
			.SetDisplay("Take Profit (pips)", "Target distance", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 10m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (pips)", "Trailing distance", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pips)", "Extra profit before trailing", "Risk");

		_startHour = Param(nameof(StartHour), 0)
			.SetDisplay("Start Hour", "Session start hour", "Session");

		_endHour = Param(nameof(EndHour), 23)
			.SetDisplay("End Hour", "Session end hour", "Session");

		_breakoutPeriod = Param(nameof(BreakoutPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Breakout Period", "High/low lookback", "Trading");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_pipSize = 0m;
		_stopLossDistance = 0m;
		_takeProfitDistance = 0m;
		_trailingStopDistance = 0m;
		_trailingStepDistance = 0m;
		_highest = null;
		_lowest = null;
		_entryPrice = 0m;
		_highestStopPrice = 0m;
		_prevBreakoutHigh = null;
		_prevBreakoutLow = null;
	}

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

		_pipSize = Security?.PriceStep ?? 1m;
		UpdateDistanceCache();

		_highest = new Highest { Length = BreakoutPeriod };
		_lowest = new Lowest { Length = BreakoutPeriod };

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

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

	private void UpdateDistanceCache()
	{
		_stopLossDistance = StopLossPips * _pipSize;
		_takeProfitDistance = TakeProfitPips * _pipSize;
		_trailingStopDistance = TrailingStopPips * _pipSize;
		_trailingStepDistance = TrailingStepPips * _pipSize;
	}

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

		if (!_highest.IsFormed || !_lowest.IsFormed)
			return;

		// Manage existing position: trailing stop and SL/TP
		if (Position != 0)
		{
			ManagePosition(candle);
			return;
		}

		// Session filter
		var hour = candle.OpenTime.TimeOfDay.Hours;
		if (hour < StartHour || hour >= EndHour)
		{
			_prevBreakoutHigh = breakoutHigh;
			_prevBreakoutLow = breakoutLow;
			return;
		}

		// Breakout entry: buy when price breaks above previous bar's high, sell when below previous bar's low
		if (_prevBreakoutHigh.HasValue && _prevBreakoutLow.HasValue)
		{
			if (candle.HighPrice > _prevBreakoutHigh.Value)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_highestStopPrice = 0m;
			}
			else if (candle.LowPrice < _prevBreakoutLow.Value)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_highestStopPrice = 0m;
			}
		}

		_prevBreakoutHigh = breakoutHigh;
		_prevBreakoutLow = breakoutLow;
	}

	private void ManagePosition(ICandleMessage candle)
	{
		var price = candle.ClosePrice;

		if (Position > 0)
		{
			// Check stop loss
			if (_stopLossDistance > 0m && candle.LowPrice <= _entryPrice - _stopLossDistance)
			{
				SellMarket(Position);
				return;
			}

			// Check take profit
			if (_takeProfitDistance > 0m && candle.HighPrice >= _entryPrice + _takeProfitDistance)
			{
				SellMarket(Position);
				return;
			}

			// Trailing stop
			if (_trailingStopDistance > 0m)
			{
				var moveFromEntry = price - _entryPrice;
				if (moveFromEntry > _trailingStopDistance + _trailingStepDistance)
				{
					var newStop = price - _trailingStopDistance;
					if (newStop > _highestStopPrice + _trailingStepDistance)
						_highestStopPrice = newStop;

					if (_highestStopPrice > 0m && candle.LowPrice <= _highestStopPrice)
					{
						SellMarket(Position);
						return;
					}
				}
			}
		}
		else if (Position < 0)
		{
			var vol = Math.Abs(Position);

			// Check stop loss
			if (_stopLossDistance > 0m && candle.HighPrice >= _entryPrice + _stopLossDistance)
			{
				BuyMarket(vol);
				return;
			}

			// Check take profit
			if (_takeProfitDistance > 0m && candle.LowPrice <= _entryPrice - _takeProfitDistance)
			{
				BuyMarket(vol);
				return;
			}

			// Trailing stop
			if (_trailingStopDistance > 0m)
			{
				var moveFromEntry = _entryPrice - price;
				if (moveFromEntry > _trailingStopDistance + _trailingStepDistance)
				{
					var newStop = price + _trailingStopDistance;
					if (_highestStopPrice == 0m || newStop < _highestStopPrice - _trailingStepDistance)
						_highestStopPrice = newStop;

					if (_highestStopPrice > 0m && candle.HighPrice >= _highestStopPrice)
					{
						BuyMarket(vol);
						return;
					}
				}
			}
		}
	}
}