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Reverse Day Fractal Strategy

概述

Reverse Day Fractal 是一种价格行为策略，专注于捕捉突破后的快速反转。算法会分析最近三根已完成的 K 线。当当前 K 线突破前两根 K 线的极值并在收盘时反向收回，该形态被视为假突破，策略将在反方向开仓。止盈、止损和移动止损均以价格步长为单位进行配置。

交易逻辑

  • 多头条件：
    • 当前完成的 K 线最低价低于前两根 K 线的最低价；
    • 当前 K 线收盘价高于开盘价，显示价格从新低反弹；
    • 满足条件且允许交易时开多仓，必要时先平掉已有空仓。
  • 空头条件：
    • 当前完成的 K 线最高价高于前两根 K 线的最高价；
    • 当前 K 线收盘价低于开盘价，显示价格从新高回落；
    • 满足条件时开空仓，必要时先平掉已有多仓。
  • 持仓控制：默认仅允许持有一笔仓位。若关闭该限制，策略会通过增加交易量来反向持仓。
  • 风险控制：启动后调用 StartProtection，按照设定的点数距离应用止盈、止损与移动止损。启用移动止损时，保护性止损会按设定的步长逐步跟随价格。

参数

  • Trade Volume – 新订单的交易量。
  • Take Profit – 以价格步长表示的止盈距离，0 表示关闭。
  • Stop Loss – 以价格步长表示的止损距离，0 表示关闭。
  • Trailing Stop – 以价格步长表示的移动止损距离，0 表示关闭。
  • Trailing Step – 每次调整移动止损所需的最小价格步数。
  • Only One Position – 启用后在持仓未平之前忽略新的信号。
  • Candle Type – 用于计算的 K 线类型（默认 1 小时周期）。

说明

  • 仅对已完成的 K 线产生信号。
  • 策略需要至少两根完成的 K 线来填充历史极值，之后才能触发首个信号。
  • 默认参数与原始 MQL4 策略一致：0.01 手、20 点止损、10 点止盈、25 点移动止损以及 5 点移动步长。
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

public class ReverseDayFractalStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public ReverseDayFractalStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}