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等距通道策略

概述

Equidistant Channel Strategy 是将原始 MQL4 «Equidistant Channel» 专家顾问移植到 StockSharp 高层 API 的版本。策略使用 MACD 线与信号线的交叉作为入场信号，并通过布林带触发、保本处理以及基于货币的浮动盈利追踪来管理仓位。

当 MACD 线向上穿越信号线时建立多头仓位，向下穿越时建立空头仓位。持仓期间，策略会在价格触及布林带、达到设定的绝对盈利/百分比盈利目标或回撤超过设定的追踪阈值时平仓。保本模式会在浮盈达到指定点数后将保护价移动到入场价附近。

指标

  • MACD (12, 26, 9)：用于检测交叉信号。
  • Bollinger Bands (20, 2)：当收盘价触及上轨或下轨时触发退出。

仓位管理

  • 通过 StartProtection 配置的点数止损、止盈和追踪止损。
  • 使用合约的 PriceStep 与 StepPrice 计算浮动盈亏，以实现基于货币的止盈和追踪逻辑。
  • 百分比止盈以策略启动时的账户权益为基准。
  • 保本模式使用价格步长定义触发条件与偏移量，重现原版 EA 的行为。

参数

详细参数说明见英文 README，主要包括：

  • 交易量与蜡烛类型。
  • MACD 与布林带的周期与偏差。
  • 点数止损、止盈与追踪止损距离。
  • 货币止盈、百分比止盈与追踪回撤设置。
  • 保本触发点与偏移量。

说明

  • 请确保标的证券提供有效的 PriceStep 和 StepPrice，以便正确计算货币金额。
  • 按照仓库要求，策略代码中的所有注释均使用英文撰写。
  • 仅提供 C# 版本，实现目录中未创建 Python 版本及其文件夹。
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 EquidistantChannelStrategy : 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 EquidistantChannelStrategy()
	{
		_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;
	}
}