中文 ZH
在 GitHub 上查看

区间突破策略

该策略在最近 RangePeriod 根K线上统计最高价和最低价。当K线收盘价向上或向下突破该区间，且区间宽度（以点数计）小于 MaxRangePoints 时，策略会在突破方向开仓。

入场规则

  • 多头：收盘价 >= 观察区间内的最高价，并且区间宽度（点数） <= MaxRangePoints，同时当前无持仓。
  • 空头：收盘价 <= 观察区间内的最低价，并且区间宽度（点数） <= MaxRangePoints，同时当前无持仓。

离场规则

  • 开仓后立即设置止损和止盈保护。
  • 无额外的离场条件，仓位保持到保护触发为止。

参数

  • RangePeriod – 计算最高/最低价所使用的K线数量。
  • MaxRangePoints – 允许交易的最大区间宽度（点数）。
  • CandleType – 用于分析和交易的K线周期。
  • Volume – 市价单交易量。
  • StopLossPoints – 止损距离（点数）。
  • TakeProfitPoints – 止盈距离（点数）。

指标

  • Highest
  • Lowest
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Range Breakout strategy: Highest/Lowest channel breakout.
/// Buys when close >= highest. Sells when close <= lowest.
/// </summary>
public class RangeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelPeriod;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int ChannelPeriod
	{
		get => _channelPeriod.Value;
		set => _channelPeriod.Value = value;
	}

	public RangeBreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_channelPeriod = Param(nameof(ChannelPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Lookback period", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var high = new Highest { Length = ChannelPeriod };
		var low = new Lowest { Length = ChannelPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(high, low, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (candle.ClosePrice >= high && Position <= 0)
			BuyMarket();
		else if (candle.ClosePrice <= low && Position >= 0)
			SellMarket();
	}
}