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动态止损

概述

原版 MetaTrader 专家顾问“Dynamic Stop Loss”并不会自行开仓，而是监控已有持仓。一旦出现新的 K 线，就把保护性止损重新放置在距离最新价格固定的距离处。StockSharp 版本保持相同的行为：每根完成的 K 线都会为当前持仓方向重新计算止损价位；当没有仓位时，策略保持空闲直到检测到新的仓位。

工作原理

  1. 策略根据 Candle Type 参数订阅蜡烛（默认 1 分钟）。
  2. 蜡烛收盘时读取收盘价，并将用户设置的点数距离转换成绝对价格差。转换过程中优先使用 Security.PriceStep，若缺失则退回 Security.Step，最后再退回常数 1。
  3. 持有多头仓位时，策略取消已有的止损单，并在 Close - Distance 位置挂出新的卖出止损单。
  4. 持有空头仓位时，策略在 Close + Distance 位置挂出买入止损单。
  5. 当仓位被手动或止损单平掉后，会立即撤销剩余的保护性订单，避免留存的挂单。

因此止损始终围绕最新价格移动，与 MQL 版本一样，价格向不利方向波动时止损也会随之后退。

参数

名称 默认值 说明
StopLossPoints 800 市价与止损之间的距离，单位为 MetaTrader 点。该数值会乘以 Security.PriceStep（缺省时依次退回 Security.Step 与 1）后再作用于收盘价。设为 0 可停用止损管理。
CandleType TimeFrameCandle(00:01:00) 触发止损重算的蜡烛类型，应与 MetaTrader 中使用的周期保持一致。

使用说明

  • 策略只负责管理止损，开仓动作需由其它策略或人工完成。
  • 请确保证券的元数据（PriceStep、Step、交易量信息）已正确填写，否则点值换算会偏离经纪商的最小报价步长。对于带有小数点报价的外汇品种尤其重要。
  • 由于每根完成的 K 线都会重新计算止损，即使行情朝不利方向波动，止损仍会跟随价格移动，这与原始脚本中使用 OrderModify 的方式一致。
  • 每次计算出的价格都会替换旧的止损单，以确保交易平台与最新的保护价保持同步。
namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Dynamic Stop Loss strategy: EMA trend with ATR-based dynamic stop management.
/// Enters on EMA trend direction, exits when price moves against by ATR distance.
/// </summary>
public class DynamicStopLossStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private decimal _entryPrice;
	private decimal _stopPrice;
	private bool _prevAboveEma;
	private bool _hasPrevSignal;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public DynamicStopLossStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_emaPeriod = Param(nameof(EmaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend period", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for stop distance", "Indicators");
		_atrMultiplier = Param(nameof(AtrMultiplier), 1.5m)
			.SetDisplay("ATR Multiplier", "ATR multiplier for stop distance", "Risk");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between entries", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0m;
		_stopPrice = 0m;
		_prevAboveEma = false;
		_hasPrevSignal = false;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_entryPrice = 0;
		_stopPrice = 0;
		_hasPrevSignal = false;
		_candlesSinceTrade = SignalCooldownCandles;
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, atr, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;
		var stopDist = atr * AtrMultiplier;
		var aboveEma = close > ema;

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		if (Position > 0)
		{
			var newStop = close - stopDist;
			if (newStop > _stopPrice) _stopPrice = newStop;
			if (close <= _stopPrice)
			{
				SellMarket();
				_entryPrice = 0;
				_stopPrice = 0;
				_candlesSinceTrade = 0;
				_prevAboveEma = aboveEma;
				_hasPrevSignal = true;
				return;
			}
		}
		else if (Position < 0)
		{
			var newStop = close + stopDist;
			if (newStop < _stopPrice || _stopPrice == 0) _stopPrice = newStop;
			if (close >= _stopPrice)
			{
				BuyMarket();
				_entryPrice = 0;
				_stopPrice = 0;
				_candlesSinceTrade = 0;
				_prevAboveEma = aboveEma;
				_hasPrevSignal = true;
				return;
			}
		}

		if (_hasPrevSignal && aboveEma != _prevAboveEma && _candlesSinceTrade >= SignalCooldownCandles)
		{
			if (aboveEma && Position <= 0)
			{
				BuyMarket();
				_entryPrice = close;
				_stopPrice = close - stopDist;
				_candlesSinceTrade = 0;
			}
			else if (!aboveEma && Position >= 0)
			{
				SellMarket();
				_entryPrice = close;
				_stopPrice = close + stopDist;
				_candlesSinceTrade = 0;
			}
		}

		_prevAboveEma = aboveEma;
		_hasPrevSignal = true;
	}
}