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Hammer Hanging Stochastic

该策略将 MetaTrader 顾问 "Expert_AH_HM_Stoch" 迁移到 StockSharp 高级 API。它结合锤子线/上吊线形态与随机指标确认，用于捕捉强趋势后的反转机会。

所有决策均基于已完成的 K 线。策略使用随机指标 %D 线作为过滤器，并在动能离开极值区域时平仓。

详情

  • 入场条件：
    • 多头：出现锤子线且上一根柱子的随机指标 %D 低于超卖阈值。
    • 空头：出现上吊线且上一根柱子的随机指标 %D 高于超买阈值。
  • 方向：支持多空双向。
  • 离场：当随机指标 %D 向上/向下突破可配置的恢复与极值水平时退出持仓。
  • 止损：通过 StartProtection() 启动（默认使用账户级别的保护参数，可按需调整）。
  • 默认参数：
    • CandleType = TimeSpan.FromHours(1)
    • StochPeriodK = 15
    • StochPeriodD = 49
    • StochPeriodSlow = 25
    • OversoldLevel = 30
    • OverboughtLevel = 70
    • ExitLowerLevel = 20
    • ExitUpperLevel = 80
    • MaxBodyRatio = 0.35
    • LowerShadowMultiplier = 2.5
    • UpperShadowMultiplier = 0.3
  • 过滤器：
    • 分类：形态 + 振荡器确认
    • 方向：双向
    • 指标：蜡烛形态、Stochastic
    • 止损：通过 StartProtection 提供
    • 复杂度：中等
    • 周期：波段/日内（默认 1 小时）
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：中等

工作流程

  1. 通过 BindEx 订阅所选蜡烛序列和随机指标，使用 StockSharp 高级 API。
  2. 根据实体与影线比例识别锤子线和上吊线形态。
  3. 使用上一根柱子的随机指标 %D 确认入场信号。
  4. 当随机指标离开超卖/超买区域时平仓，复刻原始 MQL 策略的退出逻辑。
  5. 在可用的图表区域中绘制蜡烛、随机指标以及策略自身的成交记录。
namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Hammer/Hanging Man + Stochastic strategy.
/// Buys on hammer in oversold, sells on hanging man in overbought.
/// </summary>
public class HammerHangingStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<decimal> _oversold;
	private readonly StrategyParam<decimal> _overbought;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int StochPeriod { get => _stochPeriod.Value; set => _stochPeriod.Value = value; }
	public decimal Oversold { get => _oversold.Value; set => _oversold.Value = value; }
	public decimal Overbought { get => _overbought.Value; set => _overbought.Value = value; }

	public HammerHangingStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stoch Period", "Stochastic K period", "Indicators");
		_oversold = Param(nameof(Oversold), 30m)
			.SetDisplay("Oversold", "Stochastic oversold level", "Signals");
		_overbought = Param(nameof(Overbought), 70m)
			.SetDisplay("Overbought", "Stochastic overbought level", "Signals");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var stoch = new StochasticOscillator { K = { Length = StochPeriod }, D = { Length = 3 } };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(stoch, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished) return;

		var stochTyped = stochValue as StochasticOscillatorValue;
		if (stochTyped?.K is not decimal kValue) return;

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var range = candle.HighPrice - candle.LowPrice;
		if (range <= 0 || body <= 0) return;

		var upperShadow = candle.HighPrice - Math.Max(candle.OpenPrice, candle.ClosePrice);
		var lowerShadow = Math.Min(candle.OpenPrice, candle.ClosePrice) - candle.LowPrice;

		// Hammer: small body at top, long lower shadow
		var isHammer = lowerShadow > body * 2 && upperShadow < body;

		// Hanging Man: small body at bottom, long upper shadow
		var isHangingMan = upperShadow > body * 2 && lowerShadow < body;

		if (isHammer && kValue < Oversold && Position <= 0)
			BuyMarket();
		else if (isHangingMan && kValue > Overbought && Position >= 0)
			SellMarket();
	}
}