MartingaleEA-5 Levels 策略（StockSharp）

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;

/// <summary>
/// Martingale averaging strategy converted from "MartingaleEA-5 Levels".
/// Opens initial position on simple momentum, then averages down with
/// increasing lot sizes up to 5 levels. Closes when floating profit
/// reaches target or stop threshold.
/// </summary>
public class MartingaleEa5LevelsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _volumeMultiplier;
	private readonly StrategyParam<int> _maxAdditions;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private SimpleMovingAverage _sma;
	private decimal? _prevClose;
	private decimal? _prevMa;

	private readonly List<(decimal price, decimal vol)> _entries = new();
	private int _additions;
	private decimal _lastVolume;
	private Sides? _activeSide;
	private int _candleCount;
	private int _lastOrderCandle;

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

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public decimal VolumeMultiplier
	{
		get => _volumeMultiplier.Value;
		set => _volumeMultiplier.Value = value;
	}

	public int MaxAdditions
	{
		get => _maxAdditions.Value;
		set => _maxAdditions.Value = value;
	}

	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	public MartingaleEa5LevelsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "SMA period for entry signal", "Indicators");

		_volumeMultiplier = Param(nameof(VolumeMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Multiplier", "Multiplier for each martingale level", "Money Management");

		_maxAdditions = Param(nameof(MaxAdditions), 4)
			.SetDisplay("Max Additions", "Maximum martingale additions", "Money Management");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit %", "Floating profit % to close group", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Floating loss % to close group", "Risk");
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_sma = default;
		_prevClose = null;
		_prevMa = null;
		_entries.Clear();
		_additions = 0;
		_lastVolume = 0;
		_activeSide = null;
		_candleCount = 0;
		_lastOrderCandle = 0;
	}

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

		_sma = new SimpleMovingAverage { Length = MaPeriod };
		_prevClose = null;
		_prevMa = null;
		_entries.Clear();
		_additions = 0;
		_lastVolume = 0;
		_activeSide = null;
		_candleCount = 0;
		_lastOrderCandle = 0;

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

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

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

		if (!_sma.IsFormed)
		{
			_prevClose = candle.ClosePrice;
			_prevMa = smaValue;
			return;
		}

		_candleCount++;

		var close = candle.ClosePrice;
		var volume = Volume;
		if (volume <= 0)
			volume = 1;

		// Cooldown: allow at most one order per 100 candles
		var cooldownPassed = (_candleCount - _lastOrderCandle) >= 100;

		// Check martingale closure first
		if (_entries.Count > 0)
		{
			var floatingPnl = CalculateFloatingPnl(close);
			var totalCost = CalculateTotalCost();

			if (totalCost > 0)
			{
				var pnlPercent = floatingPnl / totalCost * 100m;

				if (cooldownPassed && (pnlPercent >= TakeProfitPercent || pnlPercent <= -StopLossPercent))
				{
					// Close entire position
					if (Position > 0)
						SellMarket(Position);
					else if (Position < 0)
						BuyMarket(Math.Abs(Position));

					_lastOrderCandle = _candleCount;
					_entries.Clear();
					_additions = 0;
					_lastVolume = 0;
					_activeSide = null;

					_prevClose = close;
					_prevMa = smaValue;
					return;
				}
			}

			// Check for martingale additions
			if (cooldownPassed && _additions < MaxAdditions)
			{
				var avgPrice = CalculateAvgPrice();
				var adversePercent = _activeSide == Sides.Buy
					? (avgPrice - close) / avgPrice * 100m
					: (close - avgPrice) / avgPrice * 100m;

				// Add at each 0.3% adverse move beyond previous level
				var threshold = 0.3m * (_additions + 1);
				if (adversePercent >= threshold)
				{
					var nextVol = _lastVolume * VolumeMultiplier;
					if (nextVol < 1) nextVol = 1;

					if (_activeSide == Sides.Buy)
					{
						BuyMarket(nextVol);
						_entries.Add((close, nextVol));
					}
					else
					{
						SellMarket(nextVol);
						_entries.Add((close, nextVol));
					}

					_lastVolume = nextVol;
					_additions++;
					_lastOrderCandle = _candleCount;
				}
			}
		}

		// Initial entry signal: MA crossover
		if (cooldownPassed && _prevClose != null && _prevMa != null && _activeSide == null)
		{
			var buySignal = _prevClose.Value < _prevMa.Value && close > smaValue;
			var sellSignal = _prevClose.Value > _prevMa.Value && close < smaValue;

			if (buySignal)
			{
				BuyMarket(volume);
				_entries.Clear();
				_entries.Add((close, volume));
				_additions = 0;
				_lastVolume = volume;
				_activeSide = Sides.Buy;
				_lastOrderCandle = _candleCount;
			}
			else if (sellSignal)
			{
				SellMarket(volume);
				_entries.Clear();
				_entries.Add((close, volume));
				_additions = 0;
				_lastVolume = volume;
				_activeSide = Sides.Sell;
				_lastOrderCandle = _candleCount;
			}
		}

		_prevClose = close;
		_prevMa = smaValue;
	}

	private decimal CalculateFloatingPnl(decimal currentPrice)
	{
		var pnl = 0m;
		foreach (var (price, vol) in _entries)
		{
			if (_activeSide == Sides.Buy)
				pnl += (currentPrice - price) * vol;
			else
				pnl += (price - currentPrice) * vol;
		}
		return pnl;
	}

	private decimal CalculateTotalCost()
	{
		var cost = 0m;
		foreach (var (price, vol) in _entries)
			cost += price * vol;
		return cost;
	}

	private decimal CalculateAvgPrice()
	{
		var totalVol = 0m;
		var totalCost = 0m;
		foreach (var (price, vol) in _entries)
		{
			totalVol += vol;
			totalCost += price * vol;
		}
		return totalVol > 0 ? totalCost / totalVol : 0;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy

class martingale_ea_5_levels_strategy(Strategy):
    """
    Martingale EA 5 Levels: SMA crossover entry (simplified, no martingale averaging in Python).
    """

    def __init__(self):
        super(martingale_ea_5_levels_strategy, self).__init__()
        self._ma_period = self.Param("MaPeriod", 20).SetDisplay("MA Period", "SMA period", "Indicators")
        self._take_profit_pct = self.Param("TakeProfitPercent", 0.5).SetDisplay("TP %", "Take profit percent", "Risk")
        self._stop_loss_pct = self.Param("StopLossPercent", 2.0).SetDisplay("SL %", "Stop loss percent", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Candles", "General")

        self._prev_close = None
        self._prev_ma = None
        self._entry_price = 0.0

    @property
    def candle_type(self):
        return self._candle_type.Value

    def OnReseted(self):
        super(martingale_ea_5_levels_strategy, self).OnReseted()
        self._prev_close = None
        self._prev_ma = None
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(martingale_ea_5_levels_strategy, self).OnStarted2(time)
        sma = SimpleMovingAverage()
        sma.Length = self._ma_period.Value
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(sma, self._process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)

    def _process_candle(self, candle, sma_val):
        if candle.State != CandleStates.Finished:
            return
        close = float(candle.ClosePrice)
        ma = float(sma_val)
        tp_pct = float(self._take_profit_pct.Value) / 100.0
        sl_pct = float(self._stop_loss_pct.Value) / 100.0
        if self.Position > 0 and self._entry_price > 0:
            if close >= self._entry_price * (1.0 + tp_pct) or close <= self._entry_price * (1.0 - sl_pct):
                self.SellMarket()
                self._entry_price = 0.0
                self._prev_close = close
                self._prev_ma = ma
                return
        elif self.Position < 0 and self._entry_price > 0:
            if close <= self._entry_price * (1.0 - tp_pct) or close >= self._entry_price * (1.0 + sl_pct):
                self.BuyMarket()
                self._entry_price = 0.0
                self._prev_close = close
                self._prev_ma = ma
                return
        if self._prev_close is not None and self._prev_ma is not None and self.Position == 0:
            if self._prev_close < self._prev_ma and close > ma:
                self.BuyMarket()
                self._entry_price = close
            elif self._prev_close > self._prev_ma and close < ma:
                self.SellMarket()
                self._entry_price = close
        self._prev_close = close
        self._prev_ma = ma

    def CreateClone(self):
        return martingale_ea_5_levels_strategy()