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Raymond Cloudy Day 策略

概述

Raymond Cloudy Day 是一套突破再入场策略，完整复现了原始 MQL5 专家 “Raymond Cloudy Day for EA” 的交易逻辑。算法通过更高周期蜡烛计算出一组关键参考价位，并在执行周期上利用这些价位寻找动量恢复信号。移植到 StockSharp 后，原有规则得到保留，同时每个模块都可以通过参数进行配置。

市场数据

  • 信号蜡烛：执行交易的周期。策略订阅该序列以产生进场信号并管理头寸。
  • 枢轴蜡烛：用于计算 Raymond 水平的高周期数据。默认是日线，对应 MQL5 输入参数 RayMondTimeframe。

通过 GetWorkingSecurities 自动注册上述两个订阅，策略启动时即可请求所需的数据流。

Raymond 水平的计算

每当一根高周期蜡烛收盘，策略都会按以下公式更新 Raymond 水平：

[ \beginTradeSS &= \frac{High + Low + Open + Close}{4} \ PivotRange &= High - Low \ ETB &= TradeSS + 0.382 \times PivotRange \ ETS &= TradeSS - 0.382 \times PivotRange \ TPB1 &= TradeSS + 0.618 \times PivotRange \ TPS1 &= TradeSS - 0.618 \times PivotRange \ TPB2 &= TradeSS + PivotRange \ TPS2 &= TradeSS - PivotRange \end]

最新的计算结果会保存在策略字段中，并在每次更新时写入日志，方便跟踪水平随时间的变化。

入场规则

在获得 Raymond 水平后，策略会检查每一根完成的信号蜡烛：

  1. 做多：若蜡烛最低价跌破 TPS1，而收盘价重新站上该水平，则开多仓。这与 EA 条件 Low[1] < TPS1 && Close[1] > TPS1 完全一致，旨在捕捉对支撑位的反弹。
  2. 做空：若整根蜡烛保持在 TPS1 之上但最终收盘价跌破该水平，则开空仓（与原版相同的非对称规则）。

下单前策略会取消未成交订单，并在需要时平掉反向仓位，确保任意时刻只有一个方向的持仓。

风险控制

Raymond Cloudy Day 使用以 tick 为单位的对称保护带：

  • 止损：对于多头放在入场价下方 ProtectiveOffsetTicks；对于空头放在上方相同距离。
  • 止盈：与止损距离相同，但位于盈利方向。

偏移量乘以证券的 PriceStep 转换为绝对价格距离。每根信号蜡烛收盘后都会检查是否触发止损或止盈，如触发则立即平仓并重置内部保护变量。

参数

参数 说明 默认值 备注
TradeVolume 每次进场使用的下单量。 1 启动时同步到策略的 Volume 属性。
ProtectiveOffsetTicks 止损与止盈的 tick 距离。 500 通过 PriceStep 转换成价格。
SignalCandleType 触发交易信号的蜡烛类型。 1 小时蜡烛 可选择任意蜡烛类型 (DataType)。
PivotCandleType 计算 Raymond 水平的高周期。 1 天蜡烛 对应 MQL EA 中的 RayMondTimeframe。

所有参数均提供优化区间和说明，便于在 StockSharp Designer 中配置。

其他说明

  • 证券必须提供 PriceStep，否则无法计算保护价格，策略会跳过进场并记录警告。
  • 图表绘制包含执行周期的蜡烛以及成交的交易，需要时可自行扩展显示内容。
  • 实现仅处理收盘蜡烛，不直接轮询指标数值，完全遵循 AGENTS.md 中的开发规范。

原始 EA 保留的特性

  • Raymond 水平的全部公式及系数（0.382、0.618、1.0）。
  • 基于第一个卖出止盈水平 (TPS1) 的进场条件。
  • 500 点对称止损/止盈，已转换为 StockSharp 环境下的 tick 偏移。

凭借这些要素，StockSharp 版本既复现了原始专家的行为，又提供了更灵活的配置与日志，便于后续研究和自动化。

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Raymond Cloudy Day strategy.
/// Computes Raymond levels from a higher timeframe and trades pullbacks around the first sell take-profit level.
/// </summary>
public class RaymondCloudyDayStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<int> _protectiveOffsetTicks;
	private readonly StrategyParam<DataType> _signalCandleType;
	private readonly StrategyParam<DataType> _pivotCandleType;

	private decimal? _tradeSessionLevel;
	private decimal? _extendedBuyLevel;
	private decimal? _extendedSellLevel;
	private decimal? _takeProfitBuyLevel;
	private decimal? _takeProfitSellLevel;
	private decimal? _takeProfitBuyLevel2;
	private decimal? _takeProfitSellLevel2;

	private decimal? _entryPrice;
	private decimal? _takePrice;
	private decimal? _stopPrice;

	/// <summary>
	/// Trade volume used for new positions.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Distance in ticks used to build stop-loss and take-profit levels around the entry price.
	/// </summary>
	public int ProtectiveOffsetTicks
	{
		get => _protectiveOffsetTicks.Value;
		set => _protectiveOffsetTicks.Value = value;
	}

	/// <summary>
	/// Candle type that triggers trade signals.
	/// </summary>
	public DataType SignalCandleType
	{
		get => _signalCandleType.Value;
		set => _signalCandleType.Value = value;
	}

	/// <summary>
	/// Higher timeframe candle type used to compute Raymond levels.
	/// </summary>
	public DataType PivotCandleType
	{
		get => _pivotCandleType.Value;
		set => _pivotCandleType.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public RaymondCloudyDayStrategy()
	{
		_tradeVolume = Param(nameof(TradeVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Order volume used for entries", "Trading")
			
			.SetOptimize(0.1m, 5m, 0.1m);

		_protectiveOffsetTicks = Param(nameof(ProtectiveOffsetTicks), 500)
			.SetGreaterThanZero()
			.SetDisplay("Protective Offset (ticks)", "Distance in ticks for stop-loss and take-profit", "Risk Management")
			
			.SetOptimize(50, 1000, 50);

		_signalCandleType = Param(nameof(SignalCandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Signal Candle Type", "Candle type used for trade signals", "Data");

		_pivotCandleType = Param(nameof(PivotCandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Pivot Candle Type", "Higher timeframe used to compute Raymond levels", "Data");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, SignalCandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_tradeSessionLevel = null;
		_extendedBuyLevel = null;
		_extendedSellLevel = null;
		_takeProfitBuyLevel = null;
		_takeProfitSellLevel = null;
		_takeProfitBuyLevel2 = null;
		_takeProfitSellLevel2 = null;

		ResetProtection();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		Volume = TradeVolume;

		var signalSubscription = SubscribeCandles(SignalCandleType);
		signalSubscription
			.Bind(ProcessBothCandle)
			.Start();

		var priceArea = CreateChartArea();
		if (priceArea != null)
		{
			DrawCandles(priceArea, signalSubscription);
			DrawOwnTrades(priceArea);
		}
	}

	private void ProcessBothCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		ProcessPivotCandle(candle);
		ProcessSignalCandle(candle);
	}

	private void ProcessPivotCandle(ICandleMessage candle)
	{
		// Skip unfinished candles to keep the level calculation consistent.
		if (candle.State != CandleStates.Finished)
			return;

		var high = candle.HighPrice;
		var low = candle.LowPrice;
		var open = candle.OpenPrice;
		var close = candle.ClosePrice;

		var tradeSession = (high + low + open + close) / 4m;
		var pivotRange = high - low;

		_tradeSessionLevel = tradeSession;
		_extendedBuyLevel = tradeSession + 0.382m * pivotRange;
		_extendedSellLevel = tradeSession - 0.382m * pivotRange;
		_takeProfitBuyLevel = tradeSession + 0.618m * pivotRange;
		_takeProfitSellLevel = tradeSession - 0.618m * pivotRange;
		_takeProfitBuyLevel2 = tradeSession + pivotRange;
		_takeProfitSellLevel2 = tradeSession - pivotRange;

		LogInfo($"Updated Raymond levels from {candle.OpenTime:u}. TradeSS={tradeSession}, ETB={_extendedBuyLevel}, ETS={_extendedSellLevel}, TPB1={_takeProfitBuyLevel}, TPS1={_takeProfitSellLevel}.");
	}

	private void ProcessSignalCandle(ICandleMessage candle)
	{
		// Manage exits first so protective logic reacts even when trading is disabled.
		if (candle.State != CandleStates.Finished)
			return;

		ManageOpenPosition(candle);

		//if (!IsFormedAndOnlineAndAllowTrading())
		//	return;

		if (_takeProfitSellLevel is not decimal triggerLevel)
			return;

		var low = candle.LowPrice;
		var close = candle.ClosePrice;

		// Replicate the original EA condition around the TPS1 level.
		if (Position <= 0 && low < triggerLevel && close > triggerLevel)
		{
			EnterLong(close);
		}
		else if (Position >= 0 && low > triggerLevel && close < triggerLevel)
		{
			EnterShort(close);
		}
	}

	private void EnterLong(decimal closePrice)
	{
		var priceStep = Security?.PriceStep ?? 1m;
		if (priceStep <= 0m)
			priceStep = 1m;

		CancelActiveOrders();

		var volume = TradeVolume + Math.Max(0m, -Position);
		BuyMarket(volume);

		var offset = priceStep * ProtectiveOffsetTicks;
		_entryPrice = closePrice;
		_takePrice = closePrice + offset;
		_stopPrice = closePrice - offset;

		LogInfo($"Opened long position at {closePrice}. TP={_takePrice}, SL={_stopPrice}.");
	}

	private void EnterShort(decimal closePrice)
	{
		var priceStep = Security?.PriceStep ?? 1m;
		if (priceStep <= 0m)
			priceStep = 1m;

		CancelActiveOrders();

		var volume = TradeVolume + Math.Max(0m, Position);
		SellMarket(volume);

		var offset = priceStep * ProtectiveOffsetTicks;
		_entryPrice = closePrice;
		_takePrice = closePrice - offset;
		_stopPrice = closePrice + offset;

		LogInfo($"Opened short position at {closePrice}. TP={_takePrice}, SL={_stopPrice}.");
	}

	private void ManageOpenPosition(ICandleMessage candle)
	{
		if (Position == 0)
		{
			ResetProtection();
			return;
		}

		if (_entryPrice is not decimal entry || _takePrice is not decimal take || _stopPrice is not decimal stop)
			return;

		if (Position > 0)
		{
			// Close the long position if price breaches the protective levels.
			if (candle.LowPrice <= stop)
			{
				SellMarket(Position);
				ResetProtection();
				LogInfo($"Long stop-loss triggered at {stop}.");
				return;
			}

			if (candle.HighPrice >= take)
			{
				SellMarket(Position);
				ResetProtection();
				LogInfo($"Long take-profit triggered at {take}.");
				return;
			}
		}
		else
		{
			var volume = Math.Abs(Position);

			// Close the short position when stop or take-profit is hit.
			if (candle.HighPrice >= stop)
			{
				BuyMarket(volume);
				ResetProtection();
				LogInfo($"Short stop-loss triggered at {stop}.");
				return;
			}

			if (candle.LowPrice <= take)
			{
				BuyMarket(volume);
				ResetProtection();
				LogInfo($"Short take-profit triggered at {take}.");
			}
		}
	}

	private void ResetProtection()
	{
		_entryPrice = null;
		_takePrice = null;
		_stopPrice = null;
	}
}