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Tuyul Uncensored 策略

概览

Tuyul Uncensored 策略基于原始 MetaTrader 5 专家顾问重新实现，利用 StockSharp 的高级 API 运行。系统通过 ZigZag 指标追踪摆动高低点，并结合快慢指数移动平均线判定趋势。当确认新的摆动后，在最近一段的 57% 斐波那契回撤位置挂出限价单，希望在主趋势回踩时入场，同时根据摆动区间自动设定止损和止盈。

交易逻辑

  1. 数据准备
    • 仅订阅一个由 K 线类型 参数指定的蜡烛序列。
    • 根据深度、偏差、回退参数配置 ZigZag 指标，用于记录最新的摆动高点和摆动低点。
    • 9/21 默认周期的快慢 EMA 负责趋势过滤。
  2. 信号检测
    • 当 ZigZag 确认新的摆动高点或低点时，更新最近一对摆动价格。
    • 若当前没有挂单且没有持仓，则检查上一根蜡烛的 EMA 数值：
      • 快 EMA 高于慢 EMA → 多头环境。
      • 快 EMA 低于慢 EMA → 空头环境。
  3. 挂单规则
    • 多头环境下，在最近摆动低点与高点之间的 57% 回撤位置挂出买入限价单。
    • 空头环境下，在最近摆动高点与低点之间的对称 57% 回撤位置挂出卖出限价单。
    • 止损设置在相对的 ZigZag 摆动点，止盈距离等于止损距离乘以 TP 系数（默认 1.2）。
    • 挂单最多保留 信号后等待的K线数 根蜡烛，超时自动撤单以等待新机会。
  4. 持仓管理
    • 挂单成交后，策略在随后的蜡烛上监控价格，若达到止损或止盈水平即以市价平仓。做空仓位采取镜像逻辑。
    • 可通过工作日参数限制具体交易日；在禁用的日期里会撤销所有挂单，但不会强制平掉已有仓位，以保持与原始 EA 一致。

参数说明

名称 说明
Volume Per Trade 每次入场提交的下单数量。
TP Multiplier 止盈距离与止损距离的倍数关系。
ZigZag Depth 计算摆动时参考的蜡烛数量。
ZigZag Deviation ZigZag 确认新摆动所需的最小偏差（点数）。
ZigZag Backstep 相邻不同方向摆动之间至少需要的蜡烛数。
Wait Bars After Signal 挂单在市场中保持的最长蜡烛数量。
Fast EMA 快速指数移动平均线的周期。
Slow EMA 慢速指数移动平均线的周期。
Allow Monday … Allow Friday 各个工作日的启用或禁用开关。
Candle Type 策略用于分析的蜡烛类型。

备注

  • 斐波那契比率固定为 57%，与源 EA 完全一致。
  • 止损与止盈在蜡烛收盘时检查，若盘中突破阈值，则在下一次评估时通过市价单离场。
  • 策略任意时刻仅维持一个挂单，确保逻辑与原始实现保持一致。
namespace StockSharp.Samples.Strategies;

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;

/// <summary>
/// Strategy converted from the "Tuyul Uncensored" MetaTrader expert advisor.
/// It watches ZigZag swings, aligns with an EMA trend filter, and places Fibonacci retracement limit orders.
/// </summary>
public class TuyulUncensoredStrategy : Strategy
{
	private readonly StrategyParam<decimal> _volume;
	private readonly StrategyParam<decimal> _takeProfitMultiplier;
	private readonly StrategyParam<int> _zigZagDepth;
	private readonly StrategyParam<decimal> _zigZagDeviation;
	private readonly StrategyParam<int> _zigZagBackstep;
	private readonly StrategyParam<int> _waitBars;
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<bool> _allowMonday;
	private readonly StrategyParam<bool> _allowTuesday;
	private readonly StrategyParam<bool> _allowWednesday;
	private readonly StrategyParam<bool> _allowThursday;
	private readonly StrategyParam<bool> _allowFriday;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _fibLevel;

	private List<(DateTimeOffset Time, decimal Price)> _pivots;

	private ZigZag _zigZag;
	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _slowEma;

	private decimal _lastZigZagHigh;
	private decimal _lastZigZagLow;

	private decimal? _previousFast;
	private decimal? _previousSlow;


	private decimal? _activeStop;
	private decimal? _activeTake;
	private int _activeDirection;

	/// <summary>
	/// Initializes a new instance of the <see cref="TuyulUncensoredStrategy"/> class.
	/// </summary>
	public TuyulUncensoredStrategy()
	{
		_volume = Param(nameof(VolumePerTrade), 0.03m)
		.SetDisplay("Volume", "Order volume per trade", "General")
		.SetGreaterThanZero();

		_takeProfitMultiplier = Param(nameof(TakeProfitMultiplier), 1.2m)
		.SetDisplay("TP Multiplier", "Take profit distance relative to stop loss", "Risk")
		.SetGreaterThanZero();

		_zigZagDepth = Param(nameof(ZigZagDepth), 12)
		.SetDisplay("ZigZag Depth", "Number of bars to evaluate for swings", "ZigZag")
		.SetGreaterThanZero();

		_zigZagDeviation = Param(nameof(ZigZagDeviation), 0.05m)
		.SetDisplay("ZigZag Deviation", "Minimum deviation in points to confirm a swing", "ZigZag")
		.SetNotNegative();

		_zigZagBackstep = Param(nameof(ZigZagBackstep), 3)
		.SetDisplay("ZigZag Backstep", "Bars required between opposite pivots", "ZigZag")
		.SetNotNegative();

		_waitBars = Param(nameof(WaitBarsAfterSignal), 12)
		.SetDisplay("Wait Bars", "Candles to keep the pending order before cancelling", "Trading")
		.SetNotNegative();

		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 9)
		.SetDisplay("Fast EMA", "Period of the fast EMA filter", "Trend")
		.SetGreaterThanZero();

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 21)
		.SetDisplay("Slow EMA", "Period of the slow EMA filter", "Trend")
		.SetGreaterThanZero();

		_allowMonday = Param(nameof(AllowMonday), true)
		.SetDisplay("Allow Monday", "Enable trading on Monday", "Schedule");

		_allowTuesday = Param(nameof(AllowTuesday), true)
		.SetDisplay("Allow Tuesday", "Enable trading on Tuesday", "Schedule");

		_allowWednesday = Param(nameof(AllowWednesday), true)
		.SetDisplay("Allow Wednesday", "Enable trading on Wednesday", "Schedule");

		_allowThursday = Param(nameof(AllowThursday), true)
		.SetDisplay("Allow Thursday", "Enable trading on Thursday", "Schedule");

		_allowFriday = Param(nameof(AllowFriday), true)
		.SetDisplay("Allow Friday", "Enable trading on Friday", "Schedule");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles used for analysis", "General");

		_fibLevel = Param(nameof(FibLevel), 0.57m)
		.SetDisplay("Fibonacci Level", "Retracement level used to position pending orders", "Trading")
		.SetRange(0m, 1m);
	}

	/// <summary>
	/// Volume traded on each entry signal.
	/// </summary>
	public decimal VolumePerTrade
	{
		get => _volume.Value;
		set => _volume.Value = value;
	}

	/// <summary>
	/// Take profit multiplier relative to the stop distance.
	/// </summary>
	public decimal TakeProfitMultiplier
	{
		get => _takeProfitMultiplier.Value;
		set => _takeProfitMultiplier.Value = value;
	}

	/// <summary>
	/// ZigZag depth parameter.
	/// </summary>
	public int ZigZagDepth
	{
		get => _zigZagDepth.Value;
		set => _zigZagDepth.Value = value;
	}

	/// <summary>
	/// ZigZag deviation parameter expressed in points.
	/// </summary>
	public decimal ZigZagDeviation
	{
		get => _zigZagDeviation.Value;
		set => _zigZagDeviation.Value = value;
	}

	/// <summary>
	/// ZigZag backstep parameter.
	/// </summary>
	public int ZigZagBackstep
	{
		get => _zigZagBackstep.Value;
		set => _zigZagBackstep.Value = value;
	}

	/// <summary>
	/// Number of candles to keep a pending order active.
	/// </summary>
	public int WaitBarsAfterSignal
	{
		get => _waitBars.Value;
		set => _waitBars.Value = value;
	}

	/// <summary>
	/// Period of the fast EMA filter.
	/// </summary>
	public int FastEmaPeriod
	{
		get => _fastEmaPeriod.Value;
		set => _fastEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period of the slow EMA filter.
	/// </summary>
	public int SlowEmaPeriod
	{
		get => _slowEmaPeriod.Value;
		set => _slowEmaPeriod.Value = value;
	}

	/// <summary>
	/// Determines whether Monday is tradable.
	/// </summary>
	public bool AllowMonday
	{
		get => _allowMonday.Value;
		set => _allowMonday.Value = value;
	}

	/// <summary>
	/// Determines whether Tuesday is tradable.
	/// </summary>
	public bool AllowTuesday
	{
		get => _allowTuesday.Value;
		set => _allowTuesday.Value = value;
	}

	/// <summary>
	/// Determines whether Wednesday is tradable.
	/// </summary>
	public bool AllowWednesday
	{
		get => _allowWednesday.Value;
		set => _allowWednesday.Value = value;
	}

	/// <summary>
	/// Determines whether Thursday is tradable.
	/// </summary>
	public bool AllowThursday
	{
		get => _allowThursday.Value;
		set => _allowThursday.Value = value;
	}

	/// <summary>
	/// Determines whether Friday is tradable.
	/// </summary>
	public bool AllowFriday
	{
		get => _allowFriday.Value;
		set => _allowFriday.Value = value;
	}

	/// <summary>
	/// Candle type used for analysis.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Fibonacci retracement level used to place pending orders.
	/// </summary>
	public decimal FibLevel
	{
		get => _fibLevel.Value;
		set => _fibLevel.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

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

		_pivots = null;
		_zigZag = null;
		_fastEma = null;
		_slowEma = null;
		_lastZigZagHigh = 0m;
		_lastZigZagLow = 0m;

		_previousFast = null;
		_previousSlow = null;

		_activeStop = null;
		_activeTake = null;
		_activeDirection = 0;
	}

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

		_pivots = new List<(DateTimeOffset Time, decimal Price)>();

		_zigZag = new ZigZag
		{
			Deviation = ZigZagDeviation
		};

		_fastEma = new ExponentialMovingAverage { Length = FastEmaPeriod };
		_slowEma = new ExponentialMovingAverage { Length = SlowEmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(_zigZag, _fastEma, _slowEma, ProcessCandle)
		.Start();

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

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

		UpdateActiveProtection(candle);

		var (newHigh, newLow) = UpdateZigZagState(candle, zigZagValue);

		if (Position == 0m && (newHigh || newLow) &&
		_previousFast.HasValue && _previousSlow.HasValue)
		{
			TryEnterMarket(_previousFast.Value, _previousSlow.Value);
		}

		_previousFast = fastEmaValue;
		_previousSlow = slowEmaValue;

		if (Position == 0m && _activeDirection != 0)
			ClearActiveProtection();
	}

	private void UpdateActiveProtection(ICandleMessage candle)
	{
		if (_activeDirection == 1 && Position > 0m && _activeStop.HasValue && _activeTake.HasValue)
		{
			if (candle.LowPrice <= _activeStop.Value || candle.HighPrice >= _activeTake.Value)
			{
				SellMarket(Position);
				ClearActiveProtection();
			}
		}
		else if (_activeDirection == -1 && Position < 0m && _activeStop.HasValue && _activeTake.HasValue)
		{
			if (candle.HighPrice >= _activeStop.Value || candle.LowPrice <= _activeTake.Value)
			{
				BuyMarket(-Position);
				ClearActiveProtection();
			}
		}
	}

	private void TryEnterMarket(decimal previousFast, decimal previousSlow)
	{
		var high = _lastZigZagHigh;
		var low = _lastZigZagLow;

		if (high <= 0m || low <= 0m || high <= low)
			return;

		var volume = VolumePerTrade;
		if (volume <= 0m)
			volume = Volume;
		if (volume <= 0m)
			return;

		if (previousFast > previousSlow)
		{
			var stopPrice = low;
			var fibPrice = low + (high - low) * FibLevel;
			var slDistance = fibPrice - stopPrice;
			if (slDistance <= 0m)
				return;

			var takePrice = fibPrice + slDistance * TakeProfitMultiplier;
			BuyMarket(volume);
			_activeStop = stopPrice;
			_activeTake = takePrice;
			_activeDirection = 1;
		}
		else if (previousFast < previousSlow)
		{
			var stopPrice = high;
			var fibPrice = high - (high - low) * FibLevel;
			var slDistance = stopPrice - fibPrice;
			if (slDistance <= 0m)
				return;

			var takePrice = fibPrice - slDistance * TakeProfitMultiplier;
			SellMarket(volume);
			_activeStop = stopPrice;
			_activeTake = takePrice;
			_activeDirection = -1;
		}
	}

	private (bool newHigh, bool newLow) UpdateZigZagState(ICandleMessage candle, decimal zigZagValue)
	{
		var newHigh = false;
		var newLow = false;

		if (zigZagValue == 0m)
			return (false, false);

		var index = _pivots.FindIndex(p => p.Time == candle.OpenTime);
		if (index >= 0)
		{
			if (_pivots[index].Price == zigZagValue)
				return (false, false);

			_pivots[index] = (candle.OpenTime, zigZagValue);
		}
		else
		{
			_pivots.Add((candle.OpenTime, zigZagValue));
			if (_pivots.Count > 300)
				_pivots.RemoveAt(0);
		}

		if (_pivots.Count < 2)
			return (false, false);

		var previous = _pivots[^2];
		var last = _pivots[^1];
		var isHigh = last.Price > previous.Price;

		if (isHigh)
		{
			if (_lastZigZagHigh != last.Price)
			{
				_lastZigZagHigh = last.Price;
				newHigh = true;
			}

			if (_lastZigZagLow != previous.Price)
			{
				_lastZigZagLow = previous.Price;
				newLow = true;
			}
		}
		else
		{
			if (_lastZigZagLow != last.Price)
			{
				_lastZigZagLow = last.Price;
				newLow = true;
			}

			if (_lastZigZagHigh != previous.Price)
			{
				_lastZigZagHigh = previous.Price;
				newHigh = true;
			}
		}

		return (newHigh, newLow);
	}

	private bool IsTradingDayAllowed(DayOfWeek day)
	{
		return day switch
		{
			DayOfWeek.Monday => AllowMonday,
			DayOfWeek.Tuesday => AllowTuesday,
			DayOfWeek.Wednesday => AllowWednesday,
			DayOfWeek.Thursday => AllowThursday,
			DayOfWeek.Friday => AllowFriday,
			_ => false,
		};
	}


	private void ClearActiveProtection()
	{
		_activeStop = null;
		_activeTake = null;
		_activeDirection = 0;
	}
}