中文 ZH
在 GitHub 上查看

Cs2011 策略

概述

Cs2011 策略改编自原始的 cs2011.mq5 专家顾问，是一套基于 MACD 的反转系统。它在每根完成的 K 线收盘时检查 MACD 柱状图与信号线，寻找零轴附近的衰竭形态。C# 版本保持了核心的触发条件，并使用 StockSharp 的高级 API 进行封装。

交易逻辑

  • 零轴反转：如果上一根柱子的 MACD 值大于 0 而再前一根小于 0，则触发 做空 信号；若上一根小于 0 而再前一根大于 0，则触发 做多 信号。这与原版 EA 中的逆势入场规则一致。
  • 信号线极值：策略保存最近三次信号线读数。当 MACD 持续为负且信号线形成局部峰值时，产生额外的空头信号；当 MACD 持续为正且信号线形成局部谷值时，产生额外的多头信号。这复刻了源代码中对 Sig[0]、Sig[1]、Sig[2] 的判断。
  • 只有 SubscribeCandles 提供的已完成 K 线会被处理，未收盘的数据会被忽略。

仓位管理

  • 策略以固定的绝对仓位 TargetVolume 为目标。出现多头信号时买入至 +TargetVolume，出现空头信号时卖出至 -TargetVolume。如果当前仓位已经达到目标，则不会下达额外委托。
  • StartProtection 用于还原原 EA 的止盈和止损设置。参数以点数表示，并转换为 UnitTypes.Point 后交给 StockSharp 的风险模块；参数为 0 时相应保护被关闭。
  • 订单通过高级方法 BuyMarket / SellMarket 完成，不再使用 MQL 中的底层请求结构。

参数

名称 默认值 说明
TargetVolume 1 手 每次触发后的目标绝对仓位，替代 EA 中基于 Risk × 余额的头寸算法。
TakeProfitPoints 2200 以点数表示的止盈距离，设为 0 可禁用。
StopLossPoints 0 以点数表示的止损距离，默认禁用，与原 EA 一致。
FastEmaPeriod 30 MACD 快速 EMA 的周期。
SlowEmaPeriod 500 MACD 慢速 EMA 的周期。
SignalPeriod 36 MACD 信号线的平滑周期。
CandleType 1 小时时间框架 SubscribeCandles 使用的 K 线类型，可根据 MetaTrader 的图表周期调整。

所有参数都通过 Param() 注册，因此可以在 StockSharp 优化器界面中进行回测和优化。

与 MQL5 版本的差异

  • 原版的 Money_M 函数依赖账户历史成交与余额，C# 版本改为简单的 TargetVolume 参数，方便接入任何自定义资金管理方案。
  • 下单逻辑精简为单笔市价单，重试、价差和交易上下文检查由 StockSharp 基础设施负责。
  • 策略基于蜡烛订阅运行，取代了自定义的 IsNewBar 函数，确保只处理完整的 K 线。

使用建议

  1. 启动前配置交易标的、投资组合和所需的 CandleType。
  2. 根据目标手数调整 TargetVolume。
  3. 需要时修改 TakeProfitPoints 与 StopLossPoints 以还原 EA 的保护参数。
  4. 启动策略后，可通过日志查看每次触发的方向及目标仓位。

源代码包含英文注释，解释移植过程中每一步的处理方式。


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>
/// MACD based reversal strategy converted from the original cs2011 MetaTrader 5 expert advisor.
/// It reacts to zero line crosses and local extremes of the MACD signal line.
/// </summary>
public class Cs2011Strategy : Strategy
{
	private readonly StrategyParam<decimal> _targetVolume;
	private readonly StrategyParam<int> _takeProfitPoints;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _macdPrev1;
	private decimal? _macdPrev2;
	private decimal? _signalPrev1;
	private decimal? _signalPrev2;
	private decimal? _signalPrev3;

	/// <summary>
	/// Target absolute position in lots when a bullish signal appears.
	/// </summary>
	public decimal TargetVolume
	{
		get => _targetVolume.Value;
		set => _targetVolume.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in instrument points.
	/// </summary>
	public int TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in instrument points.
	/// </summary>
	public int StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Fast EMA length used in MACD calculation.
	/// </summary>
	public int FastEmaPeriod
	{
		get => _fastEmaPeriod.Value;
		set => _fastEmaPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA length used in MACD calculation.
	/// </summary>
	public int SlowEmaPeriod
	{
		get => _slowEmaPeriod.Value;
		set => _slowEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period of the MACD signal line.
	/// </summary>
	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

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

	/// <summary>
	/// Initialize strategy parameters with defaults close to the original expert.
	/// </summary>
	public Cs2011Strategy()
	{
		_targetVolume = Param(nameof(TargetVolume), 1m)
			.SetDisplay("Target Volume", "Absolute position size targeted on entries", "Risk")
			
			.SetOptimize(0.5m, 3m, 0.5m);

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 2200)
			.SetDisplay("Take Profit (points)", "Take-profit distance in price points", "Risk")
			
			.SetOptimize(200, 4000, 200);

		_stopLossPoints = Param(nameof(StopLossPoints), 0)
			.SetDisplay("Stop Loss (points)", "Stop-loss distance in price points", "Risk")
			
			.SetOptimize(0, 2000, 200);

		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 30)
			.SetDisplay("Fast EMA", "Fast EMA period for MACD", "Indicators")
			
			.SetOptimize(10, 60, 5);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 50)
			.SetDisplay("Slow EMA", "Slow EMA period for MACD", "Indicators")
			
			.SetOptimize(200, 700, 20);

		_signalPeriod = Param(nameof(SignalPeriod), 36)
			.SetDisplay("Signal Period", "Signal line period for MACD", "Indicators")
			
			.SetOptimize(10, 60, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Source timeframe for MACD", "General");
	}

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

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

		_macdPrev1 = null;
		_macdPrev2 = null;
		_signalPrev1 = null;
		_signalPrev2 = null;
		_signalPrev3 = null;
	}

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

		Volume = TargetVolume;

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastEmaPeriod },
				LongMa = { Length = SlowEmaPeriod }
			},
			SignalMa = { Length = SignalPeriod }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, ProcessCandle)
			.Start();

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

		// removed StartProtection
	}

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

		if (indicatorValue is not IMovingAverageConvergenceDivergenceSignalValue macdValue)
			return;

		if (macdValue.Macd is not decimal macd || macdValue.Signal is not decimal signal)
			return;

		var prevMacd1 = _macdPrev1;
		var prevMacd2 = _macdPrev2;
		var prevSignal1 = _signalPrev1;
		var prevSignal2 = _signalPrev2;
		var prevSignal3 = _signalPrev3;

		var upSignal = false;
		var downSignal = false;

		if (prevMacd1.HasValue && prevMacd2.HasValue)
		{
			if (prevMacd1 > 0m && prevMacd2 < 0m)
				downSignal = true;

			if (prevMacd1 < 0m && prevMacd2 > 0m)
				upSignal = true;
		}

		if (prevMacd2.HasValue && prevSignal1.HasValue && prevSignal2.HasValue && prevSignal3.HasValue)
		{
			if (prevMacd2 < 0m && prevSignal1 < prevSignal2 && prevSignal2 > prevSignal3)
				downSignal = true;

			if (prevMacd2 > 0m && prevSignal1 > prevSignal2 && prevSignal2 < prevSignal3)
				upSignal = true;
		}

		if (upSignal || downSignal)
			ExecuteSignals(upSignal, downSignal);

		_macdPrev2 = _macdPrev1;
		_macdPrev1 = macd;
		_signalPrev3 = _signalPrev2;
		_signalPrev2 = _signalPrev1;
		_signalPrev1 = signal;
	}

	private void ExecuteSignals(bool upSignal, bool downSignal)
	{
		// removed IsFormedAndOnlineAndAllowTrading guard

		if (upSignal)
		{
			var targetPosition = TargetVolume;
			var difference = targetPosition - Position;
			if (difference > 0m)
			{
				BuyMarket(difference);
				LogInfo($"Buy signal executed. Target={targetPosition:F2}, current position after order={Position + difference:F2}");
			}
		}

		if (downSignal)
		{
			var targetPosition = -TargetVolume;
			var difference = targetPosition - Position;
			if (difference < 0m)
			{
				SellMarket(-difference);
				LogInfo($"Sell signal executed. Target={targetPosition:F2}, current position after order={Position - difference:F2}");
			}
		}
	}
}