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MultiStrategyEA v1.2（StockSharp 版本）

概述

本策略基于 MetaTrader 平台的 MultiStrategyEA v1.2，使用 StockSharp 的高级 API 重新实现。原始 EA 通过七个指标模块、网格与加倍手数管理订单。移植版本仅保留信号生成部分，并使用单一净头寸进行交易，以便更好地集成到 StockSharp Designer、Runner 等工具中。网格、递增手数、自动资金管理等复杂模块均未移植。

指标模块

策略在所选周期上计算以下指标：

  1. 加速/减速指标（AC）：计算 Awesome Oscillator 与其 5 周期均线的差值。当当前值高于 AcLevel 且继续上升/下降时给出买入/卖出信号。
  2. 平均趋向指数（ADX）：当 ADX 超过 AdxTrendLevel 且主导方向的 DI 超过 AdxDirectionalLevel 时确认趋势方向。
  3. Awesome Oscillator（AO）：当指标突破 AoLevel 并维持同方向变化时触发信号。
  4. DeMarker：当指标从超卖（100 - DeMarkerThreshold）或超买（DeMarkerThreshold）区域离开时提示反转。
  5. Force Index + 布林带：价格触及布林带同时 Force Index（按照原始 EA 相同方式缩放）超过 ForceConfirmationLevel 才认为有效。BandDistanceFilter 可限制布林带宽度（以点数表示）。
  6. 资金流量指数（MFI）：与 DeMarker 类似，识别超买/超卖反转。
  7. MACD + 随机指标：MACD 必须达到 MacdLevel 且高于/低于信号线，同时随机指标超过/低于 StochasticLevel 并与信号线方向一致。

每个模块都会根据最新完成的 K 线投票：买入、卖出或保持中性。

共识逻辑

  • TradeAllStrategies = true（默认）时，至少需要 RequiredConfirmations 个买入或卖出投票，并且没有相反投票，才会进场。
  • TradeAllStrategies = false 时，单个投票即可触发交易。
  • 当启用 CloseInReverse 时，若出现反向共识，策略会先平掉当前仓位再开新仓。

移植版本只维护一个净头寸，不再区分各模块独立持仓。

风险管理

  • StopLossPips 与 TakeProfitPips 根据品种的 PriceStep 自动换算为价格偏移。当价格步长为 0.001 或 0.00001 时，会自动乘以 10 以匹配外汇“pip”。
  • 每根完成的 K 线都会检查最高价/最低价是否触及止损或止盈，触发后立即平仓。

与 MT5 版本的差异

  • 无网格、无马丁加仓，仓位大小仅由 Volume 控制。
  • 未实现 MT5 中的 CloseOrdersType 关闭模式，退出主要依赖止损/止盈或 CloseInReverse 反向信号。
  • 指标模块仅保留最常用的判断方式，未涵盖原始 EA 中所有枚举组合。
  • 自动批量控制、账户保护及其他账户层面逻辑未包含在内。

参数

参数 说明
CandleType 所有指标使用的 K 线类型。
Volume 共识信号出现时的交易数量。
TradeAllStrategies 是否需要多个模块共识。
RequiredConfirmations 开仓所需的一致投票数量（在共识模式下）。
CloseInReverse 出现反向信号时先平仓再反向开仓。
StopLossPips / TakeProfitPips 以点数表示的止损和止盈距离。
其他 Use* 与阈值/周期参数 对应模块的启用开关及阈值设置。

使用建议

  1. 确保历史数据足以让所有指标形成；初期可能需要数十根 K 线。
  2. 根据品种波动情况调整各模块阈值；默认值与 MT5 输入参数一致。
  3. 如果禁用部分模块，请同步调低 RequiredConfirmations，避免策略因为投票不足而不交易。
  4. 策略仅维护单笔净头寸，适合集成到 StockSharp Designer、Runner 等高层工具中，无需额外的投资组合路由。

注意事项

由于省略了网格、资金管理和部分退出逻辑，运行结果与 MT5 原版会有差异。本移植旨在提供清晰、可扩展的信号框架，用户可以在此基础上继续定制更复杂的仓位管理或组合策略。

namespace StockSharp.Samples.Strategies;

using System;

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

/// <summary>
/// Simplified port of the MetaTrader expert advisor "MultiStrategyEA v1.2".
/// Combines multiple oscillators (RSI, Stochastic, MACD, Bollinger, ADX)
/// and requires a configurable number of bullish or bearish confirmations before entering a trade.
/// </summary>
public class MultiEaV12Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _requiredConfirmations;

	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiUpper;
	private readonly StrategyParam<decimal> _rsiLower;

	private readonly StrategyParam<int> _stochKPeriod;
	private readonly StrategyParam<int> _stochDPeriod;
	private readonly StrategyParam<decimal> _stochUpper;
	private readonly StrategyParam<decimal> _stochLower;

	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;

	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxTrendLevel;

	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RequiredConfirmations { get => _requiredConfirmations.Value; set => _requiredConfirmations.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public decimal RsiUpper { get => _rsiUpper.Value; set => _rsiUpper.Value = value; }
	public decimal RsiLower { get => _rsiLower.Value; set => _rsiLower.Value = value; }
	public int StochKPeriod { get => _stochKPeriod.Value; set => _stochKPeriod.Value = value; }
	public int StochDPeriod { get => _stochDPeriod.Value; set => _stochDPeriod.Value = value; }
	public decimal StochUpper { get => _stochUpper.Value; set => _stochUpper.Value = value; }
	public decimal StochLower { get => _stochLower.Value; set => _stochLower.Value = value; }
	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal BollingerDeviation { get => _bollingerDeviation.Value; set => _bollingerDeviation.Value = value; }
	public int AdxPeriod { get => _adxPeriod.Value; set => _adxPeriod.Value = value; }
	public decimal AdxTrendLevel { get => _adxTrendLevel.Value; set => _adxTrendLevel.Value = value; }
	public int MacdFast { get => _macdFast.Value; set => _macdFast.Value = value; }
	public int MacdSlow { get => _macdSlow.Value; set => _macdSlow.Value = value; }
	public int MacdSignal { get => _macdSignal.Value; set => _macdSignal.Value = value; }

	public MultiEaV12Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_requiredConfirmations = Param(nameof(RequiredConfirmations), 3)
			.SetDisplay("Required Confirmations", "Number of modules required for entry", "Consensus");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI length", "RSI");

		_rsiUpper = Param(nameof(RsiUpper), 65m)
			.SetDisplay("RSI Upper", "Overbought level", "RSI");

		_rsiLower = Param(nameof(RsiLower), 35m)
			.SetDisplay("RSI Lower", "Oversold level", "RSI");

		_stochKPeriod = Param(nameof(StochKPeriod), 10)
			.SetDisplay("Stochastic %K", "%K period", "Stochastic");

		_stochDPeriod = Param(nameof(StochDPeriod), 3)
			.SetDisplay("Stochastic %D", "%D period", "Stochastic");

		_stochUpper = Param(nameof(StochUpper), 70m)
			.SetDisplay("Stoch Upper", "Overbought", "Stochastic");

		_stochLower = Param(nameof(StochLower), 30m)
			.SetDisplay("Stoch Lower", "Oversold", "Stochastic");

		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetDisplay("Bollinger Period", "BB length", "Bollinger");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetDisplay("Bollinger Deviation", "BB width", "Bollinger");

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetDisplay("ADX Period", "ADX length", "ADX");

		_adxTrendLevel = Param(nameof(AdxTrendLevel), 20m)
			.SetDisplay("ADX Trend Level", "Min ADX for trend", "ADX");

		_macdFast = Param(nameof(MacdFast), 12)
			.SetDisplay("MACD Fast", "Fast EMA period", "MACD");

		_macdSlow = Param(nameof(MacdSlow), 26)
			.SetDisplay("MACD Slow", "Slow EMA period", "MACD");

		_macdSignal = Param(nameof(MacdSignal), 9)
			.SetDisplay("MACD Signal", "Signal line period", "MACD");
	}

	/// <inheritdoc />
	public override System.Collections.Generic.IEnumerable<(StockSharp.BusinessEntities.Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var stochastic = new StochasticOscillator();
		stochastic.K.Length = StochKPeriod;
		stochastic.D.Length = StochDPeriod;

		var bollinger = new BollingerBands { Length = BollingerPeriod, Width = BollingerDeviation };

		var adx = new AverageDirectionalIndex { Length = AdxPeriod };

		var macd = new MovingAverageConvergenceDivergenceSignal();
		macd.Macd.ShortMa.Length = MacdFast;
		macd.Macd.LongMa.Length = MacdSlow;
		macd.SignalMa.Length = MacdSignal;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(rsi, stochastic, bollinger, adx, macd, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue rsiVal, IIndicatorValue stochVal, IIndicatorValue bbVal, IIndicatorValue adxVal, IIndicatorValue macdVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!rsiVal.IsFinal || !stochVal.IsFinal || !bbVal.IsFinal || !adxVal.IsFinal || !macdVal.IsFinal)
			return;

		if (!rsiVal.IsFormed || !stochVal.IsFormed || !bbVal.IsFormed || !adxVal.IsFormed || !macdVal.IsFormed)
			return;

		var rsi = rsiVal.GetValue<decimal>();
		var stoch = (StochasticOscillatorValue)stochVal;
		var stochK = stoch.K ?? 50m;
		var bb = (BollingerBandsValue)bbVal;
		var bbUpper = bb.UpBand ?? candle.ClosePrice;
		var bbLower = bb.LowBand ?? candle.ClosePrice;
		var adxTyped = (AverageDirectionalIndexValue)adxVal;
		var adxMain = adxTyped.MovingAverage ?? 0m;
		var adxPlus = adxTyped.Dx.Plus ?? 0m;
		var adxMinus = adxTyped.Dx.Minus ?? 0m;
		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdVal;
		var macdLine = macdTyped.Macd ?? 0m;
		var macdSignalLine = macdTyped.Signal ?? 0m;

		var close = candle.ClosePrice;

		// Count bullish and bearish signals from each module
		var bullish = 0;
		var bearish = 0;

		// Module 1: RSI
		if (rsi < RsiLower) bullish++;
		else if (rsi > RsiUpper) bearish++;

		// Module 2: Stochastic
		if (stochK < StochLower) bullish++;
		else if (stochK > StochUpper) bearish++;

		// Module 3: Bollinger Bands
		if (close <= bbLower) bullish++;
		else if (close >= bbUpper) bearish++;

		// Module 4: ADX directional
		if (adxMain >= AdxTrendLevel)
		{
			if (adxPlus > adxMinus) bullish++;
			else if (adxMinus > adxPlus) bearish++;
		}

		// Module 5: MACD
		if (macdLine > macdSignalLine && macdLine > 0) bullish++;
		else if (macdLine < macdSignalLine && macdLine < 0) bearish++;

		var minConfirmations = RequiredConfirmations;

		// Enter on consensus
		if (bullish >= minConfirmations && bearish == 0 && Position <= 0)
		{
			BuyMarket();
		}
		else if (bearish >= minConfirmations && bullish == 0 && Position >= 0)
		{
			SellMarket();
		}
		// Exit when consensus breaks
		else if (Position > 0 && bearish >= 2)
		{
			SellMarket();
		}
		else if (Position < 0 && bullish >= 2)
		{
			BuyMarket();
		}
	}
}