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e-TurboFx Classic 策略

概述

e-TurboFx Classic 策略将 MQL/7262/e-TurboFx.mq4 中的 MetaTrader 4 智能交易系统完整移植到 StockSharp。策略寻找一连串实体不断扩大的强势 K 线，并在动能衰竭时反向入场。移植版本使用 StockSharp 的高级策略 API、K 线订阅以及内置的保护性订单管理。

交易逻辑

  1. 订阅所选的 K 线类型，只处理已经收盘的 K 线。
  2. 计算 K 线实体大小（|close - open|），用于判断实体是否继续扩大。
  3. 维护两个计数器：
    • 空头序列：统计连续收阴并且实体大于前一根阴线的数量。
    • 多头序列：统计连续收阳并且实体大于前一根阳线的数量。
  4. 出现十字星（开盘价等于收盘价）或策略已经持仓时，立即重置两个计数器，保持与原始 EA 同样的「一次只持有一笔交易」规则。
  5. 做多： 当空头序列长度达到参数 SequenceLength 时，发送市价买单，并重置计数器。
  6. 做空： 当多头序列长度达到 SequenceLength 时，发送市价卖单，并重置计数器。
  7. 可选的止盈、止损以点数表示，并在 StockSharp 中转换为价格步长。

策略等待单方向的极端冲刺，每一根新 K 线的实体都在扩大，随后尝试在动能耗尽时捕捉反转。

实现细节

  • 通过 SubscribeCandles().Bind(ProcessCandle) 处理收盘 K 线，无需手动管理指标。
  • StartProtection 将止盈和止损从点数转换为价格步长（UnitTypes.Step）。
  • 所有参数都通过 Param(...) 注册，便于界面调整和参数优化。
  • 仅在交易品种提供有效的 PriceStep 时启用止盈止损，否则建议将其保持为 0。
  • 持仓期间会暂停信号检测并清空计数器，避免重复开仓，完全符合原始脚本的逻辑。

参数

参数 说明 默认值
SequenceLength 触发交易所需的连续扩张 K 线数量。 3
TakeProfitSteps 以价格步长表示的止盈距离，0 表示不使用止盈。 120
StopLossSteps 以价格步长表示的止损距离，0 表示不使用止损。 70
TradeVolume 每次市价单的下单数量，并同步到 Volume 属性。 0.1
CandleType 分析所用的 K 线周期，默认为 1 小时。 1 hour

使用建议

  • 确保订阅的 K 线数据连续无缺失，切换品种或周期后需等待新数据重新构建序列。
  • 在噪声较大的周期上，实体扩张很容易被打断，可适当降低 SequenceLength。
  • 建议在回测或模拟环境中验证不同参数组合，评估滑点与交易成本的影响。
  • 实盘前务必进行充分测试，确认保护性订单与经纪商规则兼容。
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>
/// Momentum exhaustion strategy converted from the original e-TurboFx MQL4 expert adviser.
/// </summary>
public class ETurboFxClassicStrategy : Strategy
{
	private readonly StrategyParam<int> _sequenceLength;
	private readonly StrategyParam<decimal> _takeProfitSteps;
	private readonly StrategyParam<decimal> _stopLossSteps;
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<DataType> _candleType;

	private int _bearishSequence;
	private int _bullishSequence;
	private decimal _previousBearishBody;
	private decimal _previousBullishBody;

	/// <summary>
	/// Number of consecutive candles required to trigger a signal.
	/// </summary>
	public int SequenceLength
	{
		get => _sequenceLength.Value;
		set => _sequenceLength.Value = value;
	}

	/// <summary>
	/// Take profit distance expressed in price steps (ticks).
	/// A value of zero disables the take profit order.
	/// </summary>
	public decimal TakeProfitSteps
	{
		get => _takeProfitSteps.Value;
		set => _takeProfitSteps.Value = value;
	}

	/// <summary>
	/// Stop loss distance expressed in price steps (ticks).
	/// A value of zero disables the protective stop.
	/// </summary>
	public decimal StopLossSteps
	{
		get => _stopLossSteps.Value;
		set => _stopLossSteps.Value = value;
	}

	/// <summary>
	/// Order volume sent with each market entry.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set
		{
			_tradeVolume.Value = value;
			Volume = value;
		}
	}

	/// <summary>
	/// Candle type analysed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="ETurboFxClassicStrategy" /> class.
	/// </summary>
	public ETurboFxClassicStrategy()
	{
		_sequenceLength = Param(nameof(SequenceLength), 3)
			.SetGreaterThanZero()
			.SetDisplay("Sequence Length", "Number of consecutive finished candles analysed for pattern detection", "Trading Rules")
			
			.SetOptimize(2, 6, 1);

		_takeProfitSteps = Param(nameof(TakeProfitSteps), 120m)
			.SetNotNegative()
			.SetDisplay("Take Profit (steps)", "Take profit distance in price steps (ticks)", "Risk Management")
			
			.SetOptimize(60m, 180m, 20m);

		_stopLossSteps = Param(nameof(StopLossSteps), 70m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (steps)", "Stop loss distance in price steps (ticks)", "Risk Management")
			
			.SetOptimize(40m, 120m, 10m);

		_tradeVolume = Param(nameof(TradeVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Order volume used for market entries", "Trading Rules")
			
			.SetOptimize(0.1m, 0.5m, 0.1m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Time frame of the candles analysed by the strategy", "Market Data");
	}

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

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

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

		ResetState();
		Volume = TradeVolume;

		var takeProfitUnit = CreateStepUnit(TakeProfitSteps);
		var stopLossUnit = CreateStepUnit(StopLossSteps);

		if (takeProfitUnit != null || stopLossUnit != null)
		{
			// Configure protection block only once when the strategy starts.
			StartProtection(
				takeProfit: takeProfitUnit,
				stopLoss: stopLossUnit,
				isStopTrailing: false,
				useMarketOrders: true);
		}

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ProcessCandle)
			.Start();

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

	private Unit CreateStepUnit(decimal steps)
	{
		if (steps <= 0)
			return null;

		return new Unit(steps, UnitTypes.Absolute);
	}

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

		// no indicators to check

		if (Position != 0)
		{
			// Ignore new signals while a position is active and rebuild the sequences afterwards.
			ResetState();
			return;
		}

		var bodySize = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		if (candle.ClosePrice < candle.OpenPrice)
		{
			HandleBearishCandle(bodySize);
		}
		else if (candle.ClosePrice > candle.OpenPrice)
		{
			HandleBullishCandle(bodySize);
		}
		else
		{
			// Flat candles break both sequences because momentum stalled.
			ResetState();
		}
	}

	private void HandleBearishCandle(decimal bodySize)
	{
		ResetBullishSequence();

		if (bodySize <= 0)
		{
			ResetBearishSequence();
			return;
		}

		if (_bearishSequence == 0 || bodySize > _previousBearishBody)
		{
			// Body expanded compared to the previous bearish candle.
			_bearishSequence++;
		}
		else
		{
			// Restart the sequence when the body fails to expand.
			_bearishSequence = 1;
		}

		_previousBearishBody = bodySize;

		if (_bearishSequence >= SequenceLength)
		{
			// A string of expanding bearish candles hints a bullish reversal.
			BuyMarket();
			ResetBearishSequence();
		}
	}

	private void HandleBullishCandle(decimal bodySize)
	{
		ResetBearishSequence();

		if (bodySize <= 0)
		{
			ResetBullishSequence();
			return;
		}

		if (_bullishSequence == 0 || bodySize > _previousBullishBody)
		{
			// Body expanded compared to the previous bullish candle.
			_bullishSequence++;
		}
		else
		{
			// Restart the sequence when the body fails to expand.
			_bullishSequence = 1;
		}

		_previousBullishBody = bodySize;

		if (_bullishSequence >= SequenceLength)
		{
			// A string of expanding bullish candles hints a bearish reversal.
			SellMarket();
			ResetBullishSequence();
		}
	}

	private void ResetBearishSequence()
	{
		_bearishSequence = 0;
		_previousBearishBody = 0m;
	}

	private void ResetBullishSequence()
	{
		_bullishSequence = 0;
		_previousBullishBody = 0m;
	}

	private void ResetState()
	{
		ResetBearishSequence();
		ResetBullishSequence();
	}
}