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Lucky Code 策略

Lucky Code 源自 MetaTrader 的「Lucky_code」专家顾问，是一套超短线突破型剥头皮策略。它实时监控买卖价差的极值，当最优卖价相对上一笔报价跃升、或最优买价下挫超过设定的点数距离时立即出手。策略的持仓管理非常激进：行情一旦朝有利方向跳动就平仓锁定利润，若出现超过阈值的不利波动则立即止损。

数据与执行

  • 市场数据：需要 Level 1 报价流以获取最新的最优买价和卖价。
  • 委托类型：所有进出场均使用市价单，完整复刻 MQL 版本的逐笔执行方式。
  • 持仓模式：兼容净额和锁仓账户。多笔成交会合并为单一净持仓并按整体处理。

参数

  • Shift points – 连续两笔报价之间触发交易所需的最小点数差。数值越大，交易频率越低，噪声过滤越强。
  • Limit points – 容许的最大不利点数。一旦亏损幅度超过该数值，仓位将被强制平掉。该参数会根据标的的最小价位单位转换为实际价格距离。

交易逻辑

  1. 初始化
    • 使用品种的最小变动价位将点数参数换算成真实价格距离。
    • 订阅 Level 1 数据，并清空内部记录的上一笔买、卖价。
  2. 入场规则
    • 当最优卖价相较前一笔报价上跳至少指定点数时，策略建立空头仓位（与原版 EA 在上冲后做空的逻辑一致）。
    • 当最优买价较前一笔报价下挫达到同样的点数时，策略建立多头仓位，博取反弹。
  3. 仓位大小
    • 以策略的 Volume 属性作为默认下单数量。
    • 如果能够获取到投资组合市值，会将数量调整为 round(Equity / 10,000, 1) 手，以模拟 MetaTrader 中 AccountFreeMargin/10000 的头寸分配。
  4. 出场规则
    • 多头仓位在买价高于平均建仓价时立即平仓；若卖价跌破建仓价达到限额，也会强制止损。
    • 空头仓位在卖价低于建仓价时立即平仓；若买价上穿建仓价达到限额，则触发止损。

实践提示

  • 策略对每一次报价变动都做出响应，实盘时可适当增大 Shift 参数或对高噪声行情做节流处理。
    • 使用市价单意味着需要较好的流动性，以避免行情剧烈波动时的滑点风险。
  • 建议结合额外的组合风险管理（如日内止损、最大回撤限制、持仓数量上限）共同使用。
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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Momentum strategy that opens trades when candle price jumps reach a configurable distance and manages exits with profit and drawdown filters.
/// </summary>
public class LuckyCodeStrategy : Strategy
{
	private readonly StrategyParam<int> _shiftPoints;
	private readonly StrategyParam<int> _limitPoints;

	private decimal? _previousClose;
	private decimal _shiftThreshold;
	private decimal _limitThreshold;
	private decimal _entryPrice;
	private bool _thresholdsReady;
	private int _holdBars;

	/// <summary>
	/// Minimum price movement in points required before opening a new trade.
	/// </summary>
	public int ShiftPoints
	{
		get => _shiftPoints.Value;
		set => _shiftPoints.Value = value;
	}

	/// <summary>
	/// Maximum adverse excursion in points tolerated before forcing an exit.
	/// </summary>
	public int LimitPoints
	{
		get => _limitPoints.Value;
		set => _limitPoints.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public LuckyCodeStrategy()
	{
		_shiftPoints = Param(nameof(ShiftPoints), 3)
			.SetGreaterThanZero()
			.SetDisplay("Shift points", "Minimum price jump required to trigger entries", "Trading")

			.SetOptimize(1, 20, 1);

		_limitPoints = Param(nameof(LimitPoints), 18)
			.SetGreaterThanZero()
			.SetDisplay("Limit points", "Maximum number of points allowed against the position", "Risk management")

			.SetOptimize(5, 100, 5);
	}

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

		_previousClose = null;
		_shiftThreshold = 0m;
		_limitThreshold = 0m;
		_entryPrice = 0m;
		_thresholdsReady = false;
		_holdBars = 0;
	}

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

		// Subscribe to candles and process each finished candle.
		var tf = TimeSpan.FromMinutes(5).TimeFrame();

		SubscribeCandles(tf)
			.Bind(ProcessCandle)
			.Start();
	}

	private void EnsureThresholds(decimal price)
	{
		if (_thresholdsReady)
			return;

		if (price <= 0m)
			return;

		// Use percentage of price. ShiftPoints=3 means 3% shift, LimitPoints=18 means 18% limit.
		_shiftThreshold = price * ShiftPoints * 0.01m;
		_limitThreshold = price * LimitPoints * 0.01m;
		_thresholdsReady = true;
	}

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

		var close = candle.ClosePrice;

		EnsureThresholds(close);

		if (!_thresholdsReady)
			return;

		// Count hold bars for position management.
		if (Position != 0)
			_holdBars++;

		if (_previousClose is decimal prevClose)
		{
			var delta = close - prevClose;

			// Only enter if flat.
			if (Position == 0)
			{
				// Price dropped sharply -> buy on expected rebound.
				if (-delta >= _shiftThreshold)
				{
					BuyMarket();
					_entryPrice = close;
					_holdBars = 0;
					LogInfo($"Buy triggered by fast price drop. Price={close:0.#####}");
				}
				// Price rose sharply -> sell on expected reversal.
				else if (delta >= _shiftThreshold)
				{
					SellMarket();
					_entryPrice = close;
					_holdBars = 0;
					LogInfo($"Sell triggered by fast price rise. Price={close:0.#####}");
				}
			}
		}

		_previousClose = close;

		TryClosePosition(close);
	}

	private void TryClosePosition(decimal currentPrice)
	{
		if (Position == 0)
			return;

		var avgPrice = _entryPrice;

		if (avgPrice <= 0m)
			return;

		// Minimum hold of 3 bars before checking exit.
		if (_holdBars < 3)
			return;

		// Use half of shift threshold as profit target.
		var profitTarget = _shiftThreshold * 0.5m;

		if (Position > 0)
		{
			// Close long on profit target or drawdown limit.
			if (currentPrice - avgPrice >= profitTarget)
			{
				SellMarket();
				_holdBars = 0;
				LogInfo($"Closed long on profit. Price={currentPrice:0.#####}");
			}
			else if (_limitThreshold > 0m && avgPrice - currentPrice >= _limitThreshold)
			{
				SellMarket();
				_holdBars = 0;
				LogInfo($"Closed long on drawdown limit. Price={currentPrice:0.#####}");
			}
		}
		else if (Position < 0)
		{
			// Close short on profit target or drawdown limit.
			if (avgPrice - currentPrice >= profitTarget)
			{
				BuyMarket();
				_holdBars = 0;
				LogInfo($"Closed short on profit. Price={currentPrice:0.#####}");
			}
			else if (_limitThreshold > 0m && currentPrice - avgPrice >= _limitThreshold)
			{
				BuyMarket();
				_holdBars = 0;
				LogInfo($"Closed short on drawdown limit. Price={currentPrice:0.#####}");
			}
		}
	}
}