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VarMovAvg 策略

概述

VarMovAvg 策略移植自 MetaTrader 4 专家顾问 VarMovAvg_v0011。策略通过自适应的可变均线（Variable Moving Average，VMA）来评估趋势，在出现两阶段的回踩形态（原程序称为 Bar A 与 Bar B）时执行反向建仓。当持有仓位时，系统使用移动平均线拖尾止损来保护盈利，并在出现相反方向的 Bar A/Bar B 序列时立即反手。

交易逻辑

  1. 自适应 VMA：自定义 VariableMovingAverage 指标复刻 MT4 版本的计算方式。
    • 效率比（Efficiency Ratio）比较当前收盘价与 AmaPeriod 根 K 之前的收盘价，再除以区间内的绝对价差之和。
    • 平滑系数在快慢周期之间插值，并按照 SmoothingPower（原参数 G）进行幂次放大。
  2. 信号判定（Bar A / Bar B）：多空各自维护独立的状态机。
    • Bar A：价格相对于 VMA 至少偏离 SignalPipsBarA 个点（pips）。
    • Bar B：价格继续在同方向延伸 SignalPipsBarB 个点，并记录极值。
    • 入场：当收盘价回到 SignalPipsTrade ± EntryPipsDiff 所定义的入场带，策略发送市价单建仓或反手。
  3. 拖尾止损与反手：持仓期间对多单使用低点均线、对空单使用高点均线，并结合 StopMaShift 与 StopPipsDiff 偏移。
    • 当蜡烛触及止损线即平仓。
    • 若在持仓状态下检测到相反方向的 Bar A/Bar B，策略将按 |Position| + Volume 的数量一次性发送反手市价单，与原 EA 行为保持一致。

参数对照

参数 说明 MT4 来源
AmaPeriod VMA 的窗口长度。 prm.vma.periodAMA
FastPeriod VMA 内部的快速平滑周期。 prm.vma.nfast
SlowPeriod VMA 内部的慢速平滑周期。 prm.vma.nslow
SmoothingPower 自适应系数的幂次（原始 G）。 prm.vma.G
SignalPipsBarA Bar A 对 VMA 的最小偏离。 prm.sig.pipsBarA
SignalPipsBarB Bar B 额外需要的偏移。 prm.sig.pipsBarB
SignalPipsTrade 从 Bar B 极值到入场线的偏移。 prm.sig.pipsTrade
EntryPipsDiff 入场带允许的误差范围。 prm.entry.diff
StopPipsDiff 拖尾均线外扩的距离。 prm.stop.diff
StopMaPeriod 拖尾均线周期。 prm.mastop.period
StopMaShift 拖尾均线回看（移位）根数。 prm.mastop.shift
StopMaMethod 均线方法（MODE_SMA/EMA/SMMA/LWMA）。 prm.mastop.method
CandleType 运行时间框架。 图表周期

点值换算：若 Security.PriceStep 已配置，所有 pip 参数都会自动乘以价格步长；否则按照价格单位直接计算，与 MT4 EA 的回退逻辑一致。

使用说明

  • 策略基于 SubscribeCandles，仅在蜡烛收盘时做出决策；入场带的设计模拟了原 EA 在逐笔行情上的触发条件。
  • 拖尾止损通过监控蜡烛高低点来触发市价平仓，等价于 EA 中不停修改的止损单。
  • StopMaShift 使用先进先出的缓存来取回历史均线值，确保 0 表示当前值，正数表示向前回看。
  • 每次交易结束后，多空两个状态机会立即复位，防止重复下单，等价于 MT4 中的 STATUS_TRADE 重置。

快速上手

  1. 将策略添加到 StockSharp 环境，并绑定具有正确 PriceStep 的交易品种。
  2. 通过 CandleType 设置时间框架（原 EA 常用于 M5 等分钟级别）。
  3. 根据实际报价精度调整各类 pip 距离及拖尾参数。
  4. 启动策略，系统会在检测到 Bar A/Bar B 序列时交替做多或做空。

与原 EA 的差异

  • 本移植版本基于收盘价运行，不再逐笔处理；入场带保持了触发时机的一致性。
  • 止损以程序化方式平仓，而非提交/修改 MT4 挂单，符合 StockSharp 常见的实现方式。
  • 在 C# 中直接实现了 VMA 指标并保留 SmoothingPower，同时移除了 MT4 源码中未使用的 dK 参数。
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>
/// Variable Moving Average (VarMovAvg) reversal strategy converted from the MetaTrader expert.
/// Tracks adaptive VMA swings and enters on the Bar A/Bar B breakout pattern.
/// </summary>
public class VarMovAvgStrategy : Strategy
{
	/// <summary>
	/// MetaTrader moving average methods supported by the stop calculation.
	/// </summary>
	public enum MovingAverageMethods
	{
		Simple,
		Exponential,
		Smoothed,
		Weighted
	}

	private readonly StrategyParam<int> _amaPeriod;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _smoothingPower;
	private readonly StrategyParam<decimal> _signalPipsBarA;
	private readonly StrategyParam<decimal> _signalPipsBarB;
	private readonly StrategyParam<decimal> _signalPipsTrade;
	private readonly StrategyParam<decimal> _entryPipsDiff;
	private readonly StrategyParam<decimal> _stopPipsDiff;
	private readonly StrategyParam<int> _stopMaPeriod;
	private readonly StrategyParam<int> _stopMaShift;
	private readonly StrategyParam<MovingAverageMethods> _stopMaMethod;
	private readonly StrategyParam<DataType> _candleType;

	private VariableMovingAverage _vma;
	private IIndicator _stopLowMa;
	private IIndicator _stopHighMa;
	private Queue<decimal> _lowMaValues;
	private Queue<decimal> _highMaValues;
	private SignalTracker _longSignal;
	private SignalTracker _shortSignal;

	/// <summary>
	/// VMA adaptive window length.
	/// </summary>
	public int AmaPeriod
	{
		get => _amaPeriod.Value;
		set => _amaPeriod.Value = value;
	}

	/// <summary>
	/// Fast smoothing period used inside the VMA efficiency ratio.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow smoothing period used inside the VMA efficiency ratio.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// Power applied to the smoothing coefficient (MetaTrader parameter G).
	/// </summary>
	public decimal SmoothingPower
	{
		get => _smoothingPower.Value;
		set => _smoothingPower.Value = value;
	}

	/// <summary>
	/// Distance in pips required for Bar A confirmation.
	/// </summary>
	public decimal SignalPipsBarA
	{
		get => _signalPipsBarA.Value;
		set => _signalPipsBarA.Value = value;
	}

	/// <summary>
	/// Additional distance in pips required for Bar B confirmation.
	/// </summary>
	public decimal SignalPipsBarB
	{
		get => _signalPipsBarB.Value;
		set => _signalPipsBarB.Value = value;
	}

	/// <summary>
	/// Offset in pips between the Bar B extreme and the actual entry line.
	/// </summary>
	public decimal SignalPipsTrade
	{
		get => _signalPipsTrade.Value;
		set => _signalPipsTrade.Value = value;
	}

	/// <summary>
	/// Width in pips accepted when price touches the entry line.
	/// </summary>
	public decimal EntryPipsDiff
	{
		get => _entryPipsDiff.Value;
		set => _entryPipsDiff.Value = value;
	}

	/// <summary>
	/// Offset in pips applied to the trailing stop moving average.
	/// </summary>
	public decimal StopPipsDiff
	{
		get => _stopPipsDiff.Value;
		set => _stopPipsDiff.Value = value;
	}

	/// <summary>
	/// Period of the trailing stop moving average.
	/// </summary>
	public int StopMaPeriod
	{
		get => _stopMaPeriod.Value;
		set => _stopMaPeriod.Value = value;
	}

	/// <summary>
	/// Shift (in bars) applied to the trailing stop moving average.
	/// </summary>
	public int StopMaShift
	{
		get => _stopMaShift.Value;
		set => _stopMaShift.Value = value;
	}

	/// <summary>
	/// Moving average method used for trailing stop calculation.
	/// </summary>
	public MovingAverageMethods StopMaMethod
	{
		get => _stopMaMethod.Value;
		set => _stopMaMethod.Value = value;
	}

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

	/// <summary>
	/// Initializes the VarMovAvg strategy.
	/// </summary>
	public VarMovAvgStrategy()
	{
		_amaPeriod = Param(nameof(AmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("VMA Length", "Adaptive moving average period", "Indicators")
			
			.SetOptimize(20, 120, 10);

		_fastPeriod = Param(nameof(FastPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast smoothing period for VMA", "Indicators")
			
			.SetOptimize(2, 15, 1);

		_slowPeriod = Param(nameof(SlowPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow smoothing period for VMA", "Indicators")
			
			.SetOptimize(15, 60, 5);

		_smoothingPower = Param(nameof(SmoothingPower), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Smoothing Power", "Exponent applied to the smoothing coefficient", "Indicators");

		_signalPipsBarA = Param(nameof(SignalPipsBarA), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Bar A Distance", "Pips distance below/above VMA for Bar A", "Signals");

		_signalPipsBarB = Param(nameof(SignalPipsBarB), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Bar B Distance", "Extra pips distance for Bar B confirmation", "Signals");

		_signalPipsTrade = Param(nameof(SignalPipsTrade), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Entry Offset", "Pips offset from Bar B extreme to entry", "Signals");

		_entryPipsDiff = Param(nameof(EntryPipsDiff), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Entry Band", "Accepted pips range around the entry price", "Signals");

		_stopPipsDiff = Param(nameof(StopPipsDiff), 34m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Offset", "Pips offset from the trailing moving average", "Risk");

		_stopMaPeriod = Param(nameof(StopMaPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Stop MA Period", "Period of the trailing moving average", "Risk");

		_stopMaShift = Param(nameof(StopMaShift), 0)
			.SetNotNegative()
			.SetDisplay("Stop MA Shift", "Bars shift applied to the stop moving average", "Risk");

		_stopMaMethod = Param(nameof(StopMaMethod), MovingAverageMethods.Exponential)
			.SetDisplay("Stop MA Method", "Moving average type used for stops", "Risk");

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

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

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

		_vma = null;
		_stopLowMa = null;
		_stopHighMa = null;
		_lowMaValues = null;
		_highMaValues = null;
		_longSignal = null;
		_shortSignal = null;
	}

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

		StartProtection(null, null);

		_vma = new VariableMovingAverage
		{
			Length = AmaPeriod,
			FastPeriod = FastPeriod,
			SlowPeriod = SlowPeriod,
			SmoothingPower = SmoothingPower
		};

		_stopLowMa = CreateMovingAverage(StopMaMethod, StopMaPeriod);
		_stopHighMa = CreateMovingAverage(StopMaMethod, StopMaPeriod);

		_lowMaValues = new Queue<decimal>();
		_highMaValues = new Queue<decimal>();
		_longSignal = new SignalTracker(true);
		_shortSignal = new SignalTracker(false);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

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

		if (_vma is null || _stopLowMa is null || _stopHighMa is null || _lowMaValues is null || _highMaValues is null || _longSignal is null || _shortSignal is null)
			return;

		var time = candle.CloseTime;
		var vmaResult = _vma.Process(new DecimalIndicatorValue(_vma, candle.ClosePrice, time) { IsFinal = true });
		if (vmaResult.IsEmpty) return;
		var vmaValue = vmaResult.GetValue<decimal>();
		var lowMaResult = _stopLowMa.Process(new DecimalIndicatorValue(_stopLowMa, candle.LowPrice, time) { IsFinal = true });
		if (lowMaResult.IsEmpty) return;
		var lowMaRaw = lowMaResult.GetValue<decimal>();
		var highMaResult = _stopHighMa.Process(new DecimalIndicatorValue(_stopHighMa, candle.HighPrice, time) { IsFinal = true });
		if (highMaResult.IsEmpty) return;
		var highMaRaw = highMaResult.GetValue<decimal>();

		var lowMa = GetShiftedValue(_lowMaValues, lowMaRaw, StopMaShift);
		var highMa = GetShiftedValue(_highMaValues, highMaRaw, StopMaShift);

		var barADistance = ToPriceDistance(SignalPipsBarA);
		var barBDistance = ToPriceDistance(SignalPipsBarB);
		var tradeOffset = ToPriceDistance(SignalPipsTrade);
		var entryBand = ToPriceDistance(EntryPipsDiff);
		var stopOffset = ToPriceDistance(StopPipsDiff);

		_longSignal.Update(candle, vmaValue, barADistance, barBDistance, tradeOffset);
		_shortSignal.Update(candle, vmaValue, barADistance, barBDistance, tradeOffset);

		if (Position == 0)
		{
			if (Volume > 0 && _longSignal.TryEnter(candle, entryBand))
			{
				BuyMarket();
				AfterEntry();
			}
			else if (Volume > 0 && _shortSignal.TryEnter(candle, entryBand))
			{
				SellMarket();
				AfterEntry();
			}
			return;
		}

		if (Position > 0)
		{
			if (Volume > 0 && _shortSignal.TryEnter(candle, entryBand))
			{
				var volumeToSell = Position + Volume;
				if (volumeToSell > 0)
					SellMarket(volumeToSell);
				AfterEntry();
				return;
			}

			var stopPrice = lowMa - stopOffset;
			if (stopPrice > 0m && candle.LowPrice <= stopPrice)
			{
				SellMarket();
				AfterExit();
			}
		}
		else
		{
			if (Volume > 0 && _longSignal.TryEnter(candle, entryBand))
			{
				var volumeToBuy = Math.Abs(Position) + Volume;
				if (volumeToBuy > 0)
					BuyMarket(volumeToBuy);
				AfterEntry();
				return;
			}

			var stopPrice = highMa + stopOffset;
			if (stopPrice > 0m && candle.HighPrice >= stopPrice)
			{
				BuyMarket();
				AfterExit();
			}
		}
	}

	private void AfterEntry()
	{
		_longSignal.Reset();
		_shortSignal.Reset();
	}

	private void AfterExit()
	{
		_longSignal.Reset();
		_shortSignal.Reset();
	}

	private decimal ToPriceDistance(decimal pips)
	{
		var step = Security?.PriceStep ?? 0m;
		return step > 0m ? pips * step : pips;
	}

	private static decimal GetShiftedValue(Queue<decimal> buffer, decimal value, int shift)
	{
		buffer.Enqueue(value);

		var maxCount = Math.Max(1, shift + 1);
		while (buffer.Count > maxCount)
			buffer.Dequeue();

		var index = buffer.Count - 1 - Math.Min(shift, buffer.Count - 1);
		var current = 0;
		foreach (var item in buffer)
		{
			if (current == index)
				return item;
			current++;
		}

		return value;
	}

	private static IIndicator CreateMovingAverage(MovingAverageMethods method, int length)
	{
		return method switch
		{
			MovingAverageMethods.Simple => new SimpleMovingAverage { Length = length },
			MovingAverageMethods.Smoothed => new SmoothedMovingAverage { Length = length },
			MovingAverageMethods.Weighted => new WeightedMovingAverage { Length = length },
			_ => new ExponentialMovingAverage { Length = length }
		};
	}

	private sealed class SignalTracker
	{
		private enum SignalStates
		{
			Neutral,
			BarA,
			BarB
		}

		private readonly bool _isLong;
		private SignalStates _state = SignalStates.Neutral;
		private decimal _barAReference;
		private decimal _entryPrice;

		public SignalTracker(bool isLong)
		{
			_isLong = isLong;
		}

		public void Reset()
		{
			_state = SignalStates.Neutral;
			_barAReference = 0m;
			_entryPrice = 0m;
		}

		public void Update(ICandleMessage candle, decimal vma, decimal barAOffset, decimal barBOffset, decimal tradeOffset)
		{
			var close = candle.ClosePrice;
			var high = candle.HighPrice;
			var low = candle.LowPrice;

			if (_isLong)
			{
				if (close <= vma - barAOffset)
				{
					Reset();
					return;
				}

				switch (_state)
				{
					case SignalStates.Neutral:
						if (close >= vma + barAOffset)
						{
							_state = SignalStates.BarA;
							_barAReference = close;
						}
						break;
					case SignalStates.BarA:
						if (close <= vma - barAOffset)
						{
							Reset();
							return;
						}

						if (close >= _barAReference + barBOffset)
						{
							_state = SignalStates.BarB;
							_entryPrice = high + tradeOffset;
						}
						break;
					case SignalStates.BarB:
						if (close <= vma - barAOffset)
							Reset();
						break;
				}
			}
			else
			{
				if (close >= vma + barAOffset)
				{
					Reset();
					return;
				}

				switch (_state)
				{
					case SignalStates.Neutral:
						if (close <= vma - barAOffset)
						{
							_state = SignalStates.BarA;
							_barAReference = close;
						}
						break;
					case SignalStates.BarA:
						if (close >= vma + barAOffset)
						{
							Reset();
							return;
						}

						if (close <= _barAReference - barBOffset)
						{
							_state = SignalStates.BarB;
							_entryPrice = low - tradeOffset;
						}
						break;
					case SignalStates.BarB:
						if (close >= vma + barAOffset)
							Reset();
						break;
				}
			}
		}

		public bool TryEnter(ICandleMessage candle, decimal entryBand)
		{
			if (_state != SignalStates.BarB)
				return false;

			var close = candle.ClosePrice;

			if (_isLong)
			{
				var upper = _entryPrice + entryBand;
				if (close >= _entryPrice && close <= upper)
				{
					Reset();
					return true;
				}
			}
			else
			{
				var lower = _entryPrice - entryBand;
				if (close <= _entryPrice && close >= lower)
				{
					Reset();
					return true;
				}
			}

			return false;
		}
	}

	private sealed class VariableMovingAverage : DecimalLengthIndicator
	{
		private readonly Queue<decimal> _closes = new();
		private decimal? _previousAma;

		public int FastPeriod { get; set; } = 5;
		public int SlowPeriod { get; set; } = 20;
		public decimal SmoothingPower { get; set; } = 1m;

		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			var value = input.GetValue<decimal>();
			_closes.Enqueue(value);

			var required = Math.Max(2, Length + 1);
			while (_closes.Count > required)
				_closes.Dequeue();

			if (_previousAma == null)
				_previousAma = value;

			var closeCount = _closes.Count;
			if (closeCount < 2)
				return new DecimalIndicatorValue(this, value, input.Time);

			var effectiveLength = Math.Min(Length, closeCount - 1);
			var closes = _closes.ToArray();
			var newestIndex = closes.Length - 1;
			var baseIndex = newestIndex - effectiveLength;
			if (baseIndex < 0)
				baseIndex = 0;

			var newest = closes[newestIndex];
			var oldest = closes[baseIndex];
			var signal = Math.Abs(newest - oldest);

			decimal noise = 0.000000001m;
			for (var i = baseIndex; i < newestIndex; i++)
				noise += Math.Abs(closes[i + 1] - closes[i]);

			var efficiency = noise != 0m ? signal / noise : 0m;
			var slowSc = 2m / (SlowPeriod + 1m);
			var fastSc = 2m / (FastPeriod + 1m);
			var smoothing = slowSc + efficiency * (fastSc - slowSc);
			var smoothingFactor = smoothing > 0m ? (decimal)Math.Pow((double)smoothing, (double)SmoothingPower) : 0m;

			var amaPrev = _previousAma ?? oldest;
			var ama = amaPrev + smoothingFactor * (value - amaPrev);
			_previousAma = ama;
			IsFormed = closeCount >= required;

			return new DecimalIndicatorValue(this, ama, input.Time);
		}

		public override void Reset()
		{
			base.Reset();
			_closes.Clear();
			_previousAma = null;
		}
	}
}