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EMA回调策略

概述

EMA回调策略是MetaTrader "Ema" 专家顾问的高层移植版本。策略在设定的K线周期（默认5分钟）上计算5周期与10周期的指数移动平均线（EMA），使用中价 (最高价 + 最低价) / 2 作为输入。当出现快慢EMA金叉或死叉后，策略等待价格回撤到前一根K线的极值附近再入场，并在持仓后应用固定的止盈和止损距离。

交易逻辑

  1. 订阅配置的K线数据并基于中价更新两条EMA。
  2. 当快线从下向上穿越慢线时记录看多信号；当快线从上向下穿越慢线时记录看空信号。
  3. 交叉出现后进入等待模式：
    • 多头：要求快EMA至少领先慢EMA两个价格点，同时收盘价回撤到上一根K线最高价减去 MoveBackPoints 转换后的距离。
    • 空头：要求慢EMA至少领先快EMA两个价格点，同时收盘价回调到上一根K线最低价加上 MoveBackPoints 转换后的距离。
  4. 条件满足时按照 TradeVolume 发送市价单建立仓位。
  5. 建仓后根据 TakeProfitPoints 与 StopLossPoints 将点数距离转换成绝对价格，设置静态止盈和止损水平。
  6. 每根完整K线检查一次，若最高价或最低价触及止盈/止损水平则立即平仓。

参数

参数 默认值 说明
TradeVolume 0.1 每次下单使用的交易量。
FastLength 5 快速EMA的周期。
SlowLength 10 慢速EMA的周期。
MoveBackPoints 3 入场所需的回撤距离（价格点），相对上一根K线的极值计算。
TakeProfitPoints 5 止盈距离（价格点）。
StopLossPoints 20 止损距离（价格点）。
CandleType 5m 指标与信号使用的K线周期。

说明

  • 仅处理 Finished 状态的K线，避免尚未收盘的数据导致假信号。
  • 启动时自动将策略的 Volume 属性同步到 TradeVolume 参数。
  • 点值转换依赖标的物的 PriceStep，请确保交易品种设置正确。
  • 策略同一时间只保持一个净头寸，平仓后需要新的EMA交叉信号才能再次触发。
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EMA Pullback strategy - fast/slow EMA crossover with pullback entry.
/// After a bullish crossover, waits for a pullback to fast EMA to enter long.
/// After a bearish crossover, waits for a pullback to fast EMA to enter short.
/// </summary>
public class EmaPullbackStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _prevClose;
	private bool _hasPrev;
	private bool _bullishCross;
	private bool _bearishCross;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public EmaPullbackStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 8)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevFast = 0m; _prevSlow = 0m; _prevClose = 0m; _hasPrev = false; _bullishCross = false; _bearishCross = false; }

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_hasPrev = false;
		_bullishCross = false;
		_bearishCross = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_prevClose = close;
			_hasPrev = true;
			return;
		}

		// Detect crossovers
		if (_prevFast <= _prevSlow && fast > slow)
		{
			_bullishCross = true;
			_bearishCross = false;
		}
		else if (_prevFast >= _prevSlow && fast < slow)
		{
			_bearishCross = true;
			_bullishCross = false;
		}

		// Pullback entry: after bullish cross, wait for close to touch fast EMA
		if (_bullishCross && fast > slow && _prevClose > _prevFast && close <= fast && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_bullishCross = false;
		}
		// Pullback entry: after bearish cross, wait for close to touch fast EMA
		else if (_bearishCross && fast < slow && _prevClose < _prevFast && close >= fast && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_bearishCross = false;
		}
		// Exit on opposite crossover
		else if (Position > 0 && fast < slow)
		{
			SellMarket();
		}
		else if (Position < 0 && fast > slow)
		{
			BuyMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
		_prevClose = close;
	}
}