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AK47 A1

移植自 MetaTrader 专家顾问“AK47_A1”。策略通过比尔·威廉姆斯的鳄鱼指标、DeMarker 振荡器、威廉指标以及分形信号，在市场脱离盘整时才参与交易。

细节

  • 数据：使用 CandleType 指定的价格蜡烛。
  • 指标：
    • 鳄鱼的下颚/牙齿/嘴唇分别为 13/8/5 周期的平滑均线，向前平移 8/5/3 个柱子，并使用中价计算。
    • DeMarker（周期 13）在多头信号时需 ≥ 0.5，空头信号时需 ≤ 0.5。
    • Williams %R（周期 14）被归一化到 [0,1]，上一根柱子必须处于 0.25 与 0.75 之间以避免过度买入或卖出。
    • 分形从最近 5 个高低点中识别，信号在 3 根柱子内有效。
  • 入场条件：
    • 鳄鱼三条线之间的距离都至少达到 SpanGatorPoints 点数（无论方向）。
    • 做多：最新的下方分形仍有效，DeMarker ≥ 0.5，并且 Williams %R 过滤器允许交易。
    • 做空：最新的上方分形仍有效，DeMarker ≤ 0.5，并且 Williams %R 过滤器允许交易。
    • 开新仓前会平掉相反方向的持仓。
  • 出场条件：
    • 根据 StopLossPoints 与 TakeProfitPoints（通过合约最小步长转换成价格）设置的固定止损与止盈。
    • 可选的 TrailingStopPoints 点跟踪止损，当行情向有利方向发展时沿收盘价移动。
    • 出现反向信号时，先平掉当前仓位再开新仓。
  • 默认参数：
    • SpanGatorPoints = 0.5
    • TakeProfitPoints = 100
    • StopLossPoints = 0（关闭）
    • TrailingStopPoints = 50
    • CandleType = 1 小时蜡烛
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>
/// AK47 A1 strategy - Alligator-like triple SMA crossover.
/// Buys when fast SMA crosses above medium and medium is above slow.
/// Sells when fast SMA crosses below medium and medium is below slow.
/// </summary>
public class AK47A1Strategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _medPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevMed;
	private bool _hasPrev;

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

	public AK47A1Strategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 5)
			.SetDisplay("Fast SMA", "Lips period", "Indicators");

		_medPeriod = Param(nameof(MedPeriod), 8)
			.SetDisplay("Medium SMA", "Teeth period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 13)
			.SetDisplay("Slow SMA", "Jaw period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).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; _prevMed = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var fast = new SimpleMovingAverage { Length = FastPeriod };
		var med = new SimpleMovingAverage { Length = MedPeriod };
		var slow = new SimpleMovingAverage { Length = SlowPeriod };

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

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

		if (!_hasPrev)
		{
			_prevFast = fast;
			_prevMed = med;
			_hasPrev = true;
			return;
		}

		if (_prevFast <= _prevMed && fast > med && med > slow && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (_prevFast >= _prevMed && fast < med && med < slow && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevFast = fast;
		_prevMed = med;
	}
}