中文 ZH
在 GitHub 上查看

CCI MA v1.5 策略

该策略将 MetaTrader 中的 “CCI_MA v1.5” 智能交易系统迁移到 StockSharp 的高层 API。原始版本等待商品通道指数（CCI）与基于自身数值的简单移动平均线产生交叉，并借助第二个 CCI 监控 ±100 附近的超买/超卖回撤。移植后的实现保留了相同的信号顺序、可选的资金管理以及以点为单位的止损/止盈规则，并通过蜡烛订阅与指标绑定完成计算。

工作原理

  • 数据来源 – 用户可以配置任意蜡烛序列（默认 15 分钟）。两个 CCI 都使用蜡烛的收盘价，复现 MetaTrader 中的 PRICE_CLOSE 选项。
  • 核心指标 – 主 CommodityChannelIndex（参数 CciPeriod）衡量动量。长度为 MaPeriod 的 SimpleMovingAverage 作用于 CCI 序列，得到信号线。第二个 CCI（SignalCciPeriod）监控 ±100 区域的离场条件。
  • 开仓逻辑 – 向上交叉后的下一根蜡烛触发买入：上一根已完成蜡烛的 CCI 必须高于其 SMA，而再往前一根蜡烛的 CCI 位于 SMA 之下。做空逻辑与之对称。若当前持有反向仓位，策略会在下单时加上其绝对数量，实现与 MQL 版本一致的反手行为。
  • 平仓逻辑 – 多头在监控 CCI 从 +100 上方跌破 +100，或主 CCI 从上向下穿越其 SMA（同样基于前两根已完成蜡烛）时退出。空头条件相反。保护性止损与止盈按照 MetaTrader 的点数规则实现：策略根据交易品种的 PriceStep 计算点值（对于三位或五位报价乘以 10），并在每根完成的蜡烛上比较最高/最低价是否触及 入场价 ± 距离。
  • 仓位规模 – LotVolume 指定基础下单量。当 UseMoneyManagement 为真时，策略将其乘以 floor(balance / DepositPerLot)，并受 MaxMultiplier 限制，完整复刻原程序的资金阶梯。提交订单前会将数量与交易所的 VolumeStep、MinVolume 和 MaxVolume 约束对齐。

参数

  • Candle Type – 指定用于计算指标的蜡烛数据类型。
  • CCI Period – 主 CCI 的周期长度。
  • Exit CCI Period – 监控 ±100 阀值的辅助 CCI 周期。
  • CCI MA Period – 作用于主 CCI 的简单移动平均线周期。
  • Lot Volume – 资金管理前的基础下单量。
  • Enable Money Management – 是否开启基于账户余额的仓位扩展。
  • Deposit Per Lot – 每增加一手所需的余额增量（仅在启用资金管理时使用）。
  • Max Multiplier – 资金管理可达到的最大倍数。
  • Stop Loss (pips) – 以点为单位的止损距离（0 表示关闭）。
  • Take Profit (pips) – 以点为单位的止盈距离（0 表示关闭）。

策略会在至少收集到两根完整蜡烛后才开始交易，以便完全复现 MQL 中基于前两根蜡烛的比较逻辑。止损与止盈检查在每根已完成蜡烛上执行，并利用其最高价/最低价来近似 MetaTrader 服务器端的保护性订单，同时保持在 StockSharp 高层 API 范围内运行。

namespace StockSharp.Samples.Strategies;

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;

/// <summary>
/// Commodity Channel Index strategy converted from the MetaTrader "CCI_MA v1.5" expert advisor.
/// Uses a primary CCI with a manually computed SMA of CCI values as a signal line.
/// A secondary CCI provides overbought/oversold exit confirmation.
/// </summary>
public class CciMaV15Strategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _signalCciPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _candleType;

	private CommodityChannelIndex _cci;
	private CommodityChannelIndex _signalCci;

	private readonly List<decimal> _cciHistory = new();
	private decimal? _prevCciMa;
	private decimal? _prevCci;
	private decimal? _prevSignalCci;

	/// <summary>
	/// Primary CCI period.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// Secondary CCI period for exit signals.
	/// </summary>
	public int SignalCciPeriod
	{
		get => _signalCciPeriod.Value;
		set => _signalCciPeriod.Value = value;
	}

	/// <summary>
	/// SMA period applied to the primary CCI values.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Stop loss distance in absolute points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take profit distance in absolute points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public CciMaV15Strategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Length of the primary CCI", "CCI")
			.SetOptimize(7, 35, 7);

		_signalCciPeriod = Param(nameof(SignalCciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Exit CCI Period", "Length of the secondary CCI", "CCI")
			.SetOptimize(7, 35, 7);

		_maPeriod = Param(nameof(MaPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("CCI MA Period", "SMA length applied to the CCI", "CCI")
			.SetOptimize(3, 21, 3);

		_stopLossPoints = Param(nameof(StopLossPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Protective stop distance in absolute points", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Profit target distance in absolute points", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Market data series", "General");

		Volume = 1;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cci = null;
		_signalCci = null;
		_cciHistory.Clear();
		_prevCciMa = null;
		_prevCci = null;
		_prevSignalCci = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_cci = new CommodityChannelIndex { Length = CciPeriod };
		_signalCci = new CommodityChannelIndex { Length = SignalCciPeriod };

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

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

			var indArea = CreateChartArea();
			if (indArea != null)
			{
				DrawIndicator(indArea, _cci);
				DrawIndicator(indArea, _signalCci);
			}
		}

		var tp = TakeProfitPoints > 0 ? new Unit(TakeProfitPoints, UnitTypes.Absolute) : null;
		var sl = StopLossPoints > 0 ? new Unit(StopLossPoints, UnitTypes.Absolute) : null;
		if (tp != null || sl != null)
			StartProtection(tp, sl);

		base.OnStarted2(time);
	}

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

		// Maintain CCI history for manual SMA calculation
		_cciHistory.Add(cciValue);
		if (_cciHistory.Count > MaPeriod)
			_cciHistory.RemoveAt(0);

		// Compute SMA of CCI
		decimal? cciMa = null;
		if (_cciHistory.Count >= MaPeriod)
		{
			decimal sum = 0;
			for (int i = 0; i < _cciHistory.Count; i++)
				sum += _cciHistory[i];
			cciMa = sum / _cciHistory.Count;
		}

		if (cciMa == null || _prevCci == null || _prevCciMa == null || _prevSignalCci == null)
		{
			_prevCci = cciValue;
			_prevCciMa = cciMa;
			_prevSignalCci = signalCciValue;
			return;
		}

		// Exit logic: secondary CCI overbought/oversold reversal
		if (Position > 0 && _prevSignalCci > 100 && signalCciValue <= 100)
		{
			SellMarket(Position);
		}
		else if (Position < 0 && _prevSignalCci < -100 && signalCciValue >= -100)
		{
			BuyMarket(Math.Abs(Position));
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevCci = cciValue;
			_prevCciMa = cciMa;
			_prevSignalCci = signalCciValue;
			return;
		}

		// Entry: CCI crosses above its MA (buy) or below (sell)
		if (_prevCci < _prevCciMa && cciValue > cciMa.Value && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
		}
		else if (_prevCci > _prevCciMa && cciValue < cciMa.Value && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Position);
			SellMarket(Volume);
		}

		_prevCci = cciValue;
		_prevCciMa = cciMa;
		_prevSignalCci = signalCciValue;
	}
}