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Awesome Fx Trader

该策略复刻了 MQL/8539 中的 MetaTrader 方案，原始文件包括自定义指标 AwesomeFxTradera.mq4 与 t_ma.mq4。前者通过比较当前值与上一根柱体来给 Bill Williams Awesome Oscillator 柱状体着色，后者则在图表上绘制 34 周期的线性加权移动平均线（LWMA）及其 6 周期简单移动平均线平滑曲线。移植到 StockSharp 后，我们保持相同的计算方式，并把颜色变化转换成交易信号。

原始 MQL 逻辑

  1. AwesomeFxTradera.mq4 对 开盘价 分别计算 8 周期与 13 周期的指数移动平均线，它们的差值存入 ExtBuffer0。当当前值高于上一根柱体时缓冲区显示为绿色，低于则显示为红色，用来表示动量是否在加强。
  2. t_ma.mq4 绘制开盘价的 34 周期 LWMA（ExtMapBuffer1），同时对该 LWMA 的数值再做 6 周期简单平均（ExtMapBuffer2）以获得平滑曲线，判断趋势是否加速或减速。

因此在 MetaTrader 中，当振荡器位于零轴之上且数值持续上升、同时价格运行在平滑 LWMA 之上时就被视为多头动量；反之则是空头动量。

StockSharp 实现

AwesomeFxTraderStrategy 订阅可配置的 K 线类型（默认 15 分钟），并使用蜡烛的开盘价驱动所有指标，以保持与原始缓冲区完全一致。

  1. 每根已完成的蜡烛都会重新计算快慢 EMA，其差值还原出振荡柱状体。
  2. 34 周期 LWMA 追踪趋势，6 周期 SMA 对 LWMA 进行平滑，比较两者可以判断趋势曲线的方向。
  3. 通过比较当前与上一根柱子的振荡值，重建 MQL 中的 bool up 颜色逻辑。
  4. 入场规则：
    • 当振荡器为正值、当前柱体高于上一柱体且 LWMA 位于平滑线上方时开多。
    • 当振荡器为负值、当前柱体低于上一柱体且 LWMA 位于平滑线下方时开空。
  5. 离场/反手规则：出现相反信号时直接反转仓位。下单数量会自动加上当前仓位的绝对值，以确保先平掉旧仓再建立新方向。

原始代码未定义额外的止损或止盈，因此此版本完全依赖动量翻转离场。日志会记录每次触发交易时的指标读数。

参数

名称 默认值 说明
FastEmaPeriod 8 复制振荡器所用的快 EMA 周期。
SlowEmaPeriod 13 振荡器所用的慢 EMA 周期。
TrendLwmaPeriod 34 取自 t_ma.mq4 的趋势 LWMA 周期。
TrendSmoothingPeriod 6 对 LWMA 数值做平滑的 SMA 窗口长度。
CandleType 15 分钟 K 线 用于所有计算的蜡烛数据类型。

所有参数均通过 StrategyParam 提供显示名称、优化区间，便于在界面中调整或回测。

文件映射

MetaTrader 文件 StockSharp 对应文件 备注
MQL/8539/AwesomeFxTradera.mq4 CS/AwesomeFxTraderStrategy.cs 复刻基于开盘价的双 EMA 振荡器及其颜色判定。
MQL/8539/t_ma.mq4 CS/AwesomeFxTraderStrategy.cs 实现 34 周期 LWMA 与 6 周期 SMA 平滑的趋势过滤器。

按需求未创建 Python 版本。

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>
/// Awesome Fx Trader strategy.
/// Recreates the MetaTrader logic that paints the Awesome Oscillator histogram and trend moving averages.
/// Goes long when the oscillator turns bullish while the linear weighted average stays above its smoother.
/// Opens shorts on the opposite momentum and trend alignment.
/// </summary>
public class AwesomeFxTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _trendLwmaPeriod;
	private readonly StrategyParam<int> _trendSmoothingPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private EMA _fastEma;
	private EMA _slowEma;
	private WeightedMovingAverage _trendLwma;

	private decimal _previousAo;
	private bool _hasPreviousAo;
	private bool _isAoIncreasing;
	private decimal _previousLwma;

	/// <summary>
	/// Period for the fast EMA used in the oscillator.
	/// </summary>
	public int FastEmaPeriod
	{
		get => _fastEmaPeriod.Value;
		set => _fastEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period for the slow EMA used in the oscillator.
	/// </summary>
	public int SlowEmaPeriod
	{
		get => _slowEmaPeriod.Value;
		set => _slowEmaPeriod.Value = value;
	}

	/// <summary>
	/// Length of the trend linear weighted moving average.
	/// </summary>
	public int TrendLwmaPeriod
	{
		get => _trendLwmaPeriod.Value;
		set => _trendLwmaPeriod.Value = value;
	}

	/// <summary>
	/// Length of the smoothing simple moving average applied to the trend LWMA.
	/// </summary>
	public int TrendSmoothingPeriod
	{
		get => _trendSmoothingPeriod.Value;
		set => _trendSmoothingPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles to use for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize <see cref="AwesomeFxTraderStrategy"/>.
	/// </summary>
	public AwesomeFxTraderStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Period of the fast EMA driving the oscillator", "Awesome Oscillator")
			
			.SetOptimize(4, 20, 1);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Period of the slow EMA driving the oscillator", "Awesome Oscillator")
			
			.SetOptimize(8, 40, 1);

		_trendLwmaPeriod = Param(nameof(TrendLwmaPeriod), 34)
			.SetGreaterThanZero()
			.SetDisplay("Trend LWMA", "Length of the linear weighted trend average", "Trend Filter")
			
			.SetOptimize(20, 80, 2);

		_trendSmoothingPeriod = Param(nameof(TrendSmoothingPeriod), 6)
			.SetGreaterThanZero()
			.SetDisplay("Trend Smoother", "Length of the SMA applied to the trend LWMA", "Trend Filter")
			
			.SetOptimize(3, 10, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time-frame used for calculations", "General");
	}

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

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

		_fastEma = null;
		_slowEma = null;
		_trendLwma = null;
		_previousAo = 0m;
		_hasPreviousAo = false;
		_isAoIncreasing = false;
		_previousLwma = 0m;
	}

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

		_fastEma = new EMA { Length = FastEmaPeriod };
		_slowEma = new EMA { Length = SlowEmaPeriod };
		_trendLwma = new WeightedMovingAverage { Length = TrendLwmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_fastEma, _slowEma, _trendLwma, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal fastEma, decimal slowEma, decimal lwma)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var ao = fastEma - slowEma;

		if (!_hasPreviousAo)
		{
			_previousAo = ao;
			_hasPreviousAo = true;
			_isAoIncreasing = ao >= 0m;
			_previousLwma = lwma;
			return;
		}

		if (ao > _previousAo)
			_isAoIncreasing = true;
		else if (ao < _previousAo)
			_isAoIncreasing = false;

		var isTrendBullish = lwma > _previousLwma;
		var isTrendBearish = lwma < _previousLwma;
		var bullishSignal = _isAoIncreasing && ao > 0m && isTrendBullish;
		var bearishSignal = !_isAoIncreasing && ao < 0m && isTrendBearish;

		if (bullishSignal && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			if (volume <= 0)
				volume = 1;

			BuyMarket(volume);
		}
		else if (bearishSignal && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			if (volume <= 0)
				volume = 1;

			SellMarket(volume);
		}

		_previousAo = ao;
		_previousLwma = lwma;
	}
}