经典策略回测系列之Elder Impulse System-CSDN博客

本文链接：https://blog.csdn.net/guosuming/article/details/107455438

本文介绍了Elder Impulse System，一种融合13天指数移动平均线和MACD柱状图的交易策略。该系统通过移动平均线判断趋势，用MACD柱状图评估动量，旨在捕捉交易机会。颜色编码的价格条帮助直观判断市场信号。

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Alexander Elder- come into my trading room
The Impulse System is based on two indicators, a 13-day exponential moving average and the MACD-Histogram. The moving average identifies the trend, while the MACD-Histogram measures momentum. As a result, the Impulse System combines trend following and momentum to identify tradable impulses. This unique indicator combination is color coded into the price bars for easy reference.

	public class shElderImpulse : Strategy
	{
		private bool _usesHigherTimeFrame;
		
		private MACD _htfMacd, _macd;
		private EMA _htfEma, _ema;
		
		private bool _initialized = false;
		
		private const int TREND_UP = 1;
		private const int TREND_NONE = 0;
		private const int TREND_DOWN = -1;
				
		private int _htfTrend = TREND_NONE;
		
		protected override void OnStateChange()
		{
			if (State == State.SetDefaults)
			{
				Description					= @"The Elder Impulse System";
				Name						= "shElderImpulse";
				Calculate					= Calculate.OnBarClose;
				EntriesPerDirection			= 1;
				EntryHandling				= EntryHandling.AllEntries;
				IsExitOnSessionCloseStrategy		= true;
				ExitOnSessionCloseSeconds			= 30;
				IsFillLimitOnTouch			= false;
				MaximumBarsLookBack			= MaximumBarsLookBack.TwoHundredFiftySix;
				OrderFillResolution			= OrderFillResolution.Standard;
				Slippage					= 0;
				StartBehavior				= StartBehavior.WaitUntilFlat;
				TimeInForce					= TimeInForce.Gtc;
				TraceOrders					= false;
				RealtimeErrorHandling		= RealtimeErrorHandling.StopCancelClose;
				StopTargetHandling			= StopTargetHandling.PerEntryExecution;
				BarsRequiredToTrade			= 20;
				
				#region Variables
				Contracts = 1;
				HTFType = 0;
				HTFPeriod = 0;
				TradeTimeBegin = 0;
				TradeTimeEnd = 0;
				#endregion
			}
			else if (State == State.Configure)
			{
				if (HTFPeriod > 0)
			{
				_usesHigherTimeFrame = true;
				switch (HTFType)
				{
					case 1: AddDataSeries(BarsPeriodType.Second, HTFPeriod); break;
					case 2: AddDataSeries(BarsPeriodType.Minute, HTFPeriod); break;
					case 3: AddDataSeries(BarsPeriodType.Day, HTFPeriod); break;
					case 4: AddDataSeries(BarsPeriodType.Week, HTFPeriod); break;
					case 5: AddDataSeries(BarsPeriodType.Month, HTFPeriod); break;
					case 6: AddDataSeries(BarsPeriodType.Year, HTFPeriod); break;
					case 7: AddDataSeries(BarsPeriodType.Tick, HTFPeriod); break;
					case 8: AddDataSeries(BarsPeriodType.Range, HTFPeriod); break;
					case 9: AddDataSeries(BarsPeriodType.Volume, HTFPeriod); break;
					default: _usesHigherTimeFrame = false; break;
				}
			}
			_ema = EMA(13);
			_macd = MACD(12,26,9);
			
			AddChartIndicator(_ema);
			AddChartIndicator(_macd);
			}
		}
		
		private void MyInitialize()
		{
			if (_usesHigherTimeFrame)
			{
				_htfMacd = MACD(BarsArray[1],12,26,9);
				_htfEma = EMA(BarsArray[1],26);
			}
			_initialized = true;	
		}

		protected override void OnBarUpdate()
		{
			//Add your custom strategy logic here.
			if (!_initialized) MyInitialize();

			if (TimeToTrade)
			{
				DoPlots();
				
				if (!InPosition)
					if (CurrentBar > 0)
						LookForTrade();
				
				if (InPosition)
					ManagePosition();
			}
			else if (InPosition)
				FlattenPosition();		
		}
		
		private void DoPlots()
		{
			if (BarsInProgress == 0 && _usesHigherTimeFrame)
			{
				if (_htfTrend == TREND_UP)
					BackBrush = Brushes.LightGreen;
				else if (_htfTrend == TREND_DOWN)
					BackBrush = Brushes.LightPink;
				else
					BackBrush = Brushes.LightYellow;
			}
		}
		
		private void LookForTrade()
		{
			if (_usesHigherTimeFrame)
			{
				if (BarsInProgress == 1)
				{
					if (_htfEma[0] > _htfEma[1] && _htfMacd.Diff[0] > _htfMacd.Diff[1])
						_htfTrend = TREND_UP;
					else if (_htfEma[0] < _htfEma[1] && _htfMacd.Diff[0] < _htfMacd.Diff[1])
						_htfTrend = TREND_DOWN;
					else
						_htfTrend = TREND_NONE;
					
					PrintDebug("HTF trend is " + _htfTrend);
				}
			}
			if (BarsInProgress == 0)
			{
				if (_ema[0] > _ema[1] && _macd.Diff[0] > _macd.Diff[1])
				{
					bool buy = true;
					if (_usesHigherTimeFrame &&_htfTrend != TREND_UP)
						buy = false;
					
					if (buy)
						EnterLong(Contracts);
				}
				
				if (_ema[0] < _ema[1] && _macd.Diff[0] < _macd.Diff[1])
				{
					bool sell = true;
					if (_usesHigherTimeFrame &&_htfTrend != TREND_DOWN)
						sell = false;
					
					if (sell)
						EnterShort(Contracts);
				}				
			}
		}
		
		private void ManagePosition()
		{
			if (InLong)
			{
				if (_ema[0] < _ema[1] || _macd.Diff[0] < _macd.Diff[1])
					ExitLong();
			}
			
			if (InShort)
			{
				if (_ema[0] > _ema[1] || _macd.Diff[0] > _macd.Diff[1])
					ExitShort();
			}
		}
		
		private void PrintDebug(string msg) { Print(Time[0].ToString() + "::" + msg); } 
		
		private bool InPosition { get { return Position.MarketPosition != MarketPosition.Flat; } }
		private bool InLong { get { return Position.MarketPosition == MarketPosition.Long; } }
		private bool InShort { get { return Position.MarketPosition == MarketPosition.Short; } }
		
		private void FlattenPosition()
		{
			if (Position.MarketPosition == MarketPosition.Long)
				ExitLong();
			else if (Position.MarketPosition == MarketPosition.Short)
				ExitShort();
		}
		
		private bool TimeToTrade 
		{
			get
			{
				if (TradeTimeBegin == 0 || TradeTimeEnd == 0)
					return true;
				else
				{
					if (TradeTimeBegin > TradeTimeEnd)	// sessions that begin previous day and end next day
						return ToTime(Time[0]) >= TradeTimeBegin*100 || ToTime(Time[0]) <= TradeTimeEnd*100;
					else
						return ToTime(Time[0]) >= TradeTimeBegin*100 && ToTime(Time[0]) <= TradeTimeEnd*100;
				}
			}
		}