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Turtle Trader follows the classic Turtle breakout system using Donchian channels and ATR based money management. It buys when price breaks above recent highs and sells when it falls below recent lows. Pyramiding adds to winning positions as price moves in favor.

Details

  • Entry Criteria: breakout of S1 or S2 highest high / lowest low
  • Long/Short: Both
  • Exit Criteria: opposite breakout or ATR stop
  • Stops: ATR based
  • Default Values:
    • RiskPercent = 1
    • AtrPeriod = 20
    • StopMultiplier = 1.5
    • PyramidProfit = 0.5
    • S1Long = 20
    • S2Long = 55
    • S1LongExit = 10
    • S2LongExit = 20
    • S1Short = 15
    • S2Short = 55
    • S1ShortExit = 7
    • S2ShortExit = 20
  • Filters:
    • Category: Trend Following
    • Direction: Both
    • Indicators: ATR, Highest, Lowest
    • Stops: ATR
    • Complexity: Intermediate
    • Timeframe: Daily
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Turtle Trader strategy using RSI momentum with EMA trend filter.
/// </summary>
public class TurtleTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _entryLength;
	private readonly StrategyParam<int> _exitLength;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private decimal _prevFast;
	private decimal _prevSlow;
	private int _cooldown;

	public int EntryLength { get => _entryLength.Value; set => _entryLength.Value = value; }
	public int ExitLength { get => _exitLength.Value; set => _exitLength.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TurtleTraderStrategy()
	{
		_entryLength = Param(nameof(EntryLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Entry Length", "Donchian breakout length", "General");

		_exitLength = Param(nameof(ExitLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Exit Length", "Donchian exit length", "General");

		_stopPct = Param(nameof(StopPct), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_prevFast = 0;
		_prevSlow = 0;
		_cooldown = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = 14 };
		var emaFast = new ExponentialMovingAverage { Length = 8 };
		var emaSlow = new ExponentialMovingAverage { Length = 21 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, emaFast, emaSlow, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, emaFast);
			DrawIndicator(area, emaSlow);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal, decimal emaFast, decimal emaSlow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevRsi == 0 || _prevFast == 0 || _prevSlow == 0)
		{
			_prevRsi = rsiVal;
			_prevFast = emaFast;
			_prevSlow = emaSlow;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevRsi = rsiVal;
			_prevFast = emaFast;
			_prevSlow = emaSlow;
			return;
		}

		var hist = emaFast - emaSlow;
		var histUp = hist > 0m;
		var histDown = hist < 0m;

		var rsiCrossUp = _prevRsi <= 50m && rsiVal > 50m;
		var rsiCrossDown = _prevRsi >= 50m && rsiVal < 50m;

		// Exit
		if (Position > 0 && rsiCrossDown)
		{
			SellMarket();
			_cooldown = 80;
		}
		else if (Position < 0 && rsiCrossUp)
		{
			BuyMarket();
			_cooldown = 80;
		}

		// Entry
		if (Position == 0)
		{
			if (rsiCrossUp && histUp)
			{
				BuyMarket();
				_cooldown = 80;
			}
			else if (rsiCrossDown && histDown)
			{
				SellMarket();
				_cooldown = 80;
			}
		}

		_prevRsi = rsiVal;
		_prevFast = emaFast;
		_prevSlow = emaSlow;
	}
}