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Turtle Trader Strategie

Turtle Trader folgt dem klassischen Turtle-Ausbruchssystem mit Donchian-Kanälen und ATR-basiertem Moneymanagement. Es kauft, wenn der Kurs neue Hochs durchbricht, und verkauft, wenn er unter neue Tiefs fällt. Pyramiding fügt Gewinnerpositionen hinzu, wenn sich der Kurs in die gewünschte Richtung bewegt.

Details

  • Einstiegskriterien: Ausbruch über Hochs/Tiefs von S1 oder S2
  • Long/Short: Beide
  • Ausstiegskriterien: gegenläufiger Ausbruch oder ATR-Stop
  • Stops: ATR-basiert
  • Standardwerte:
    • 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
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Beide
    • Indikatoren: ATR, Highest, Lowest
    • Stops: ATR
    • Komplexität: Mittel
    • Zeitrahmen: Täglich
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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;
	}
}