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3Commas Turtle Strategy

Simplified Turtle-style breakout system using Donchian channels. Buys on breakouts above the fast channel when price is also above the slow channel, and sells on breakdowns below the fast channel with confirmation from the slow channel. Exits occur when price crosses the exit channel in the opposite direction.

Details

  • Entry Criteria: Breakout of fast channel with slow channel confirmation.
  • Long/Short: Both directions.
  • Exit Criteria: Price crosses exit channel.
  • Stops: Channel-based.
  • Default Values:
    • PeriodFast = 20
    • PeriodSlow = 20
    • PeriodExit = 10
    • CandleType = TimeSpan.FromMinutes(1)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Donchian channels
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • 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>
/// Simplified turtle breakout strategy.
/// </summary>
public class ThreeCommasTurtleStrategy : Strategy
{
	private readonly StrategyParam<int> _periodFast;
	private readonly StrategyParam<int> _periodSlow;
	private readonly StrategyParam<int> _periodExit;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpperFast;
	private decimal _prevLowerFast;
	private decimal _prevClose;

	public int PeriodFast
	{
		get => _periodFast.Value;
		set => _periodFast.Value = value;
	}

	public int PeriodSlow
	{
		get => _periodSlow.Value;
		set => _periodSlow.Value = value;
	}

	public int PeriodExit
	{
		get => _periodExit.Value;
		set => _periodExit.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public ThreeCommasTurtleStrategy()
	{
		_periodFast = Param(nameof(PeriodFast), 10)
			.SetDisplay("Period Fast", "Fast channel period", "Channels");
		_periodSlow = Param(nameof(PeriodSlow), 15)
			.SetDisplay("Period Slow", "Slow channel period", "Channels");
		_periodExit = Param(nameof(PeriodExit), 5)
			.SetDisplay("Period Exit", "Exit channel period", "Channels");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpperFast = 0m;
		_prevLowerFast = 0m;
		_prevClose = 0m;
	}

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

		_prevUpperFast = 0m;
		_prevLowerFast = 0m;
		_prevClose = 0m;

		var upperFast = new Highest { Length = PeriodFast };
		var lowerFast = new Lowest { Length = PeriodFast };
		var upperSlow = new Highest { Length = PeriodSlow };
		var lowerSlow = new Lowest { Length = PeriodSlow };
		var upperExit = new Highest { Length = PeriodExit };
		var lowerExit = new Lowest { Length = PeriodExit };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(upperFast, lowerFast, upperSlow, lowerSlow, upperExit, lowerExit, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal upFast, decimal lowFast, decimal upSlow, decimal lowSlow, decimal upExit, decimal lowExit)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevClose == 0)
		{
			_prevUpperFast = upFast;
			_prevLowerFast = lowFast;
			_prevClose = candle.ClosePrice;
			return;
		}

		if (candle.ClosePrice > _prevUpperFast && Position <= 0)
		{
			BuyMarket();
		}
		else if (candle.ClosePrice < _prevLowerFast && Position >= 0)
		{
			SellMarket();
		}
		else if (Position > 0 && candle.ClosePrice < lowExit)
			SellMarket();
		else if (Position < 0 && candle.ClosePrice > upExit)
			BuyMarket();

		_prevUpperFast = upFast;
		_prevLowerFast = lowFast;
		_prevClose = candle.ClosePrice;
	}
}