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Estrategia de Rompimiento por Ancho de Canal Donchian

La estrategia de Rompimiento por Ancho de Canal Donchian observa el Donchian en busca de expansiones bruscas. Cuando las lecturas saltan más allá de su rango promedio, el precio a menudo inicia un nuevo movimiento.

Las pruebas indican un rendimiento anual promedio de aproximadamente 61%. Funciona mejor en el mercado de criptomonedas.

Una posición se abre una vez que el indicador perfora una banda derivada de datos recientes y un multiplicador de desviación. Son posibles operaciones largas y cortas con un stop adjunto.

Este sistema es adecuado para operadores de momentum que buscan rompimientos tempranos. Las operaciones se cierran cuando el Donchian vuelve hacia la media. Los valores predeterminados comienzan con DonchianPeriod = 20.

Detalles

  • Criterios de entrada: El indicador supera el promedio por el multiplicador de desviación.
  • Largo/Corto: Ambos direcciones.
  • Criterios de salida: El indicador revierte al promedio.
  • Stops: Sí.
  • Valores predeterminados:
    • DonchianPeriod = 20
    • AvgPeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLoss = 2.0m
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: Donchian
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Donchian Channel width breakout.
/// Enters when the channel width exceeds its average by a standard deviation multiplier,
/// in the direction of the close relative to the channel middle.
/// Exits when the width falls back below its average.
/// </summary>
public class DonchianWidthBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;

	private SimpleMovingAverage _widthAverage;
	private StandardDeviation _widthStdDev;

	/// <summary>
	/// Donchian Channel period.
	/// </summary>
	public int DonchianPeriod
	{
		get => _donchianPeriod.Value;
		set => _donchianPeriod.Value = value;
	}

	/// <summary>
	/// Period for the width average and standard deviation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for the width breakout.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Initialize <see cref="DonchianWidthBreakoutStrategy"/>.
	/// </summary>
	public DonchianWidthBreakoutStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Donchian Period", "Period of the Donchian Channel", "Indicators");

		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for width average and deviation", "Strategy");

		_multiplier = Param(nameof(Multiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout", "Strategy");

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

		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop-loss percentage", "Risk Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_widthAverage = null;
		_widthStdDev = null;
	}

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

		var highest = new Highest { Length = DonchianPeriod };
		var lowest = new Lowest { Length = DonchianPeriod };
		_widthAverage = new SimpleMovingAverage { Length = AvgPeriod };
		_widthStdDev = new StandardDeviation { Length = AvgPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highest, lowest, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: null,
			stopLoss: StopLoss > 0 ? new Unit(StopLoss, UnitTypes.Percent) : null
		);

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

	private void ProcessCandle(ICandleMessage candle, decimal highestValue, decimal lowestValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var width = highestValue - lowestValue;
		var avgWidth = _widthAverage.Process(width, candle.ServerTime, true).ToDecimal();
		var stdWidth = _widthStdDev.Process(width, candle.ServerTime, true).ToDecimal();

		if (!_widthAverage.IsFormed || !_widthStdDev.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var middle = (highestValue + lowestValue) / 2m;

		if (width > avgWidth + Multiplier * stdWidth)
		{
			if (close > middle && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				return;
			}

			if (close < middle && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				return;
			}
		}

		if (width < avgWidth)
		{
			if (Position > 0)
				SellMarket(Position);
			else if (Position < 0)
				BuyMarket(-Position);
		}
	}
}