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Estrategia de Canal de Negociación

La Estrategia de Canal de Negociación opera rompimientos y retrocesos alrededor de un canal de precios Donchian. Cuando la banda superior permanece sin cambios y el precio la toca o cierra por debajo de ella pero por encima del pivote, se abre una posición larga. La lógica opuesta se utiliza para entradas cortas. El stop loss se coloca más allá de la banda opuesta por el valor del ATR. Un trailing stop opcional puede ajustar el stop a medida que la operación avanza en beneficio.

Parámetros

  • ChannelPeriod — longitud del canal Donchian.
  • AtrPeriod — período ATR para el cálculo del stop loss.
  • Trailing — distancia del trailing stop en unidades de precio (0 desactiva el trailing).
  • CandleType — tipo de vela utilizado para los cálculos.
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>
/// Trade Channel breakout strategy.
/// Uses Highest/Lowest channel and ATR for stop management.
/// </summary>
public class TradeChannelStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _stopPrice;
	private bool _hasPrev;

	public int ChannelPeriod { get => _channelPeriod.Value; set => _channelPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TradeChannelStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Donchian channel period", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR length for stop calculation", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpper = 0;
		_prevLower = 0;
		_stopPrice = 0;
		_hasPrev = false;
	}

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

		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };
		var atr = new StandardDeviation { Length = AtrPeriod };

		SubscribeCandles(CandleType)
			.Bind(highest, lowest, atr, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal upper, decimal lower, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished) return;

		if (!_hasPrev)
		{
			_prevUpper = upper;
			_prevLower = lower;
			_hasPrev = true;
			return;
		}

		if (atrVal <= 0)
		{
			_prevUpper = upper;
			_prevLower = lower;
			return;
		}

		var close = candle.ClosePrice;

		// Breakout above channel => long
		if (close >= _prevUpper && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_stopPrice = lower - atrVal;
		}
		// Breakout below channel => short
		else if (close <= _prevLower && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_stopPrice = upper + atrVal;
		}
		// Manage long
		else if (Position > 0)
		{
			// Trailing stop
			var newStop = close - atrVal * 2;
			if (newStop > _stopPrice) _stopPrice = newStop;

			if (candle.LowPrice <= _stopPrice)
			{
				SellMarket();
				_stopPrice = 0;
			}
		}
		// Manage short
		else if (Position < 0)
		{
			var newStop = close + atrVal * 2;
			if (newStop < _stopPrice) _stopPrice = newStop;

			if (candle.HighPrice >= _stopPrice)
			{
				BuyMarket();
				_stopPrice = 0;
			}
		}

		_prevUpper = upper;
		_prevLower = lower;
	}
}