Español ES
Ver en GitHub

PriceChannel Stop

Estrategia basada en el indicador Price Channel Stop.

El indicador calcula el máximo más alto y el mínimo más bajo en el período dado para formar un canal de Donchian. Los niveles de stop se construyen dentro del canal usando el factor Risk. Cuando el precio cierra por encima del stop superior, la tendencia cambia a alcista; al cerrar por debajo del stop inferior, la tendencia cambia a bajista. La estrategia abre posiciones en estas reversiones y opcionalmente cierra posiciones opuestas.

Detalles

  • Criterios de entrada: El precio cruza los niveles de stop.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Señal opuesta.
  • Stops: No.
  • Valores predeterminados:
    • ChannelPeriod = 5
    • Risk = 0.10
    • CandleType = TimeSpan.FromHours(1)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: Canal de Donchian
    • Stops: No
    • Complejidad: Básico
    • Marco temporal: Intradía (1h)
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Strategy based on Price Channel Stop.
/// The indicator builds stop levels from Donchian Channel and switches trend when price crosses them.
/// </summary>
public class PriceChannelStopStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<decimal> _risk;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosClose;

	private decimal _prevBsmax;
	private decimal _prevBsmin;
	private int _trend;
	private bool _isFirst = true;

	/// <summary>
	/// Period for channel calculation.
	/// </summary>
	public int ChannelPeriod
	{
		get => _channelPeriod.Value;
		set => _channelPeriod.Value = value;
	}

	/// <summary>
	/// Risk factor for stop calculation.
	/// </summary>
	public decimal Risk
	{
		get => _risk.Value;
		set => _risk.Value = value;
	}

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

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyPosOpen
	{
		get => _buyPosOpen.Value;
		set => _buyPosOpen.Value = value;
	}

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellPosOpen
	{
		get => _sellPosOpen.Value;
		set => _sellPosOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long positions on opposite signal.
	/// </summary>
	public bool BuyPosClose
	{
		get => _buyPosClose.Value;
		set => _buyPosClose.Value = value;
	}

	/// <summary>
	/// Allow closing short positions on opposite signal.
	/// </summary>
	public bool SellPosClose
	{
		get => _sellPosClose.Value;
		set => _sellPosClose.Value = value;
	}

	/// <summary>
	/// Initialize the strategy.
	/// </summary>
	public PriceChannelStopStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 5)
			.SetDisplay("Channel Period", "Period for Price Channel calculation", "Indicators")
			
			.SetOptimize(5, 30, 1);

		_risk = Param(nameof(Risk), 0.10m)
			.SetDisplay("Risk", "Risk factor for stop levels", "Indicators")
			
			.SetOptimize(0.05m, 0.3m, 0.05m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_buyPosOpen = Param(nameof(BuyPosOpen), true)
			.SetDisplay("Buy Position Open", "Allow opening long positions", "Trading");

		_sellPosOpen = Param(nameof(SellPosOpen), true)
			.SetDisplay("Sell Position Open", "Allow opening short positions", "Trading");

		_buyPosClose = Param(nameof(BuyPosClose), true)
			.SetDisplay("Buy Position Close", "Allow closing long positions", "Trading");

		_sellPosClose = Param(nameof(SellPosClose), true)
			.SetDisplay("Sell Position Close", "Allow closing short positions", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevBsmax = default;
		_prevBsmin = default;
		_trend = 0;
		_isFirst = true;
	}

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

		var donchian = new DonchianChannels { Length = ChannelPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(donchian, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var dc = value as IDonchianChannelsValue;
		if (dc?.UpperBand is not decimal upper || dc?.LowerBand is not decimal lower)
			return;

		var range = upper - lower;
		var dPrice = range * Risk;
		var bsmax = upper - dPrice;
		var bsmin = lower + dPrice;

		if (_isFirst)
		{
			_prevBsmax = bsmax;
			_prevBsmin = bsmin;
			_isFirst = false;
			return;
		}

		var trend = _trend;
		if (candle.ClosePrice > _prevBsmax)
			trend = 1;
		else if (candle.ClosePrice < _prevBsmin)
			trend = -1;

		if (trend > 0 && bsmin < _prevBsmin)
			bsmin = _prevBsmin;
		if (trend < 0 && bsmax > _prevBsmax)
			bsmax = _prevBsmax;

		var isBuySignal = _trend <= 0 && trend > 0;
		var isSellSignal = _trend >= 0 && trend < 0;

		if (IsFormedAndOnlineAndAllowTrading())
		{
			if (isBuySignal && Position <= 0)
				BuyMarket();
			else if (isSellSignal && Position >= 0)
				SellMarket();
		}

		_trend = trend;
		_prevBsmax = bsmax;
		_prevBsmin = bsmin;
	}
}