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Ma Channel Strategy

The Ma Channel strategy trades breakouts of a moving average channel built from the high and low prices. A position is opened when price leaves the channel in the corresponding direction and reversed when the trend flips. The channel boundaries are calculated from exponential moving averages with a fixed offset.

The system is designed for both long and short trading and reacts only on finished candles. It aims to catch trend transitions early while avoiding noise inside the channel.

Details

  • Entry Conditions:
    • Long: Price breaks above the upper channel.
    • Short: Price breaks below the lower channel.
  • Exit Conditions:
    • Opposite breakout triggers a reversal of the position.
  • Indicators: Exponential moving averages of highs and lows with configurable length and price offset.
  • Stops: Not used by default, trades are closed only on opposite signals.
  • Default Values:
    • Length = 8
    • Offset = 10
    • CandleType = 1 hour candles
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Single
    • Stops: No
    • Complexity: Simple
    • Timeframe: Medium
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Moderate
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>
/// Moving average channel breakout strategy.
/// Buys when price crosses above the upper channel (MA of highs + offset).
/// Sells when price crosses below the lower channel (MA of lows - offset).
/// </summary>
public class MaChannelStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _offset;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _maHigh;
	private ExponentialMovingAverage _maLow;
	private int _trend;

	public int Length { get => _length.Value; set => _length.Value = value; }
	public decimal Offset { get => _offset.Value; set => _offset.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MaChannelStrategy()
	{
		_length = Param(nameof(Length), 8)
			.SetDisplay("Length", "Moving average period", "Parameters")
			.SetOptimize(5, 20, 1);

		_offset = Param(nameof(Offset), 100m)
			.SetDisplay("Offset", "Price offset from the average", "Parameters")
			.SetOptimize(50m, 500m, 50m);

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_maHigh = null;
		_maLow = null;
		_trend = 0;
	}

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

		_trend = 0;
		_maHigh = new ExponentialMovingAverage { Length = Length };
		_maLow = new ExponentialMovingAverage { Length = Length };

		Indicators.Add(_maHigh);
		Indicators.Add(_maLow);

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

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

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

		var t = candle.ServerTime;

		var highResult = _maHigh.Process(new DecimalIndicatorValue(_maHigh, candle.HighPrice, t) { IsFinal = true });
		var lowResult = _maLow.Process(new DecimalIndicatorValue(_maLow, candle.LowPrice, t) { IsFinal = true });

		if (!_maHigh.IsFormed || !_maLow.IsFormed)
			return;

		var upper = highResult.GetValue<decimal>() + Offset;
		var lower = lowResult.GetValue<decimal>() - Offset;

		var prevTrend = _trend;

		if (candle.HighPrice > upper)
			_trend = 1;
		else if (candle.LowPrice < lower)
			_trend = -1;

		if (prevTrend <= 0 && _trend > 0 && Position <= 0)
			BuyMarket();
		else if (prevTrend >= 0 && _trend < 0 && Position >= 0)
			SellMarket();
	}
}