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Donchian Channels System

The Donchian Channels System strategy trades breakouts of the Donchian Channel with an optional shift to avoid look-ahead bias.

How It Works

  • Long entry: when the close price crosses above the upper Donchian band calculated Shift bars ago.
  • Short entry: when the close price crosses below the lower Donchian band calculated Shift bars ago.
  • Positions are reversed on opposite breakout.

Parameters

  • DonchianPeriod = 20
  • Shift = 2
  • CandleType = 4h

Indicators

  • Donchian Channel
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 Channels System strategy.
/// Opens long on breakout above shifted upper band and short on breakout below shifted lower band.
/// </summary>
public class DonchianChannelsSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<int> _shift;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _upperBuffer = new();
	private readonly Queue<decimal> _lowerBuffer = new();
	private decimal _prevClose;

	public int DonchianPeriod
	{
		get => _donchianPeriod.Value;
		set => _donchianPeriod.Value = value;
	}

	public int Shift
	{
		get => _shift.Value;
		set => _shift.Value = value;
	}

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

	public DonchianChannelsSystemStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetDisplay("Donchian Period", "Lookback period for Donchian Channel", "Indicators")
			.SetOptimize(10, 60, 5);

		_shift = Param(nameof(Shift), 2)
			.SetDisplay("Shift", "Bars offset for breakout evaluation", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe for analysis", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_upperBuffer.Clear();
		_lowerBuffer.Clear();
		_prevClose = default;
	}

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

		_upperBuffer.Clear();
		_lowerBuffer.Clear();
		_prevClose = default;

		var donchian = new DonchianChannels { Length = DonchianPeriod };

		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 donchianValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (donchianValue is not IDonchianChannelsValue dc)
			return;

		if (dc.UpperBand is not decimal upper || dc.LowerBand is not decimal lower)
			return;

		_upperBuffer.Enqueue(upper);
		_lowerBuffer.Enqueue(lower);

		if (_upperBuffer.Count > Shift + 1)
		{
			_upperBuffer.Dequeue();
			_lowerBuffer.Dequeue();
		}

		if (_upperBuffer.Count <= Shift)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		var shiftedUpper = _upperBuffer.Peek();
		var shiftedLower = _lowerBuffer.Peek();

		var upBreak = candle.ClosePrice > shiftedUpper && _prevClose <= shiftedUpper;
		var dnBreak = candle.ClosePrice < shiftedLower && _prevClose >= shiftedLower;

		if (upBreak && Position <= 0)
			BuyMarket();
		else if (dnBreak && Position >= 0)
			SellMarket();

		_prevClose = candle.ClosePrice;
	}
}