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Donchian Seasonal Filter戦略

Donchian Seasonal Filter戦略は季節性フィルターを備えたDonchianチャンネルを中心に構築されています。

テストでは年平均リターン約70%が示されています。株式市場で最もよいパフォーマンスを発揮します。

Donchianがイントラデイデータでフィルタリングされたエントリーを確認するとシグナルが発生します (15m)。この手法はアクティブなトレーダーに適しています。

ストップはATRの倍数とDonchianPeriod、SeasonalThresholdなどのパラメーターに依存します。リスクとリワードのバランスを取るためにこれらのデフォルト値を調整してください。

詳細

  • エントリー条件: インジケーター条件の実装を参照。
  • ロング/ショート: 両方向。
  • エグジット条件: 逆シグナルまたはストップロジック。
  • ストップ: はい、インジケーターベースの計算を使用。
  • デフォルト値:
    • DonchianPeriod = 20
    • SeasonalThreshold = 0.5m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: 両方
    • インジケーター: Donchian, Seasonal
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ (15m)
    • 季節性: はい
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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 Donchian Channels with seasonal filter.
/// </summary>
public class DonchianSeasonalStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<decimal> _seasonalThreshold;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _seasonalDataCount;
	
	private DonchianChannels _donchian = null!;
	
	// Seasonal data storage
	private readonly SynchronizedDictionary<Months, decimal> _monthlyReturns = [];
	
	private decimal _seasonalStrength;
	private decimal? _previousUpperBand;
	private decimal? _previousLowerBand;
	private decimal? _previousMiddleBand;
	private decimal? _previousClosePrice;
	private int _cooldownRemaining;

	/// <summary>
	/// Donchian Channel period.
	/// </summary>
	public int DonchianPeriod
	{
		get => _donchianPeriod.Value;
		set => _donchianPeriod.Value = value;
	}
	
	/// <summary>
	/// Seasonal strength threshold for entry.
	/// </summary>
	public decimal SeasonalThreshold
	{
		get => _seasonalThreshold.Value;
		set => _seasonalThreshold.Value = value;
	}

	/// <summary>
	/// Number of years used for seasonal analysis.
	/// </summary>
	public int SeasonalDataCount
	{
		get => _seasonalDataCount.Value;
		set => _seasonalDataCount.Value = value;
	}

	/// <summary>
	/// Number of closed candles to wait before allowing the next entry.
	/// </summary>
	public int SignalCooldownBars
	{
		get => _signalCooldownBars.Value;
		set => _signalCooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="DonchianSeasonalStrategy"/>.
	/// </summary>
	public DonchianSeasonalStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 40)
			.SetDisplay("Donchian Period", "Donchian Channel period", "Donchian")
			
			.SetOptimize(10, 50, 5);
			
		_seasonalThreshold = Param(nameof(SeasonalThreshold), 0.5m)
			.SetDisplay("Seasonal Threshold", "Seasonal strength threshold for entry", "Seasonal")
			
			.SetOptimize(0.2m, 1.0m, 0.1m);

		_seasonalDataCount = Param(nameof(SeasonalDataCount), 5)
			.SetDisplay("Seasonal Years", "Years of seasonal data", "Seasonal")
			.SetGreaterThanZero()
			
			.SetOptimize(1, 10, 1);

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12)
			.SetNotNegative()
			.SetDisplay("Signal Cooldown Bars", "Closed candles to wait before a new breakout entry", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
			
		// Initialize monthly returns with neutral values
		foreach (Months month in Enum.GetValues(typeof(Months)))
		{
			_monthlyReturns[month] = 0m;
		}
		
		// Simulated historical seasonal data (in a real strategy, this would come from analysis of historical data)
		// These are example values that suggest certain months tend to be bullish or bearish
		_monthlyReturns[Months.January] = 0.8m;
		_monthlyReturns[Months.February] = 0.3m;
		_monthlyReturns[Months.March] = 0.6m;
		_monthlyReturns[Months.April] = 0.9m;
		_monthlyReturns[Months.May] = 0.2m;
		_monthlyReturns[Months.June] = -0.4m;
		_monthlyReturns[Months.July] = -0.2m;
		_monthlyReturns[Months.August] = -0.7m;
		_monthlyReturns[Months.September] = -0.9m;
		_monthlyReturns[Months.October] = -0.1m;
		_monthlyReturns[Months.November] = 0.5m;
		_monthlyReturns[Months.December] = 0.7m;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_seasonalStrength = 0;
		_previousUpperBand = null;
		_previousLowerBand = null;
		_previousMiddleBand = null;
		_previousClosePrice = null;
		_cooldownRemaining = 0;
	}

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

		// Create Donchian Channel indicator
		_donchian = new DonchianChannels
		{
			Length = DonchianPeriod
		};

		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		
		subscription
			.BindEx(_donchian, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _donchian);
			DrawOwnTrades(area);
		}
		
		// Setup position protection
		StartProtection(
			new Unit(2, UnitTypes.Percent), 
			new Unit(2, UnitTypes.Percent)
		);
	}
	
	private void ProcessCandle(ICandleMessage candle, IIndicatorValue donchianValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var donchianTyped = (DonchianChannelsValue)donchianValue;

		if (donchianTyped.UpperBand is not decimal upperBand ||
			donchianTyped.LowerBand is not decimal lowerBand ||
			donchianTyped.Middle is not decimal middleBand)
		{
			return;
		}

		// Calculate seasonal strength for current month
		UpdateSeasonalStrength(candle.OpenTime);

		if (_previousUpperBand is null || _previousLowerBand is null || _previousMiddleBand is null || _previousClosePrice is null)
		{
			_previousUpperBand = upperBand;
			_previousLowerBand = lowerBand;
			_previousMiddleBand = middleBand;
			_previousClosePrice = candle.ClosePrice;
			return;
		}
		
		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousUpperBand = upperBand;
			_previousLowerBand = lowerBand;
			_previousMiddleBand = middleBand;
			_previousClosePrice = candle.ClosePrice;
			return;
		}

		var previousUpperBand = _previousUpperBand.Value;
		var previousLowerBand = _previousLowerBand.Value;
		var previousMiddleBand = _previousMiddleBand.Value;
		var previousClosePrice = _previousClosePrice.Value;
			
		// Trading logic
		// Donchian channels include the current bar, so the breakout must be checked against the previous channel.
		if (Position > 0 && candle.ClosePrice < previousMiddleBand)
		{
			SellMarket(Position);
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (Position < 0 && candle.ClosePrice > previousMiddleBand)
		{
			BuyMarket(-Position);
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (_cooldownRemaining == 0 &&
			previousClosePrice <= previousUpperBand &&
			candle.ClosePrice > previousUpperBand &&
			_seasonalStrength > SeasonalThreshold &&
			Position <= 0)
		{
			BuyMarket(Volume + (Position < 0 ? -Position : 0m));
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (_cooldownRemaining == 0 &&
			previousClosePrice >= previousLowerBand &&
			candle.ClosePrice < previousLowerBand &&
			_seasonalStrength < -SeasonalThreshold &&
			Position >= 0)
		{
			SellMarket(Volume + (Position > 0 ? Position : 0m));
			_cooldownRemaining = SignalCooldownBars;
		}

		_previousUpperBand = upperBand;
		_previousLowerBand = lowerBand;
		_previousMiddleBand = middleBand;
		_previousClosePrice = candle.ClosePrice;
	}
	
	private void UpdateSeasonalStrength(DateTimeOffset time)
	{
		// Get current month
		Months currentMonth = (Months)time.Month;
		
		// Get historical return for this month
		_seasonalStrength = _monthlyReturns[currentMonth];
		
		// Log seasonal information at the beginning of each month
		if (time.Day == 1)
		{
			LogInfo($"Monthly Seasonal Data: {currentMonth} has historical strength of {_seasonalStrength:F2} over {SeasonalDataCount} years");
		}
	}
	
	/// <summary>
	/// Enumeration for months of the year.
	/// </summary>
	private enum Months
	{
		January = 1,
		February,
		March,
		April,
		May,
		June,
		July,
		August,
		September,
		October,
		November,
		December
	}
}