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Donchian Quest リサーチ戦略

この戦略は、異なる長さの2つのDonchianチャネルを使用します。長い方のチャネルの上限バンドを上回るブレイクアウトでロングポジションを開き、下限バンドを下回るブレイクアウトでショートポジションを開きます。短い方のチャネルの反対側のバンドに価格が触れたときにポジションを決済します。

パラメーター

  • OpenPeriod = 50
  • ClosePeriod = 50

インジケーター

  • Donchianチャネル
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 Quest Research strategy.
/// A close above the upper band of the OpenPeriod Donchian channel goes long and a close below its lower band goes short,
/// reversing an opposite position. A long closes when price touches the lower band of the ClosePeriod channel and a short
/// when price touches its upper band. Both channels are measured on the candles before the current one.
/// </summary>
public class DonchianQuestResearchStrategy : Strategy
{
	private readonly StrategyParam<int> _openPeriod;
	private readonly StrategyParam<int> _closePeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevOpenUpper;
	private decimal? _prevOpenLower;
	private decimal? _prevCloseUpper;
	private decimal? _prevCloseLower;

	/// <summary>
	/// Period of the entry channel.
	/// </summary>
	public int OpenPeriod
	{
		get => _openPeriod.Value;
		set => _openPeriod.Value = value;
	}

	/// <summary>
	/// Period of the exit channel.
	/// </summary>
	public int ClosePeriod
	{
		get => _closePeriod.Value;
		set => _closePeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public DonchianQuestResearchStrategy()
	{
		_openPeriod = Param(nameof(OpenPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Open Period", "Period of the entry Donchian channel", "Indicators");

		_closePeriod = Param(nameof(ClosePeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Close Period", "Period of the exit Donchian channel", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

	private void ResetState()
	{
		_prevOpenUpper = null;
		_prevOpenLower = null;
		_prevCloseUpper = null;
		_prevCloseLower = null;
	}

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

		ResetState();

		var openChannel = new DonchianChannels { Length = OpenPeriod };
		var closeChannel = new DonchianChannels { Length = ClosePeriod };

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

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

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

		var openUpper = _prevOpenUpper;
		var openLower = _prevOpenLower;
		var closeUpper = _prevCloseUpper;
		var closeLower = _prevCloseLower;

		if (openValue.IsFormed && openValue is IDonchianChannelsValue { UpperBand: decimal ou, LowerBand: decimal ol })
		{
			_prevOpenUpper = ou;
			_prevOpenLower = ol;
		}

		if (closeValue.IsFormed && closeValue is IDonchianChannelsValue { UpperBand: decimal cu, LowerBand: decimal cl })
		{
			_prevCloseUpper = cu;
			_prevCloseLower = cl;
		}

		if (openUpper is not decimal entryHigh || openLower is not decimal entryLow || closeUpper is not decimal exitHigh || closeLower is not decimal exitLow)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		if (close > entryHigh && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < entryLow && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && candle.LowPrice <= exitLow)
			SellMarket(Position);
		else if (Position < 0 && candle.HighPrice >= exitHigh)
			BuyMarket(-Position);
	}
}