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Rompimento do Canal Keltner

Estratégia baseada no rompimento do Canal Keltner.

Os testes indicam um retorno anual médio de aproximadamente 58%. Funciona melhor no mercado de ações.

O Rompimento do Canal Keltner usa bandas de volatilidade derivadas do ATR. Rompimentos acima da banda superior ou abaixo da banda inferior acionam entradas. O preço voltando através do centro EMA ou atingindo um stop encerra a posição.

Como as bandas se expandem e contraem com a volatilidade, este método de rompimento visa capturar os estágios iniciais de um movimento forte enquanto ainda permite ao preço respirar dentro do canal.

Detalhes

  • Critérios de entrada: Sinais baseados em ATR, Keltner.
  • Comprado/Vendido: Ambos os sentidos.
  • Critérios de saída: Sinal oposto ou stop.
  • Stops: Sim.
  • Valores padrão:
    • EmaPeriod = 20
    • AtrPeriod = 14
    • AtrMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoria: Rompimento
    • Direção: Ambos
    • Indicadores: ATR, Keltner
    • Stops: Sim
    • Complexidade: Básico
    • Período: Intradiário (5m)
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
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 Keltner Channel breakout.
/// It enters long position when price breaks through the upper band and short position when price breaks through the lower band.
/// </summary>
public class KeltnerChannelBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	// Current state
	private decimal _prevClosePrice;
	private decimal _prevUpperBand;
	private decimal _prevLowerBand;
	private decimal _prevEma;

	/// <summary>
	/// Period for EMA calculation.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Period for ATR calculation.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier for ATR to determine channel width.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

	/// <summary>
	/// Initialize the Keltner Channel Breakout strategy.
	/// </summary>
	public KeltnerChannelBreakoutStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 500)
			.SetDisplay("EMA Period", "Period for Exponential Moving Average", "Indicators")

			.SetOptimize(10, 50, 5);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for Average True Range", "Indicators")

			.SetOptimize(10, 30, 2);

		_atrMultiplier = Param(nameof(AtrMultiplier), 10m)
			.SetDisplay("ATR Multiplier", "Multiplier for ATR to determine channel width", "Indicators")

			.SetOptimize(1, 3, 0.5m);

		_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();
		_prevClosePrice = default;
		_prevUpperBand = default;
		_prevLowerBand = default;
		_prevEma = default;

	}

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

		// Create indicators
		var keltnerChannel = new KeltnerChannels
		{
			Length = EmaPeriod,
			Multiplier = AtrMultiplier
		};

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

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, keltnerChannel);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue keltnerValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var keltnerTyped = (KeltnerChannelsValue)keltnerValue;

		if (keltnerTyped.Upper is not decimal upperValue)
			return;

		if (keltnerTyped.Lower is not decimal lowerValue)
			return;

		if (keltnerTyped.Middle is not decimal middleValue)
			return;

		// Skip the first received value for proper comparison
		if (_prevUpperBand == 0)
		{
			_prevClosePrice = candle.ClosePrice;
			_prevUpperBand = upperValue;
			_prevLowerBand = lowerValue;
			_prevEma = middleValue;
			return;
		}

		// Check for breakouts
		var isUpperBreakout = candle.ClosePrice > _prevUpperBand && _prevClosePrice <= _prevUpperBand;
		var isLowerBreakout = candle.ClosePrice < _prevLowerBand && _prevClosePrice >= _prevLowerBand;

		// Entry logic - breakout reversal only
		if (isUpperBreakout && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (isLowerBreakout && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
		}

		// Update previous values
		_prevClosePrice = candle.ClosePrice;
		_prevUpperBand = upperValue;
		_prevLowerBand = lowerValue;
		_prevEma = middleValue;
	}
}