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Donchian Macd Strategy

Стратегия совмещает пробой канала Дончиана с подтверждением тренда по MACD.

Тестирование показывает среднегодичную доходность около 148%. Стратегию лучше запускать на рынке Форекс.

Стратегия ожидает пробоя канала Дончиана и проверяет импульс с помощью MACD. Вход в длинные или короткие позиции осуществляется, когда MACD подтверждает движение.

Предназначена для любителей пробоев, которые хотят подтверждения. Стопы ставятся с использованием множителя ATR.

Детали

  • Критерии входа:
    • Long: Price breaks Donchian high && MACD > Signal
    • Short: Price breaks Donchian low && MACD < Signal
  • Long/Short: Оба направления
  • Критерии выхода: разворот MACD
  • Стопы: процентный на основе StopLossPercent
  • Значения по умолчанию:
    • DonchianPeriod = 20
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Фильтры:
    • Категория: Breakout
    • Направление: Оба
    • Индикаторы: Donchian Channel, MACD
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Среднесрочный
    • Сезонность: Нет
    • Нейронные сети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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;

using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy combining Donchian Channel breakout with MACD trend confirmation.
/// </summary>
public class DonchianMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private DonchianChannels _donchian;
	private MovingAverageConvergenceDivergenceSignal _macd;
	
	private decimal? _previousHighest;
	private decimal? _previousLowest;
	private decimal? _previousMacd;
	private decimal? _previousSignal;
	private decimal? _entryPrice;
	private int _cooldown;

	/// <summary>
	/// Donchian channel period.
	/// </summary>
	public int DonchianPeriod
	{
		get => _donchianPeriod.Value;
		set => _donchianPeriod.Value = value;
	}

	/// <summary>
	/// MACD fast period.
	/// </summary>
	public int MacdFast
	{
		get => _macdFast.Value;
		set => _macdFast.Value = value;
	}

	/// <summary>
	/// MACD slow period.
	/// </summary>
	public int MacdSlow
	{
		get => _macdSlow.Value;
		set => _macdSlow.Value = value;
	}

	/// <summary>
	/// MACD signal period.
	/// </summary>
	public int MacdSignal
	{
		get => _macdSignal.Value;
		set => _macdSignal.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="DonchianMacdStrategy"/>.
	/// </summary>
	public DonchianMacdStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetRange(5, 50)
			
			.SetDisplay("Donchian Period", "Channel lookback period", "Indicators");

		_macdFast = Param(nameof(MacdFast), 12)
			.SetRange(8, 20)
			
			.SetDisplay("MACD Fast Period", "Fast EMA period for MACD", "Indicators");

		_macdSlow = Param(nameof(MacdSlow), 26)
			.SetRange(20, 40)
			
			.SetDisplay("MACD Slow Period", "Slow EMA period for MACD", "Indicators");

		_macdSignal = Param(nameof(MacdSignal), 9)
			.SetRange(5, 15)
			
			.SetDisplay("MACD Signal Period", "Signal line period for MACD", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 50)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between entries", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetRange(1m, 5m)
			
			.SetDisplay("Stop-Loss %", "Stop-loss percentage from entry price", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();
		_previousHighest = 0;
		_previousLowest = decimal.MaxValue;
		_previousMacd = 0;
		_previousSignal = 0;
		_entryPrice = null;
		_cooldown = 0;
		_donchian = null;
		_macd = null;
	}

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

		// Initialize indicators
		_donchian = new DonchianChannels
		{
			Length = DonchianPeriod
		};

		_macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFast },
				LongMa = { Length = MacdSlow },
			},
			SignalMa = { Length = MacdSignal }
		};

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

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

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

		// Wait until strategy and indicators are ready
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		var signalValue = macdTyped.Signal;
		var macdDec = macdTyped.Macd;
		var isBullishCross = _previousMacd <= _previousSignal && macdDec > signalValue;
		var isBearishCross = _previousMacd >= _previousSignal && macdDec < signalValue;

		if (_cooldown > 0)
		{
			_cooldown--;
		}

		// Check for breakouts with MACD trend confirmation
		// Long entry: Price breaks above Donchian high and MACD > Signal
		if (_cooldown == 0 && candle.ClosePrice > _previousHighest * 1.001m && Position <= 0 && isBullishCross)
		{
			CancelActiveOrders();
			
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_entryPrice = candle.ClosePrice;
			_cooldown = CooldownBars;
		}
		// Short entry: Price breaks below Donchian low and MACD < Signal
		else if (_cooldown == 0 && candle.ClosePrice < _previousLowest * 0.999m && Position >= 0 && isBearishCross)
		{
			CancelActiveOrders();
			
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_entryPrice = candle.ClosePrice;
			_cooldown = CooldownBars;
		}
		// MACD trend reversal exit
		else if ((Position > 0 && isBearishCross) ||
				 (Position < 0 && isBullishCross))
		{
			ClosePosition();
			_entryPrice = null;
			_cooldown = CooldownBars;
		}

		var donchianTyped = (DonchianChannelsValue)donchianValue;

		// Update previous values for next candle
		_previousHighest = donchianTyped.UpperBand;
		_previousLowest = donchianTyped.LowerBand;
		_previousMacd = macdDec;
		_previousSignal = signalValue;
	}
}