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唐奇安通道反转策略

唐奇安通道标记给定周期内的最高和最低价。当价格突破这些边界后又回到通道内，往往表明行情衰竭。本策略关注短暂突破后重新收回通道的情况。

测试表明年均收益约为 157%，该策略在加密市场表现最佳。

如果前一根收盘价在下轨之外而当前收盘价重新站回通道，则做多；反之，若前一次收盘在上轨之外而价格跌回通道，则做空。两种情况下风险都由百分比止损控制。

通过仅在突破失败后进场，该方法试图捕捉快速回撤的假突破。

细节

  • 入场条件：价格突破上下轨后收回唐奇安通道内。
  • 多/空：双向。
  • 退出条件：止损。
  • 止损：是，按百分比。
  • 默认值：
    • Period = 20
    • StopLossPercent = 2
    • CandleType = 15 分钟
  • 过滤条件：
    • 类别: 反转
    • 方向: 双向
    • 指标: 唐奇安通道
    • 止损: 有
    • 复杂度: 基础
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Donchian Reversal strategy.
/// A breakout is a close beyond the channel of the Period candles before it. When the next close returns above the lower band
/// that was broken the position turns long, and when it returns below a broken upper band it turns short. A percent stop limits the loss.
/// </summary>
public class DonchianReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<(decimal High, decimal Low)> _candles = [];
	// The previous close and the channel it was compared with.
	private (decimal Close, decimal Upper, decimal Lower)? _previous;

	/// <summary>
	/// Donchian Channel period.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public DonchianReversalStrategy()
	{
		_period = Param(nameof(Period), 20)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Donchian Channel period", "Indicators");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_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();
		_candles.Clear();
		_previous = null;
	}

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

		_candles.Clear();
		_previous = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		var close = candle.ClosePrice;
		var previous = _previous;

		// The channel of the candles before this one, for the next candle to compare with.
		_previous = _candles.Count == Period
			? (close, _candles.Max(c => c.High), _candles.Min(c => c.Low))
			: null;

		_candles.Add((candle.HighPrice, candle.LowPrice));

		if (_candles.Count > Period)
			_candles.RemoveAt(0);

		if (previous is not { } prior || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (prior.Close < prior.Lower && close > prior.Lower && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (prior.Close > prior.Upper && close < prior.Upper && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}