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Donchian Stochastic Strategy 策略 (中文)

该文档的中文版本尚未完成，详细说明请参阅英文版 README.md。

测试表明年均收益约为 85%，该策略在加密市场表现最佳。

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>
/// Donchian Channel + Stochastic strategy.
/// Strategy enters the market when the price breaks out of Donchian Channel with Stochastic confirming oversold/overbought conditions.
/// </summary>
public class DonchianStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<int> _stochK;
	private readonly StrategyParam<int> _stochD;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;

	// Indicators
	private DonchianChannels _donchian;
	private StochasticOscillator _stochastic;
	private int _cooldown;

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

	/// <summary>
	/// Stochastic period.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

	/// <summary>
	/// Stochastic %K period.
	/// </summary>
	public int StochK
	{
		get => _stochK.Value;
		set => _stochK.Value = value;
	}

	/// <summary>
	/// Stochastic %D period.
	/// </summary>
	public int StochD
	{
		get => _stochD.Value;
		set => _stochD.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.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>
	/// Constructor.
	/// </summary>
	public DonchianStochasticStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Donchian Period", "Donchian Channel lookback period", "Indicators")
			
			.SetOptimize(10, 50, 5);

		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Stochastic oscillator period", "Indicators")
			
			.SetOptimize(5, 30, 5);

		_stochK = Param(nameof(StochK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %K", "Stochastic %K period", "Indicators")
			
			.SetOptimize(1, 10, 1);

		_stochD = Param(nameof(StochD), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %D", "Stochastic %D period", "Indicators")
			
			.SetOptimize(1, 10, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetRange(5, 500)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management")
			
			.SetOptimize(1m, 5m, 0.5m);
	}

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

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

		_donchian = null;
		_stochastic = null;
		_cooldown = 0;
	}

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

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

		_stochastic = new StochasticOscillator
		{
			K = { Length = StochK },
			D = { Length = StochD },
		};

		// Enable position protection
		var takeProfitUnit = new Unit(0, UnitTypes.Absolute); // No take profit - we'll exit based on strategy rules
		var stopLossUnit = new Unit(StopLossPercent, UnitTypes.Percent);
		StartProtection(takeProfitUnit, stopLossUnit);

		// Subscribe to candles and bind indicators
		var subscription = SubscribeCandles(CandleType);
		
		subscription
			.BindEx(_donchian, _stochastic, ProcessCandle)
			.Start();

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

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

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

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

		var stochTyped = (StochasticOscillatorValue)stochValue;
		
		if (stochTyped.K is not decimal stochK || stochTyped.D is not decimal stochD)
		{
			return;
		}

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

		// Trading logic:
		// Enter in trend direction with stochastic confirmation.
		if (candle.ClosePrice >= middleBand && stochK > 55 && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			LogInfo($"Long entry: Price={candle.ClosePrice}, Middle Band={middleBand}, Stochastic %K={stochK}");
		}
		else if (candle.ClosePrice <= middleBand && stochK < 45 && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
			LogInfo($"Short entry: Price={candle.ClosePrice}, Middle Band={middleBand}, Stochastic %K={stochK}");
		}
		// Exit long position when price falls below middle band
		else if (Position > 0 && candle.ClosePrice < middleBand)
		{
			SellMarket();
			_cooldown = CooldownBars;
			LogInfo($"Long exit: Price={candle.ClosePrice}, Middle Band={middleBand}");
		}
		// Exit short position when price rises above middle band
		else if (Position < 0 && candle.ClosePrice > middleBand)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			LogInfo($"Short exit: Price={candle.ClosePrice}, Middle Band={middleBand}");
		}
	}
}