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ADX Donchian Strategy

该策略结合ADX和唐奇安通道。当ADX高于阈值且价格突破上轨时做多；当ADX高于阈值且价格跌破下轨时做空，体现强势趋势突破。

测试表明年均收益约为 67%，该策略在股票市场表现最佳。

适合在趋势明显的市场中寻找机会的交易者。

细节

  • 入场条件:
    • 多头: ADX > AdxThreshold && Price >= upperBorder
    • 空头: ADX > AdxThreshold && Price <= lowerBorder
  • 多/空: 双向
  • 离场条件:
    • 多头: 当ADX跌破(阈值-5)时平仓
    • 空头: 当ADX跌破(阈值-5)时平仓
  • 止损: 是
  • 默认值:
    • AdxPeriod = 14
    • DonchianPeriod = 5
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
    • AdxThreshold = 10
    • Multiplier = 0.1m
  • 过滤器:
    • 类别: Mixed
    • 方向: 双向
    • 指标: ADX Donchian
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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 ADX and Donchian Channel indicators
/// </summary>
public class AdxDonchianStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _adxThreshold;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _cooldownBars;
	private int _cooldown;

	/// <summary>
	/// ADX period
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

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

	/// <summary>
	/// ADX threshold for strong trend detection
	/// </summary>
	public int AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Multiplier for Donchian Channel border sensitivity (in percent, e.g. 0.1 for 0.1%)
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

	/// <summary>
	/// Constructor
	/// </summary>
	public AdxDonchianStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetRange(7, 28)
			.SetDisplay("ADX Period", "Period for ADX indicator", "Indicators")
			;

		_donchianPeriod = Param(nameof(DonchianPeriod), 5)
			.SetRange(5, 50)
			.SetDisplay("Donchian Period", "Period for Donchian Channel", "Indicators")
			;

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetRange(0.5m, 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");

		_adxThreshold = Param(nameof(AdxThreshold), 10)
			.SetRange(5, 40)
			.SetDisplay("ADX Threshold", "ADX value for strong trend detection", "Indicators")
			;

		_multiplier = Param(nameof(Multiplier), 0.1m)
			.SetRange(0m, 1m)
			.SetDisplay("Multiplier %", "Sensitivity to Donchian Channel border (percent)", "Indicators")
			;

		_cooldownBars = Param(nameof(CooldownBars), 40)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cooldown = 0;
	}

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

		// Initialize indicators
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var donchian = new DonchianChannels { Length = DonchianPeriod };

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(donchian, adx, ProcessCandle)
			.Start();
		
		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, adx);
			DrawIndicator(area, donchian);
			DrawOwnTrades(area);
		}
	}

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

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

		// Process ADX
		var typedAdx = (AverageDirectionalIndexValue)adxValue;

		// Get Donchian Channel values
		var typedDonchian = (DonchianChannelsValue)donchianValue;
		var upperBand = typedDonchian.UpperBand;
		var middleBand = typedDonchian.Middle;
		var lowerBand = typedDonchian.LowerBand;

		var price = candle.ClosePrice;

		// Trading logic:
		// Long: ADX > AdxThreshold && Price >= upperBorder (strong trend with breakout up)
		// Short: ADX > AdxThreshold && Price <= lowerBorder (strong trend with breakout down)
		
		var strongTrend = typedAdx.MovingAverage > AdxThreshold;
		if (_cooldown > 0)
			_cooldown--;

		var upperBorder = upperBand * (1 - Multiplier / 100);
		var lowerBorder = lowerBand * (1 + Multiplier / 100);

		if (_cooldown == 0 && strongTrend && price >= upperBorder && Position <= 0)
		{
			// Buy signal - Strong trend with Donchian Channel breakout up (with multiplier)
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_cooldown = CooldownBars;
		}
		else if (_cooldown == 0 && strongTrend && price <= lowerBorder && Position >= 0)
		{
			// Sell signal - Strong trend with Donchian Channel breakout down (with multiplier)
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_cooldown = CooldownBars;
		}
		// Exit conditions - ADX weakness
		else if (Position != 0 && typedAdx.MovingAverage < AdxThreshold - 5)
		{
			// Exit position when ADX falls below (threshold - 5)
			if (Position > 0)
				SellMarket(Position);
			else
				BuyMarket(Math.Abs(Position));

			_cooldown = CooldownBars;
		}
	}
}