中文 ZH
在 GitHub 上查看

Donchian Width Mean Reversion

Donchian Width Mean Reversion 策略关注指标的极端读数以捕捉均值回归。远离正常水平的情况通常不会持续太久。

测试表明年均收益约为 121%，该策略在加密市场表现最佳。

当指标大幅偏离均值后开始反转时产生交易信号，可做多也可做空，并带有保护性止损。

适合预期震荡行情的交易者，当指标回归平衡时平仓。初始参数 DonchianPeriod = 20.

详细信息

  • 入场条件: Indicator crosses back toward mean.
  • 多空: Both directions.
  • 出场条件: Indicator reverts to average.
  • 止损: Yes.
  • 默认值:
    • DonchianPeriod = 20
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 分类: Mean Reversion
    • 方向: Both
    • 指标: Donchian
    • 止损: Yes
    • 复杂度: Intermediate
    • 时间框架: Short-term
    • 季节性: No
    • 神经网络: No
    • 背离: No
    • 风险级别: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Donchian width mean reversion strategy.
/// Trades contractions and expansions of Donchian Channel width around its recent average.
/// </summary>
public class DonchianWidthMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private DonchianChannels _donchian;
	private decimal[] _widthHistory;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;

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

	/// <summary>
	/// Lookback period for width statistics.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Deviation multiplier for mean reversion detection.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

	/// <summary>
	/// Cooldown bars between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="DonchianWidthMeanReversionStrategy"/>.
	/// </summary>
	public DonchianWidthMeanReversionStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Donchian Period", "Donchian Channel period", "Indicators")
			.SetOptimize(10, 50, 5);

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Lookback period for width statistics", "Strategy Parameters")
			.SetOptimize(10, 50, 5);

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Deviation multiplier for mean reversion detection", "Strategy Parameters")
			.SetOptimize(1m, 3m, 0.5m);

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

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_donchian = null;
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_widthHistory = new decimal[LookbackPeriod];
	}

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

		_donchian = new DonchianChannels { Length = DonchianPeriod };
		_widthHistory = new decimal[LookbackPeriod];
		_currentIndex = 0;
		_filledCount = 0;
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_donchian, ProcessDonchian)
			.Start();

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

		StartProtection(new(), new Unit(StopLossPercent, UnitTypes.Percent));
	}

	private void ProcessDonchian(ICandleMessage candle, IIndicatorValue donchianValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_donchian.IsFormed)
			return;

		var typedValue = (DonchianChannelsValue)donchianValue;
		if (typedValue.UpperBand is not decimal upperBand ||
			typedValue.LowerBand is not decimal lowerBand)
			return;

		var width = upperBand - lowerBand;

		_widthHistory[_currentIndex] = width;
		_currentIndex = (_currentIndex + 1) % LookbackPeriod;

		if (_filledCount < LookbackPeriod)
			_filledCount++;

		if (_filledCount < LookbackPeriod)
			return;

		var avgWidth = 0m;
		var sumSq = 0m;

		for (var i = 0; i < LookbackPeriod; i++)
			avgWidth += _widthHistory[i];

		avgWidth /= LookbackPeriod;

		for (var i = 0; i < LookbackPeriod; i++)
		{
			var diff = _widthHistory[i] - avgWidth;
			sumSq += diff * diff;
		}

		var stdWidth = (decimal)Math.Sqrt((double)(sumSq / LookbackPeriod));

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var narrowThreshold = avgWidth - stdWidth * DeviationMultiplier;
		var wideThreshold = avgWidth + stdWidth * DeviationMultiplier;

		if (Position == 0)
		{
			if (width < narrowThreshold)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (width > wideThreshold)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0 && width >= avgWidth)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && width <= avgWidth)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}