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Turtle Trader 策略

Turtle Trader 采用经典的 Turtle 突破系统，使用唐奇安通道和 ATR 资金管理。价格突破近期高点时买入，跌破近期低点时卖出。价格朝有利方向移动时通过加仓来扩大利润。

细节

  • 入场条件: S1 或 S2 期间的最高/最低点突破
  • 多空方向: 双向
  • 出场条件: 反向突破或 ATR 止损
  • 止损: ATR
  • 默认值:
    • RiskPercent = 1
    • AtrPeriod = 20
    • StopMultiplier = 1.5
    • PyramidProfit = 0.5
    • S1Long = 20
    • S2Long = 55
    • S1LongExit = 10
    • S2LongExit = 20
    • S1Short = 15
    • S2Short = 55
    • S1ShortExit = 7
    • S2ShortExit = 20
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 双向
    • 指标: ATR, Highest, Lowest
    • 止损: ATR
    • 复杂度: 中等
    • 时间框架: 日线
    • 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>
/// Turtle Trader strategy using RSI momentum with EMA trend filter.
/// </summary>
public class TurtleTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _entryLength;
	private readonly StrategyParam<int> _exitLength;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private decimal _prevFast;
	private decimal _prevSlow;
	private int _cooldown;

	public int EntryLength { get => _entryLength.Value; set => _entryLength.Value = value; }
	public int ExitLength { get => _exitLength.Value; set => _exitLength.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TurtleTraderStrategy()
	{
		_entryLength = Param(nameof(EntryLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Entry Length", "Donchian breakout length", "General");

		_exitLength = Param(nameof(ExitLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Exit Length", "Donchian exit length", "General");

		_stopPct = Param(nameof(StopPct), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_prevFast = 0;
		_prevSlow = 0;
		_cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var rsi = new RelativeStrengthIndex { Length = 14 };
		var emaFast = new ExponentialMovingAverage { Length = 8 };
		var emaSlow = new ExponentialMovingAverage { Length = 21 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, emaFast, emaSlow, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal, decimal emaFast, decimal emaSlow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevRsi == 0 || _prevFast == 0 || _prevSlow == 0)
		{
			_prevRsi = rsiVal;
			_prevFast = emaFast;
			_prevSlow = emaSlow;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevRsi = rsiVal;
			_prevFast = emaFast;
			_prevSlow = emaSlow;
			return;
		}

		var hist = emaFast - emaSlow;
		var histUp = hist > 0m;
		var histDown = hist < 0m;

		var rsiCrossUp = _prevRsi <= 50m && rsiVal > 50m;
		var rsiCrossDown = _prevRsi >= 50m && rsiVal < 50m;

		// Exit
		if (Position > 0 && rsiCrossDown)
		{
			SellMarket();
			_cooldown = 80;
		}
		else if (Position < 0 && rsiCrossUp)
		{
			BuyMarket();
			_cooldown = 80;
		}

		// Entry
		if (Position == 0)
		{
			if (rsiCrossUp && histUp)
			{
				BuyMarket();
				_cooldown = 80;
			}
			else if (rsiCrossDown && histDown)
			{
				SellMarket();
				_cooldown = 80;
			}
		}

		_prevRsi = rsiVal;
		_prevFast = emaFast;
		_prevSlow = emaSlow;
	}
}